| The Markit ABX.HE index is a synthetic tradeable index referencing a basket of 20 subprime mortgage-backed securities. |
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| Product summary: |
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| Markit owns and administers the ABX.HE, which is a liquid, tradeable tool allowing investors to take positions on subprime mortgage-backed securities via CDS contracts. The index has become a benchmark for the performance of subprime RMBS. Its liquidity and standardization allows investors to accurately gaugue market sentiment around the asset-class, and to take short or long positions accordingly. |
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| Key benefits: |
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| The multiple market-maker platform, with proven track record in the credit indices and an initial focus on the home equity ABS sector, ensures liquidity. |
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| An objective, rules-based approach to portfolio construction and the availability of daily closing prices at www.markit.com provides critical transparency. |
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| Standardization is a consistent theme, ranging from the selection of reference obligations to contract documentation to availability of payments amounts. All are calculated and posted monthly. |
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| Markit provides a free PV calculator to market participants to enhance the liquidity and transparency around the index. |
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| Key functions: |
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| Standardized basket of subprime RMBS reference obligations investors can use to gain exposure to asset class. |
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| Benchmark index for CDS on subprime RMBS. |
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| Liquid market tool serving as a gauge for RMBS. |
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| Free Markit calculator allows market participants to agree on PV when trading the index. |
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| Daily composite levels allow for market participants to track movements in subprime RMBS market sentiment. |
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