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ABX Index: Subprime Mortgage Backed Securities Index

The ABX index is a synthetic tradable index referencing a basket of 20 subprime mortgage-backed securities.

 ABX helps market participants assess the performance of subprime residential mortgage-backed securities (RMBS). Its liquidity and standardization enable investors to accurately gauge market sentiment around the asset class, and to take short or long positions accordingly.

Key benefits:

  • Transparency – Leverage indices that are constructed using an objective, rules-based approach and public availability of daily closing prices
  • Standardization – Rely on the standardized selection of reference obligations, contract documentation and availability of payments amounts with monthly calculation and posting
  • Sentiment – Track movements in subprime RMBS market sentiment with daily composite levels
  • Liquidity – Better understand liquidity and transparency around the index using our free PV calculator
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Important notifications and public information about our indices, including changes to upcoming series following index rolls, credit events on constituents and issuance of new indices.
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Documentation

Publicly available documentation relating to our indices, including methodologies, annexes and educational guides, as well as trading and legal documents for tradable indices.
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Customers

  • Banks
  • Asset managers
  • Hedge funds
  • Insurance companies
  • Corporate treasurers

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