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July 21, 2007

ABX Mortgage Index

A way to measure the effects of problems in the sub-prime mortgage
sector is to look at Credit Default Swaps (CDS). Remember that these
CDS contracts effectively work as a kind of insurance policy for banks
or other holders of bad mortgages. If the mortgage goes bad, then
the seller of the CDS must pay the bank for the lost mortgage payments
(alternatively ... if the mortgage stays good then the seller makes a lot
of money).

The index that measures the CDS market for home equity is called
the ABX.HE index. The sub-variation of this index that refers to risky
sub-prime loans is called the ABX.HE BBB index.
Markit's ABX catalog.

The ABX.HE BBB index. It has dropped by about 5-7% since July of 2006.
This is a _substantial_ drop! Notably, there was a major plummet of the
index starting in Dec 2006 when some of the dealers in risky mortgages
started going belly up.

Via "CreditMag, Roubini, and Housing Derivatives.

July 20, 2007

Myalgic Encephalopathy is the new yuppie flu

Many patients point to another problem with chronic fatigue syndrome:
the name itself, which they say trivializes their condition and has
discouraged researchers, drug companies and government agencies
from taking it seriously. Many patients prefer the older British term,
myalgic encephalomyelitis, which means “muscle pain with inflammation
of the brain and spinal chord,” or a more generic term, myalgic

Chronic Fatigue No Longer Seen as ‘Yuppie Flu’
Published: July 17, 2007.

July 15, 2007

Bond Market Association, Securities Industry and Financial Markets

SIFMA, the Securities Industry and Financial Markets Association
represents the industry (eponymously)..

Born of the merger between The Securities Industry Association and
The Bond Market Association, SIFMA is a 'single powerful voice'.

Example publication: Mortgage Prepayment Projection Tables,
PSA Median, CPR average, etc.

More in Quant Finance, mortgage.

July 14, 2007

NetBanker / Jim Bruene

Net Banker / Jim Bruene tracks online banking
for financial industry. Banking Camp.

July 12, 2007

Morgage Doom by Roubini

Nouriel Roubini preaches doom for the mortgage world.
Quantified doom is rather small though.

July 8, 2007

Mortgages for nerds

Tanta's ubernerd tour of the mortgage business.

Mortgage Servicing
Negative Amortization
Private Mortgage Insurance
Foreclosure and REO
Delinquency and Default
Reverse Mortgages

July 7, 2007

Digital Money Forum

Digital Money Forum keeps on top of electronic payments.
Example: ATM anniversary.

July 5, 2007


capitaliq corporate data: credit review.

July 4, 2007

New NBER papers

New Papers at National Bureau of Economic Research (NBER).