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Friday, December 21, 2007

No Cliff Diving for 08-1

by Tanta on 12/21/2007 01:48:00 PM

Apparently we're not going to have an ABX.HE 08-1 to kick around any time soon:

New York, NY- Markit, the leading provider of independent data, portfolio valuations and OTC derivatives trade processing and owner of the Markit ABX.HE index, today announced that the roll of the Markit ABX.HE has been postponed for three months. The Markit ABX.HE is a synthetic index of U.S. home equity asset-backed securities.

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.

Under current index rules, only five deals qualified for inclusion in the Markit ABX.HE 08-1. Markit and the dealer community considered amending the index rules to include deals which failed to qualify initially but decided against this approach at this time.

Markit and the dealer community remain fully committed to the index and will update the market as and when appropriate.
I'm actually quite touched that they decided not to just re-write the rules to qualify any old deal they could scrape up. It's so . . . unusual for anything having anything to do with mortgages lately.

I don't know why some deals failed to qualify, but looking over the eligibility rules, I'd guess that the deals were either too small (under $500MM) or had a WA FICO greater than 660. Oh well. I guess I have to change my line: we're all prime now.

(Thanks, Buzz!)