Wednesday, November 12, 2008

ABX and CMBX Cliff Diving

by Calculated Risk on 11/12/2008 09:37:00 PM

Check out the ABX-HE-AAA- 07-2 close today. More Cliff Diving!

Note: The ABX indices are based on credit default swaps (CDS) for various tranches of subprime mortgage-backed securities (MBS). For some background, here is a post at the Cleveland Fed back in March, 2007.

All of the CMBX indices are setting new record lows again.

Check out the CMBX-NA-BB-4 close today. To the moon, Alice!

The CMBX is a CMBS (Commercial Mortgage-Backed Securities) credit default index just like the ABX - except up is down for the CMBX indices. The CMBX is quoted as spreads, whereas ABX is quoted as bond prices. When the spreads increase - chart going up - the bond prices are going down.