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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.
Recent market price indications on the ABX index result in an estimated loss of $3.
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.
The information above contains forward-looking statements, including without limitation, statements about the expected effects of the ABX Index and the continued deterioration of the U.
Markit, in its role as calculation agent, is currently working on an enhanced version of its ABX Calculator, which is used for the settlement of ABX index trades.
Similar to the ABX index which launched in January this year, the index family consists of five indices based on the 25 most recent CMBS deals.
As with the Dow Jones CDX and iTraxx families of credit derivative indices, the ABX index will roll every six months.
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