The Markit ABX index is a synthetic tradable index referencing a basket of 20 subprime mortgage-backed securities.
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Markit ABX helps market participants assess the performance of subprime RMBS. Its liquidity and standardisation enable investors to accurately gauge market sentiment around the asset class, and to take short or long positions accordingly.
Objective, rules-based approach to index construction and public availability of daily closing prices
Standardised selection of reference obligations, contract documentation and availability of payments amounts, with monthly calculation and posting
Daily composite levels, enabling market participants to track movements in subprime RMBS market sentiment
Free PV calculator provided by Markit to enhance liquidity and transparency around the index