- Auch die FT hat heute die AAA ABX im Visier (mTuL) - DT, 01.11.2007, 14:11
- Und hier noch ein sehr guter Artikel ĂĽber die Derviate, die CDOs (mTuB) - DT, 01.11.2007, 15:05
- Re: Auch die FT hat heute die AAA ABX im Visier / Danke! (o.Text) - ---Elli---, 01.11.2007, 20:08
Auch die FT hat heute die AAA ABX im Visier (mTuL)
-->Fall in ABX sparks fresh credit fears
By Stacy-Marie Ishmael in New York and Gillian Tett in London
Published: October 31 2007 22:03 | Last updated: October 31 2007 22:03
The ongoing crisis in the US housing market is pushing a key mortgage-linked derivatives index to new lows, threatening to unleash a further bout of credit market upheaval.
The price swing in the index, known as the ABX, is particularly significant, since it is starting to reduce the value of credit instruments that carried high credit ratings, and were therefore supposed to be ultra-safe.
Some analysts fear that the price moves could force banks and other investors to make further large writedowns on their credit market holdings, on top of the huge losses some European and US banks suffered after this summer’s credit turmoil.
“As the fundamental news on US mortgages worsens, financial sector losses will accumulate,” said Tim Bond, analyst at Barclays Capital. “To judge from secondary market prices, losses on mortgage inventory are likely to be larger in the fourth quarter than the third.”
The main way that the financial industry currently tracks mortgage-linked securities is via the ABX index, which calculates the prices of a basket of assets associated with subprime loans.
Until a couple of months ago, the part of the ABX index that tracks AAA debt was trading almost at face value. However, in the past three weeks it has fallen sharply due to downgrades by credit rating agencies and a slew of bad data from the housing sector.
As a result, the so-called ABX 07-1 index - which tracks AAA mortgage bonds originated in the first half of this year - fell to a record low close of 79 on Tuesday, meaning that traders reckon these bonds are worth only 79 cents on the dollar.
The swing could create real pain for investors, since in recent years numerous firms have created trading strategies which have loaded large debt levels onto these “safe” securities, precisely because they assumed these instruments would never fluctuate in price.
“The last week has seen some of the worst falls in the ABX market this year, especially higher up the capital structure [with highly rated debt],” said Jim Reid, head of fundamental credit strategy at Deutsche Bank. “These precipitous falls are going to be hurting someone. However, perhaps this won’t fully surface until fourth quarter earnings are reported.”
Copyright The Financial Times Limited 2007
http://www.ft.com/cms/s/0/8d5c20e0-87e1-11dc-9464-0000779fd2ac.html?nclick_check=1
GruĂź DT
PS: Das Verhalten der Banken von heute (CoBa, Postbank, DeuBa und auch die Allianz) sieht angesichts der 25 bp Heroininfusion von gestern abend gar nicht gut aus. Ich wĂĽrde sagen: cold turkey.
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