An index based on US sub-prime mortgage bonds hit a new low yesterday after data for June showed delinquency rates were still rising and investors remained nervous with the fallout at two Bear Stearns hedge funds and one run by London's Cheyne Capital.

The ABX-HE-BBB- 07-1 index, which references bonds backed by mortgages originated in the second half of last year, declined to a record low of 56.18 yesterday, according to data provider Markit Group.