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The ABX.HE CDS index is recovering and ticking back up. The 06 series mark 1 versions reached the 91.63 price point on a rising base: a sign of a recovering and more secure market.

ABX.HE.AAA.06-1: Credit Default Swap Index over AAA tranche ABS securities (2005 vintage).

Some Quick Analysis

So, taking the AAA tranche that were insured by the ABX.HE.AAA.06-1 CDS index, the upfront protection collateral transfer stands at $610k for a $10 million notional exposure (0.728889194 pool factor as of 25th March 2011 fixings) with a $13.12k per annum insurance premium. That is a 27% reduction in upfront collateral payments requirements since October 13th 2010.

Correction To Post
The section entitled “Breakeven Yield”, now removed, included a flawed assumption in its calculation over the underlying Asset Backed Securities and should not have been included in the initial publication. The protection collateral transfers and insurance premium calculations remain valid.

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