Post by jeffolie on Feb 10, 2007 19:58:16 GMT -6
Blood is starting to flow.
Sub-Prime Mortgages - ABX Index
The ABX Index, credit-default swaps based on bonds rated BBB- and consisting of sub-prime mortgages, is sharply lower week-on-week into February 9, 2007. The ABX index represents a basket of credit default swaps on high-risk mortgages and home equity loans. On asset-backed securities such as home equity loans, CDS provide a type of insurance against the default of a specific security. A deterioration of the ABX value generally signals that deliquencies and foreclosures among high-risk borrowers is increasing, weakening the performance of the mortgage pools.
Today, the ABX-HE-BBB- 06-02 derivative settled on a new low:
29-Dec-06 95.25%
5-Jan-07 93.53%
12-Jan-07 93.41%
19-Jan-07 92.88%
26-Jan-07 90.34%
31-Jan-07 87.98%
9-Feb-07 82.68%
www.housingderivatives.typepad.com
Subprime-Loan Woes Ripple Investors Seeking Insulation Sink Benchmark ABX
A steady stream of negative headlines on subprime mortgages hammered a small corner of the credit markets yesterday, as a key derivative index hit its weakest level ever.
Yesterday, hedge funds, banks and managers of collateralized debt obligations rushed into the riskiest slice of the benchmark ABX index to buy protection against a deteriorating subprime mortgage market.
The BBB-minus-rated portion widened more than 1.00 percentage point in active trade to 7.70 percentage points over the short-term Libor rate, according to one trader. Risk premiums on the index, which have been under pressure for weeks, widen when investors seek to buy credit protection as a hedge against weakness in the subprime sector of the housing market.
users1.wsj.com/lmda/do/checkLogin?mg=wsj-users1&url=http%3A%2F%2Fonline.wsj.com%2Farticle%2FSB117094948605802346.html%3Fmod%3Dtodays_us_money_and_investing
Sub-Prime Mortgages - ABX Index
The ABX Index, credit-default swaps based on bonds rated BBB- and consisting of sub-prime mortgages, is sharply lower week-on-week into February 9, 2007. The ABX index represents a basket of credit default swaps on high-risk mortgages and home equity loans. On asset-backed securities such as home equity loans, CDS provide a type of insurance against the default of a specific security. A deterioration of the ABX value generally signals that deliquencies and foreclosures among high-risk borrowers is increasing, weakening the performance of the mortgage pools.
Today, the ABX-HE-BBB- 06-02 derivative settled on a new low:
29-Dec-06 95.25%
5-Jan-07 93.53%
12-Jan-07 93.41%
19-Jan-07 92.88%
26-Jan-07 90.34%
31-Jan-07 87.98%
9-Feb-07 82.68%
www.housingderivatives.typepad.com
Subprime-Loan Woes Ripple Investors Seeking Insulation Sink Benchmark ABX
A steady stream of negative headlines on subprime mortgages hammered a small corner of the credit markets yesterday, as a key derivative index hit its weakest level ever.
Yesterday, hedge funds, banks and managers of collateralized debt obligations rushed into the riskiest slice of the benchmark ABX index to buy protection against a deteriorating subprime mortgage market.
The BBB-minus-rated portion widened more than 1.00 percentage point in active trade to 7.70 percentage points over the short-term Libor rate, according to one trader. Risk premiums on the index, which have been under pressure for weeks, widen when investors seek to buy credit protection as a hedge against weakness in the subprime sector of the housing market.
users1.wsj.com/lmda/do/checkLogin?mg=wsj-users1&url=http%3A%2F%2Fonline.wsj.com%2Farticle%2FSB117094948605802346.html%3Fmod%3Dtodays_us_money_and_investing