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