| The Markit TABX.HE indices are tranched versions of the Markit ABX.HE, created by further dividing the principal balances of the Markit ABX.HE.BBB and Markit ABX.HE.BBB- indices. |
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| Product summary: |
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| The Markit TABX.HE, or the Markit ABX.HE Tranche Indices, were constructed using the underlying names of the BBB and BBB- Markit ABX.HE Indices; each set combining the 07-1 and 06-2 reference obligations. The goal of the Markit TABX.HE is to provide investors with the ability to gain/hedge their exposure on the underlying names to specific tranches of varying levels of risk within the portfolio structures. The indices account for Writedowns, Principal Shortfalls, and their respective Reimbursements. |
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| Key benefits: |
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| Index provides opportunity for more granular exposure to the BBB and BBB- rated tranches of the ABX.HE. |
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| Artificial attachment and detachment points create different levels of risk within BBB and BBB- rated securities. |
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| Each TABX.HE index is exposed to two series of the ABX.HE index (40 bonds instead of 20). |
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| Markit provides daily pricing and monthly payment information for the index. |
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| Key functions: |
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| Additional options for synthetic exposure to subprime MBS. |
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| Insight into pricing on lowest rated tranches of the ABX.HE. |
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| Index serves as a guage for market sentiment surrounding the lower rated tranches of subprime RMBS. |
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