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Subprime Lending

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Collateral Damage: ABX 2008 Index Roll Delayed 

Dec 20, 2007By

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.

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