Asset Backed Credit Default Swap Benchmark Indices
For my own future reference, here is the link to the Markit web page for the ABX family of Asset Backed Credit Default Swap Benchmark Indices, that are used to hedge or place bets on the bonds used to finance subprime mortgages.
The most popular index right now is ABX-HE-BBB- 07-1, which gives you an inverse rating of the risk of default for the bonds of the most risky recent subprime mortgages. The index is sitting at 66.97, out of a maximum of 100.0, which is not exactly a "passing" grade in any school I've ever heard of. The lower the number, the more you have to pay to insure one of these BBB bonds against default.
Please note that this is not an actual measure of risk or estimate of the probability of default, but simply how people are "betting" on the risk of default.
-- Jack Krupansky
posted by Jack Krupansky @ 12:39 PM
1 Comments
1 Comments:
i read the article..have any idea of minimum balance to open an institutional acct. in credit swaps (i'm owner of an institution"
every time i call or email all the major (and minor ) market-maker banks they don't want to talk to non-institutionals (who are'nt substansial, i guess like my self) A position in a Single-name would cost the credit spread rate (bps)+ collateral which varies with respect to credit spread movement around a threshhold (+/- 2.5m)..that's not hard to achieve ,but they won't provide account info.
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