次级债交易市场Markit及其指数ABX.doc

次级债交易市场Markit及其指数ABXIndices债务抵押债券市场Markit是在美国银行间形成的场外市场。为1000家以上的机构提供信贷衍生品交易服务的公司Markit Group Limited由家大银行合股形成, 提供标准化资产支持证券（ABS）及担保债务凭证（CDO）产品的交易平台及报价。市场由15家银行组成做市商，为买卖双方提供报价。因主要参与者是大型机构，单手交易金额巨大，市场流动性较差。由于是自律监管，透明度不够。2005年11月Markit推出住房抵押债券系列指数ABX.HE。住房抵押贷款债券每半年合成一批，上半年的一批后缀-1，下半年后缀-2；每批分为五个级别：AAA,AA,A,BBB,BBB-，其中BBB以下的属于次级抵押贷款债券；每个级别的债券需家以上的机构分别提供有评级机构认可的、不少于亿美元的债券包，再由信贷衍生品交易公司制作成标准化、指数化的交易标的。由于打包时每种债券都是100美元的面值，指数刚开始也是100，所以指数（ABX Indices）也就对应该类债券的价格。Markit现在交易的有种房贷债券。每种债券的指数的名称包括其级别和批次，比如ABX.HE_BBB 07-01指的是2007年上半年BBB级的房屋抵押贷款债券。抵押贷款债券的规模和价格是判断总损失的关键。这里有张图是美国部分抵押债券2007年1月到2007年9月中旬的走势图，数据来自信贷衍生品交易公司的报告，下跌幅度可谓惊人。次级债的现状进入2008年住房抵押贷款债券继续下跌。下面的表格中，可以看到1月31日的报价。A级以下包括BBB-级的次级贷款算术平均亏损约80；AA级的亏损约50，AAA级亏损约20。6.2万亿美元抵押贷款债券加权平均损失为70%20%14%80%+16%50%=33.2%。来源：Markit由于购房人违约率不断提高，次级抵押债券持有者首先出现恐慌，在这个流动性较差的市场只要很小的抛售就可把价格打下来，次级债危机引发了高等级债券的避险抛盘，扩大成了整体性危机。考虑到次级抵押贷款对应的房产价值即便遭遇拍卖也不至于跌去，我们认为债券市场已经提前反映了房屋市场的可能亏损。这种过激反应主要来源于金融市场投资者风险意识增强，回避高风险资产，主动收回流动性。如果美联储能从市场外部有效注入流动性,债券价格回升，损失会自动弥补一部分。但因投资者信心目前很脆弱，估计流动性的紧缩很难在半年内恢复。房屋按揭信貸違約掉期信貸違約掉期(Credit default swap)市場近年急促發展，漸漸已成為信貸市場的重要指標。在2007-2008年環球信貸風潮期間，信貸違約掉期更是萬眾觸目的焦點。以CDX北美投資信貸違約掉期指數為例，它在2007年1月至6月間的價位由29-50點，由6月末期開始上升，8月時升至80點，10月時回落至40點水平，然後一路搶升至2008年3月10日192.5點高位，跟著回落至5月間的87-100點水平整個走勢反映甚至領先信貸市場及股市。信貸風潮的源起是美國的次按問題，而ABX指數正是反映次按價格的信貸違約掉期。ABX指數由20隻次級按揭債券的信貸違約掉期組成，一如其他信貸違約掉期，ABX指數可作對沖及投機之作，不用說，現在市場買賣自以投機之用為多。ABX指數和CDX指數及其他信貸違約掉期不同之處是ABX指數是以美元報價，其他則以點子報價。所以當CDX指數及信貸違約掉期上升，即點子差價上升，即表示信貸不穩，信貸保費上升，與信貸違約有關的債券價值下跌；當ABX指數上升時卻表示其底下的按揭債券信貸情況向好，價值上升，反之當ABX指數向下時則表示其底下的按揭債券信貸情況轉壞，價值下跌。現在ABX指數在2008年時有4組(series)06-1、06-2、07-1、072，每組有5部份(tranches)AAA、AA、A、BBB、BBB。06、07是指年份，即2006年及2007年發行的次按；5部份則是這些次按的投資評級。例如ABX-HE-AAA 06-1的讀法便是ABX=ABX指數，HE=home equity(住宅房屋貨貸款)，AAA=AAA級，06-1=2006年第一組。假如報價是80，即是說該組每一美元面值的按揭債券的現值是80美仙(80 cents on the dollar)，如果報價是70，即表示該組按揭債券的價值下跌了。ABX指數和CDX指數一樣是在場外交易，每日收市報價可在M找到。Markit是16間銀行有股份的私人信貸衍生工具報價公司，除了CDX、iTraxx及ABX指數外，還有其他信貸衍生工具報價，包括反映商業房屋按揭的CMBX指數。ABX指數是一個頗具爭議性的指數，有不少分析員認為它由太少房按債券組成，入選的債券又偏向低評級較低的證券，所以ABX指數反映的違約率遠比實際違約率為高，因此在使用ABX指數時要多加小心，多看其方向而非具體數字引申出來的違約率。CDS IndexCo LLC(Logical Link Control) See LANs under data link protocol. LLC - Logical Link Control . Click the link for more information.(CDS IndexCo), a consortium of 16 investment banks that combined to create tradable synthetic indices, and Markit Group Limited (Markit), the leading provider of independent data, portfolio valuations and OTCOTCSee: Over-the-counter.OTCSee over-the-counter market (OTC). . Click the link for more information.derivatives trade processing, announced today the roll of ABX.HE ABX.HE Asset Backed Securities Index - Home Equity , a synthetic ABS index of U.S. home equity asset-backed securities. The new series, ABX.HE 07-1, references a new set of underlying deals issued within the past six months.Unlike the CDX CDX Companion Dog Excellent (AKC Obedience Title)CDX Cyber-Defense ExerciseCDX Central Data ExchangeCDX Community Development Exchange (UK community development organization)CDX Commercial Data Exchange and iTraxx indices where the roll concept is designed as a way for investors to retain exposure to the most liquid series of credits, and where liquidity tends to be concentrated in the most recent on-the-run series, ABX.HE is designed so that each series provides a unique vintage profile.Whereas rolling from one series of CDX or iTraxx indices to the next has historically changed ones exposure by only 3-5%, when rolling from ABX.HE 06-02 into ABX.HE 07-1, the new series will consist of a unique set of deals that provide participants with vintage exposure to a specific six month period, namely:* ABX.HE 06-1 represents home equity underwritten in the second half of 2005;* ABX.HE 06-2 represents home equity underwritten in the first half of 2006; while,* ABX.HE 07-1 represents home equity underwritten in the second half of 2006.Additional details and considerations concerning the roll of the ABX.HE indices, as well as a complete list of reference obligations, coupons and index RED codes can be viewed at: .Market-makers in the ABX.HE indices include the following: ABN AMRO; Bank of America See also: and Bank of America (NYSE:BAC TYO: 8648 ) is the largest commercial bank in the United States in terms of deposits, and the largest company of its kind in the world. . Click the link for more information.; Barclays Capital; Bear Stearns; BNP Paribas; Citigroup; Credit Suisse; Deutsche Bank; Goldman Sachs; JPMorgan; Lehman Brothers; Merrill Lynch; Morgan Stanley; RBS RBS Royal Bank of ScotlandRBS Role Based SecurityRBS Rollback SegmentRBS Rare Book School (University of Virginia)RBS Rural Business Cooperative ServiceRBS Ribosome Binding Site (genetics)Greenwich; UBS UBS Union Bank of SwitzerlandUBS United Bible SocietiesUBS United Blood ServicesUBS United Buying ServiceUBS Used BookstoreUBS University Business ServicesUBS Universal Building Society (UK)UBS Ulaanbaatar Broadcasting System ; and Wachovia.Markit is the administration, calculation, and marketing agent for the ABX.HE indices. This broad remit includes capturing daily price fixings, publishing monthly fixed and floating payments, and supplying a calculator for the analysis and settlement of trades; handling rules, operations, marketing, and analytics; negotiating dealer and data licenses, and communicating information to the wider market.Each series of the ABX.HE indices is a family of five sub-indices, each of which consists of a basket of 20 credit default swaps Credit Default SwapA swap designed to transfer the credit exposure of fixed income products between parties.Notes:The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. referencing U.S. sub-prime home equity securities. As with the CDX and iTraxx families of credit derivative Credit DerivativePrivately held negotiable bilateral contracts that allow users to manage their exposure to credit risk. Credit derivatives are financial assets like forward contracts, swaps, and options for which the price is driven by the credit risk of economic agents (private indices, the ABX.HE indices will roll every six months. The underlying bonds that serve as reference obligations are selected through a polling process of the ABX ABX AntibioticsABX Airborne ExpressABX AbstractingABX Albury, New South Wales, Australia - Albury (Airport Code)ABX Automatic Branch ExchangeABx Non-AntibioticsABX Asset Backed Securities IndexABX Acoustic Bass Extension dealer group by Markit, in order to select the most liquid securities backed by home equity loans.In order to qualify for index selection, an issuer must have rated bonds for each of the AAA AAA:see American Automobile Association. (Triple A) A common single-cell battery used in a myriad of electronic devices of all variety. Like its double A (AA) cousin, it provides 1.5 volts of DC power. When used in series, the voltage is multiplied. , AA, A, BBB BBBA medium grade assigned to a debt obligation by a rating agency to indicate an adequate ability to pay interest and repay principal. However, adverse developments are more likely to impair this ability than would be the case for bonds rated A and above. , and BBB- categories. One bond from each deal will be referenced in each sub-index, and bonds must be rated by Moodys and S&P, with the lesser of the two ratings applying. The five sub-indices are based on the rating of the reference obligations which are equally weighted at index launch. Subsequent weightings may change based on the performance of loans in the underlying pools.The minimum deal size is $500 million, and each tranche referenced must have a weighted average life of between four and six years, except for the AAA tranche, which must have a weighted average life greater than five years. No more than four deals can be selected from the same originator, and no more than six deals can be selected with the same master servicer.Unlike the corporate CDS indices, the ABX.HE contract component trades are reference obligation-specific, rather than entity-specific. Also, unlike corporate bonds which are bullet maturity, ABS bonds amortize at variable rates over the life of the instrument. An ISDA ISDASee: International Swap Dealers Association Pay-As-You-Go (PAYG PAYG Pay As You Go ) template, the standard for U.S. residential mortgage-backed securities, references each bond. Traditional credit events, as they apply to the PAYG contract, do not form part of the index contract therefore all settlements will occur through the Floating Payment mechanism covering interest shortfalls, principal shortfalls and writedowns.For further information on ABX.HE: see or contact Ben Logan, Managing Director, Product Development at Markit on +212 931 4925, or any of the participating ABX dealers listed below: ABN AMRO Patrick Phalon, Corporate Communications, (212) 409-6473Bank of America Louise Hennessy, GCIB Communications, (212) 847-5403Barclays Capital Kristin Friel, Corporate Communications, (212) 412-7521Bear Stearns Renu Aldrich, Associate Director, (212) 272-2097BNP Paribas Edwina Frawley, (212) 841-3719Citigroup Danielle Romero-Apsilos, Corporate and Investment Banking Group Communications, (212) 816-2264Credit Suisse Pen Pendleton, Corporate Communications, (212) 325-2590Deutsche Bank Michele Allison, Press Office, (212) 250-4864Goldman Sachs Michael Duvally, VP, Media Relations, (212) 902-2605JPMorgan Brooke Harlow, Corporate Communications, (212) 270-7381Lehman Brothers Kerrie Cohen, Corporate Communications, (212) 526-4092Merrill Lynch Kristin Celauro, Media Relations, (212) 449-2004Morgan Stanley Mark Lake, Media Relations, (212) 761-0814RBS GreenwichCapital Peter Ward, Corporate Communications Director, (203) 618-6783UBS Kris Kagel, UBS Corporate Communications, (212) 713-8703About CDS IndexCoCDS IndexCo is a consortium of 16 investment banks which are licensed as market makers in the ABX, CMBX CMBX Commercial Mortgage Backed Securities Index and CDX indices. The market makers include: ABN AMRO, Bank of America, Barclays Capital, Bear Stearns, BNP Paribas, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC HSBC Hongkong and Shanghai Banking CorporationHSBC Humane Society of Broward County (Florida)HSBC Humane Society of Bay County (Bay County, Michigan), JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, UBS, and Wachovia.About MarkitMarkit Group Limited is the leading provider of independent data, portfolio valuations and OTC derivatives trade processing to the global financial and commodities markets. The company receives daily data contributions from over 70 dealing firms, and its services are used by almost 1,000 institutions to enhance trading operations, reduce risk and manage compliance.Markits position in the derivatives markets has been acknowledged by the industry with numerous awards. In 2006, the company won Operations Managements Vendor of the Year award (Trade Processing); Financial News Best Derivatives Data Solution and Best New Vendor Solution (Portfolio Valuations); Credits Best Operational Support Services support servicesPsychology Non-health care-related ancillary serviceseg, transportation, financial aid, support groups, homemaker services, respite services, and other services Provider; Inside Market Datas Reference Data Provider of the Year, and Company to Watch; Risks Trading Initiative of the Year (Credit Event Fixings); and Structured Finance Internationals Editors Award for Advancing Structured Finance. In 2005, Markit received International Securitisation Reports Editors Award for Innovation; International Financing Reviews Innovation of the Year (Credit Event Fixings); Financial News Best Derivatives Data Provider; and Operations Managements Vendor of the Year award.What is ABX.HE index?When Markit Group Ltd. started indexes of the subprime-mortgage market in 2006, there was no fanfare. They were called the ABX.HE indexes, and for many months, most investors had no idea of the market measures with the wonky name. The ABX, launched in January 2007, serves as a benchmark of the market for securities backed by home loans issued to borrowers with weak credit.“Creating visibility and transparency was a goal of the index, but not everyone knew it would be so closely followed,” said Ben Logan, a managing director at Markit Group, a London-based company that specializes in credit derivative pricing and administers the index.Now, the indexes are some of the most closely watched barometers on Wall Street. They are a focal point for trading in the U.S. subprime-debt markets which lately have come to dominate attention on Wall Street because of problems at two big Bear Stearns Cos. hedge funds.What do the numbers in ABX series mean?How does MarkIt collect ABX.HE index data?From offices in London, Markit collects credit-default-swap pricing data from about 80 credit-market dealers. Markits computers then compile and clean those data and distribute them early the next morning to clientsHow does MarkIt publish ABX.HE index data?Any given ABX.HE index comprises just 20 names, all of which are mortgage-backed securities with the same credit rating, and all of which were issued within six months of each other. Each name carries a 5% weight in the index.The level of the index reflects not the price at which those names are trading, but rather the price at which credit default swaps on those names are trading. (The MBSs themselves barely trade.)How does ABX.HE index data look like?Source:abx pageIf you click on each index name, it will show the constituents (20 mortgage-backed assets).What does each column mean?Heres the definition of the various columns:1. Index. This isABX-HE, the index for mortgage loan insurance derivatives. 2. Series. This incorporates two subfields: 3. Tranch. The values are: AAA, AA, A, BBB, BBB- . These are the investment grades. “AAA” is the highest investment grade, representing loans to the most creditworthy corporations. “A” is the investment grade for standard prime mortgages (the old fashioned kind, where you put down a 20-30% down payment, and then make monthly payments based on a fixed interest rate). “BBB” and “BBB-” are the investment grades for the riskiest subprime mortgage loans, with “BBB-” being the riskiest. 4. Version. The values are: 06-1, 06-2, 07-1, 07-2. 06-1 refers to loans made prior to the first half of 2006 (H1 2006 or 1H2006). 06-2 refers to loans made prior to the second half of 2006 (2H2006). 07-1 refers to loans made prior to the first half of 2007 (1H2007). 07-2 refers to loans made prior to the second half of 2007 (2H2007). The launch date for the index is determined by the Version: 06-1 was launched on January 19, 2006; 06-2 was launched on July 19, 2006; 07-1 was launched on January 19, 2007; 07-2 was launched on July 19, 2007; 5. Coupon. This is the annual payment. When you purchase this insurance, you have to pay this percent of the amount being insured at the beginning of each year. 6. RED ID. This is the index code identifier. 7. Price. This is the current index value, and it represents an additional premium price above the Coupon percentage. This price index is always 100 on the day that the index is launched. As investor confidence changes, this value increases as confidence increases, and decreases as confidence decreases. This is the value that analysts are watching, because its been dropping like a stone. 8. High and Low. These are the high and low daily values of the index price since the index was launched. 9. Factor. The portion of principal currently outstanding is expressed as a Current Factor, which is initially 1.How ABX is priced?The ABX.HE indices trade based on price rather than spread, with a pre-determined fixed coupon (i.e., Fixed Rate) unlike the indices of corporate CDS, such as the DJ CDX and the iTraxx, with the exception of EM and HY. The fixed coupon is determined before the launch of the new series. If the quoted price of an index is different from par, the seller and the buyer of protection settle the difference when they enter into a transaction.If the quoted price is below par, the protection buyer makes a payment to the protection seller. Over the life of a contract, the protection buyer pays the Fixed Rate Amount14 to the protection seller, based on the current notional amount of the index. As in the cash bond market, a market price above par means that the market spread is tighter than the fixed rate, and vice versa.As in a single-name ABS CDS, the notional amount of an index is adjusted as any of the reference ABS (1) amortizes or prepays, (2) is written down, (3) defaults, or as (4) previous floating amount events are “reversed” (i.e., reimbursements occur). Unlike the single-name case, however, the index notional reflects change in the notional amount of all reference ABS in the index portfolio, which are initially equally weighted.Now, lets take an example. Lets suppose that youre a bank, and you have $10 million in high-grade “AAA” mortgage loans on your books, and another $10 million in “BBB-” subprime mortgage loans. Youre afraid that some of your b