Serving the Quantitative Finance Community
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- mapleleafs
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Tranched ABX Index
Does anyone have materials about TABX? why they can offer high coupon and high spread?for example,A-Rating Coupon=44 Spread=244/198 Price= 93-16/95-00
Tranched ABX Index
You're asking why home equity CDS spreads have widened recently?
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- StructCred
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Tranched ABX Index
Are these actually rated by an agency? I haven't been following TABX closely recently, but I don't remember seeing any official ratings on the tranches. As far as the wide spreads go - I wouldn't call it surprising given the way the subprime debacle. The underlying ABX indices reference thin BBB and BBB- on highly correlated collateral, if anything senior TABX tranches seem tight.
Tranched ABX Index
jpmorgan has a recent paper (jan 07) titled 'Introducing ABX tranches'
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- NoelWatson
- Posts: 1
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Tranched ABX Index
A-rating coupon 44 is ABX not TABX.TABX are launched for BBB and BBB- ABX only.
Tranched ABX Index
anyone else trading TABX? would like to chat with anyone who does.
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- GammaSkimmer
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Tranched ABX Index
no one trades it really, its a busted product. the reason for various spread differences btwn ABX and TABX is an effect, I would think, of true waterfall structuring vs. linear combinations.
Tranched ABX Index
I've heard anecdotally that the TABX and even the ABX indices are dead products, prices continue to be published to keep the guys at Markit in a job. Are they just making up the prices? If not, in what sense is the market "dead"?
Tranched ABX Index
ABX, the index family, is certainly alive and kicking. There's no need to make up the prices as there's about $4-$5 billion in trading volume in ABX. Is the only products that is providing some transparency into the the opaque subprime MBS market.