Markit plans to produce five ABX sub-indexes with ratings of AAA, AA, A, BBB and BBB–, allowing the construction of products based on more specific reference entities. The names in each index will be reviewed every six months.
Markit anticipates that the index will attract new participants to the asset-backed credit default swap market, increasing liquidity and helping holders of mortgage-backed securities use derivatives for protection against default.
Markit is a St Albans-based data services provider. CDS IndexCo is a New York-based consortium of 16 banks that make markets in Dow Jones credit derivatives indexes.
The week on Risk.net, November 25-December 1, 2016Receive this by email