ABX index

ABX index

Index created by the firm Markit. It is based on the price of credit default swaps on the index's constituent mortgage backed securities. A decline in the the ABX Index indicates that the market associates more risk with subprime mortgages.
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The ABX Index is a series of credit-default swaps based on 20 bonds that consist of subprime mortgages.
Youngblood cites as an example the second-quarter 2007 BBB-minus-class ABX index, which was trading at a yield that was 6,667 basis points over one-month London interbank rate (LIBOR) in mid-November.
So, if my thesis is correct that the collateral of the ABX index is not representative and in fact represents an adverse or negative selection of outstanding securities, what we just observed is exactly what we would expect," says Youngblood.
Respondents were evenly split on whether the much used ABX index that tracks valuations of mortgage backed securities is a reliable (37%) or unreliable (34%) indicator of current market value.
The ABX Index is published daily by Markit Group Ltd.
10, the ABX index for AAA tranches of subprime mortgages originated in the first quarter of 2007 stood at 89.
28 NOTE: The ABX Index is a series of credit-default swaps based on 20 bonds backed by subprime mortgages.