Operations performance indexes
The US Mortgage-Backed (MBOP) and US Governments (USGOP) markets operations indexes deteriorated visibly, two weeks before press stories broke in late June detailing the troubles in subprime hedge funds. The MBOP slide appears to have spilled over to the US Governments market operations performance. These changes are most likely a result of the collateral seizures involved, clearly demonstrating the ripple effect that deterioration in one market can have on another.
The MBOP index declined to 56 basis points during the week of June 20, a deterioration of 47 bps from its recent low two weeks earlier, while the USGOP index deteriorated less, to 32 bps. The combined movement represents a combined increase in the underlying unrealised risk for these markets in excess of $30 billion.
– Bob Fawls, Basis Point Group
Top five op risk loss events in June 2007
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