The ABX indices, a series of credit-default swaps based on 20 bonds that consist of subprime mortgages -- widely used here at HW and elsewhere to get a read for what's taking place in the mortgage markets -- are the latest victim of the mortgage crisis. Markit, the dealer responsible for administering the ABX, said it has been forced to postpone the 2008-1 series of indices for three months because there hasn't been enough securitization volume to make them mean anything. From a press statement issued by the firm (hat tip, Housing Derivatives):
The new series, the Markit ABX.HE 08-1, was scheduled to launch on 19 January 2008. The decision to postpone its launch was taken following extensive consultation with the dealer community. It follows a lack of RMBS deals issued in the second half of 2007 and eligible for inclusion in the forthcoming Markit ABX.HE roll. The Markit ABX.HE 07-2 remains the on-the-run series until further notice.
Markit said that only five deals so far have qualified for inclusion in the 2008-1 series. The delay is a hit to a market already in desperate need of further transparency, as the ABX indices have become one of the few windows into the ABS market for many industry participants and observers. For more information, visit