Markit to Launch Index Tied to Subprime Loans

Wall Street Journal (09/11/08) P. C3; Ng, Serena
In response to requests from market participants looking for more ways to hedge their positions, financial information provider Markit plans to launch the ABX.HE 05-2 index on Oct. 2. The derivative index will consist of credit-default swaps linked to subprime mortgage securities that were issued in the first and second quarters of 2005. It will allow banks, brokerages and hedge funds to both trade and hedge positions in securities issued during that six-month time span. Existing indexes of the ABX are tied to mortgage securities that were created between July 2005 and June 2007, with issuance of subprime-mortgage securities virtually nonexistent since then.