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  • ABX - HE Indices Dec-2012

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    darwinbondgraham
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    The ABX.HE Indices track the values of credit default swaps on US subprime mortgage bonds bundled into mortgage-backed securities from 2005 and 2006, the height of the housing bubble when some of the most predatory and unsustainable loans were made. There are hundreds of thousands of individual home loans bundled into the mortgage bonds that are again bundled into mortgage-backed securitie referenced by the credit default swaps which the ABX.HE tracks. In 2006 and 2007 a few hedge funds and investment banks used the ABX.HE to bet against the value of subprime mortgages by buying insurance through the index. It was a monster trade known as the "Big Short" that earned them billions. Some of the same investors today are now betting that the value of subprime mortgage-backed securities will rise as US home prices are showing increases. The "net notional" in this table is the key dollar figure to pay attention to. The net notional is the actual amount of protection being bought or sold, and the sum of money that would change hands if some kind of credit default or downgrade were triggered and the index dropped in value. As of December 22, 2012, financial speculators have put about $16 billion on the line, assuming some kind of change in home values.

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    ABX.HE Indices Dec-2012

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    The ABX.HE Indices track the values of credit default swaps on US subprime mortgage bonds bundled into mortgage-backed securities from 2005 and 2006, the height of the housing bubble when some of the most predatory and unsustainable loans were made. There are hundreds of thousands of individual home loans bundled into the mortgage bonds that are again bundled into mortgage-backed securitie referenced by the credit default swaps which the ABX.HE tracks. In 2006 and 2007 a few hedge funds and investment banks used the ABX.HE to bet against the value of subprime mortgages by buying insurance through the index. It was a monster trade known as the "Big Short" that earned them billions. Some of the same investors today are now betting that the value of subprime mortgage-backed securities will rise as US home prices are showing increases. The "net notional" in this table is the key dollar figure to pay attention to. The net notional is the actual amount of protection being bought or sold, and the sum of money that would change hands if some kind of credit default or downgrade were triggered and the index dropped in value. As of December 22, 2012, financial speculators have put about $16 billion on the line, assuming some kind of change in home values.

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    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    147 views1 page

    ABX - HE Indices Dec-2012

    Uploaded by

    darwinbondgraham
    The ABX.HE Indices track the values of credit default swaps on US subprime mortgage bonds bundled into mortgage-backed securities from 2005 and 2006, the height of the housing bubble when some of the most predatory and unsustainable loans were made. There are hundreds of thousands of individual home loans bundled into the mortgage bonds that are again bundled into mortgage-backed securitie referenced by the credit default swaps which the ABX.HE tracks. In 2006 and 2007 a few hedge funds and investment banks used the ABX.HE to bet against the value of subprime mortgages by buying insurance through the index. It was a monster trade known as the "Big Short" that earned them billions. Some of the same investors today are now betting that the value of subprime mortgage-backed securities will rise as US home prices are showing increases. The "net notional" in this table is the key dollar figure to pay attention to. The net notional is the actual amount of protection being bought or sold, and the sum of money that would change hands if some kind of credit default or downgrade were triggered and the index dropped in value. As of December 22, 2012, financial speculators have put about $16 billion on the line, assuming some kind of change in home values.

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    of 1

    Sheet1

    US Subprime Mortgage Backed Credit Indices


    Week Ending: 2012-12-21

    Index
    ABX.HE.A.06-1
    ABX.HE.A.06-2
    ABX.HE.A.07-1
    ABX.HE.A.07-2
    ABX.HE.AA.06-1
    ABX.HE.AA.06-2
    ABX.HE.AA.07-1
    ABX.HE.AA.07-2
    ABX.HE.AAA.06-1
    ABX.HE.AAA.06-2
    ABX.HE.AAA.07-1
    ABX.HE.AAA.07-2
    ABX.HE.BBB.06-1
    ABX.HE.BBB.06-2
    ABX.HE.BBB.07-1
    ABX.HE.BBB.07-2
    ABX.HE.BBB-.06-1
    ABX.HE.BBB-.06-2
    ABX.HE.BBB-.07-2
    ABX.HE.PENAAA.06-1
    ABX.HE.PENAAA.06-2
    ABX.HE.PENAAA.07-1
    ABX.HE.PENAAA.07-2
    Total

    Gross Notional (US


    Dollars)
    $4,623,415,808.00
    $1,788,731,000.00
    $2,268,833,199.00
    $246,795,000.00
    $4,086,691,500.00
    $2,236,792,441.00
    $1,160,506,324.00
    $300,158,000.00
    $11,168,293,401.00
    $8,207,657,596.00
    $7,020,743,998.00
    $2,213,725,100.00
    $4,633,200,175.00
    $4,060,631,919.00
    $295,964,900.00
    $115,000,000.00
    $3,132,430,884.00
    $4,014,036,167.00
    $144,580,000.00
    $2,574,151,000.00
    $4,001,682,065.00
    $2,217,724,135.00
    $856,127,000.00
    $71,367,871,612.00

    Net Notional (US Number of


    Dollars) Contracts
    $457,324,669.00
    123
    $680,188,293.00
    60
    $761,402,000.00
    42
    $76,749,000.00
    18
    $919,270,000.00
    225
    $236,500,000.00
    89
    $370,800,000.00
    81
    $89,610,000.00
    23
    $2,434,974,000.00
    462
    $2,409,674,997.00
    620
    $1,030,450,000.00
    293
    $327,539,000.00
    88
    $701,260,325.00
    73
    $1,359,698,051.00
    68
    $197,964,900.00
    30
    $95,000,000.00
    14
    $628,161,460.00
    79
    $1,093,095,598.00
    115
    $119,580,000.00
    10
    $668,363,000.00
    39
    $1,229,147,882.00
    414
    $603,701,000.00
    253
    $174,500,000.00
    94
    $16,664,954,175.00
    3313

    Page 1

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