Friday, December 21, 2007

Collateral damage: ABX roll delayed

(Housing Wire) 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.

From a press statement issued by the firm (hat tip, Housing Derivatives):

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.

Markit said that only five deals so far have qualified for inclusion in the 2008-1 series. The delay is a hit to a market already in desperate need of further transparency, as the ABX indices have become one of the few windows into the ABS market for many industry participants and observers.

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