Items Tagged with 'ABX'

ARTICLES

  • For Subprime, is it Deja Vu All Over Again?

    I know, I know. Subprime is so, like, 2007. And most of the financial press has moved onto sexier mortgage words like "option ARMs," or "FHA loss reserves." That said, I thought it would be interesting to dive back into subprime waters, taking a granular look at individual deal performance using November remittance data from that old standby, the ABX. (For those that don't recall, the ABX index was launched by Markit in 2006 to track the private-party subprime RMBS market — and it allowed some hedge funds an easy mechanism to short the market for subprime mortgages.)
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  • Prime RMBS Index Postponed, MarkIt Says

    It was such a small press statement, but one imbued with indelible meaning -- Markit, the financial technology firm that manages indices for the subprime and commercial mortgage securities markets, said earlier this week that it had postponed a planned launch of a new index tracking against prime RMBS.
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  • Markit Looks to Past for Latest ABX Addition

    Markit, the financial information services company that owns the Markit ABX.HE inde -- commonly referred to as the ABX, for short -- said Wednesday that it plans to launch an ABX.HE 05-2 index on Oct. 2. The ABX.HE is a tradable synthetic index of U.S. sub-prime asset-backed securities.
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  • BIS: ABX Overstating Potential Subprime RMBS Losses

    In its second paper this year to take aim that the so-called ABX indices, which are based on credit derivatives written on MBS backed by subprime mortgage loans, the Bank for International Settlements suggested again late last week that financial firms marketing subprime RMBS assets based on pricing inputs from various ABX contracts may be overstating potential losses in the securities.
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  • Signs of recovery overestimated?

    Here at HW, we've been covering what appears to be a potential rebound in the secondary mortgage market. But at least one senior exec is pulling a "not so fast" response to that sort of thinking. Via MarketWatch, late last week:
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  • Shell Game: Are Rating Agencies Holding Off on AAA RMBS Downgrades?

    (Update 1; adds ASF rate freeze quote, discussion) A groundbreaking report from Mark Pittman at Bloomberg argues that despite all of the downgrades that have hit subprime residential mortgage-backed securities in the past year, the major rating agencies have yet to downgrade the class of RMBS that matters most: AAA-rated bonds.
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  • Andrew Lahde on CMBS: Look Out Below!

    Andrew Lahde of the aptly-named Lahde Capital is one of the rock stars of the current market -- one of his hedge funds returned an astounding 870 percent last year by shorting the ABX indices. That fund has now wound up its positions; not because residential real estate and subprime debt don't have further to fall -- they do -- but because he felt it was getting too expensive to bet on a continued downturn. (In other words, everyone's sort of figured out by now that subprime stinks, and that this real estate thing is likely to suck for some time).
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