Bloomberg.com: U.S.
The index [ABX] tracks 20 asset-backed securities that contain loans rated BBB-, the lowest level of investment grade debt. Based on the index, it costs an investor $267,000 to protect $10 million of bonds against default for five years, up from $205,000 in August. The investor would get face value for the bonds in exchange for the securities should a borrower fail to adhere to the debt agreements.
Here’s a very interesting
report done on ABX constituents by Nomura.
It is quite shocking to me that MASTR (one of the 20 constituent deals) backed by UBS has the highest concentration in the West with over 73% and also the highest concentration of IO with, read this, 100%.
"Unsurprisingly, the UBS/MASTR deal again tops this list with
77% of its active loans having been underwritten with low documentation."
Tuesday, October 24, 2006
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