A derivatives index that acts as a gauge of the state of the US sub-prime mortgage bond market has slumped to new lows on the publication of data showing a record rise in delinquency rates for the month of August and the greatest quarterly decline in house prices since records began two decades ago.

The lowest rated tranche of the ABX-HE index, which was created in the first half of this year, fell to a new low of 32.16 yesterday, down from 36 at the beginning of August, according to data provider Markit. The index is made up of credit default swaps referencing sub-prime mortgage bonds.