HOUSING DERIVATIVES

ABX Index To Postpone New 2008 Series Launch

The ABX Index is a series of credit-default swaps based on 20 bonds that consist of subprime mortgages. ABX contracts are commonly used by investors to speculate on or to hedge against the risk that the underling mortgage securities are not repaid as expected.

The ABX Index has four series trading, two for 2006 and two for 2007. Markit, owner of the Markit ABX.HE index, announced today that the roll of the Markit ABX.HE has been postponed for three months.  In January 2008, the ABX 08-1 was scheduled for launch.  From Markit news release:

"The new series, the Markit ABX.HE 08-1, was scheduled to launch on 19 January 2008. The decision to postpone its launch was taken following extensive consultation with the dealer community. It follows a lack of RMBS deals issued in the second half of 2007 and eligible for inclusion in the forthcoming Markit ABX.HE roll. The Markit ABX.HE 07-2 remains the on-the-run series until further notice."

All opinions expressed herein are those of the author, and no statement should be as an offer to buy or sell any futures contract, or security or option or other derivative instrument. Trading of all such futures, securities, options and other derivative instruments entails significant risk which can result in substantial financial loss. Such risks should be fully understood prior to trading.  Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment advisor before making any investment decisions.

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Housing Derivatives - New Arizona Index

Arizona State University announced the development of housing price indexes for Arizona MSAs.  Download Repeat-Sales-Report1107with-Graphs.pdf  Currently, Radar Logic RPX and S&P/Case-Shiller list Phoenix data.

All opinions expressed herein are those of the author, and no statement should be as an offer to buy or sell any futures contract, or security or option or other derivative instrument. Trading of all such futures, securities, options and other derivative instruments entails significant risk which can result in substantial financial loss. Such risks should be fully understood prior to trading.  Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment advisor before making any investment decisions.

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Housing Derivatives - ABX Bounce

All ABX tranches for the 07-1 series have bounced off of lows made in late November / early December.  The AAAs, AAs and As have made the biggest bounces (nearly 10%) and the BBBs bounced approximately 5%.   The RPX housing swaps and CME housing futures markets have remained pinned at their pricing lows (see previous post). 

All opinions expressed herein are those of the author, and no statement should be as an offer to buy or sell any futures contract, or security or option or other derivative instrument. Trading of all such futures, securities, options and other derivative instruments entails significant risk which can result in substantial financial loss. Such risks should be fully understood prior to trading.  Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment advisor before making any investment decisions.

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Housing Derivatives - TFS Housing Metrics Report

Attached is the lastest TFS Housing metrics Report highlighting the housing derivatives markets for Radar Logic RPX and CME housing futures (S&P/Case-Shiller). Download 12112007_tfs_housing_metrics.pdf

All opinions expressed herein are those of the author, and no statement should be as an offer to buy or sell any futures contract, or security or option or other derivative instrument. Trading of all such futures, securities, options and other derivative instruments entails significant risk which can result in substantial financial loss. Such risks should be fully understood prior to trading.  Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment advisor before making any investment decisions.

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Housing Derivatives - Analytical Research

Our friends at Altos Research have started to publish a national housing market data set.  This set includes statitics on Listing Inventory, Days On Market, Percentage of Inventory with Price Reductions and Median Listing Prices.  The December 10, 2007 Update is attached here Download Altos_Research_National_Report_Dec_2007.pdf

All opinions expressed herein are those of the author, and no statement should be as an offer to buy or sell any futures contract, or security or option or other derivative instrument. Trading of all such futures, securities, options and other derivative instruments entails significant risk which can result in substantial financial loss. Such risks should be fully understood prior to trading.  Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment advisor before making any investment decisions.

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Housing Derivatives - Radar Logic RPX and S&P Case-Shiller Observation Counts

RPX compared the observation counts between the Radar Logic RPX indices and the S&P/Case-Shiller Indices.  Download RPXDealerAlert.pdf   Since January 2006, RPX daily prices are based on twice as many transactions at the S&P/Case-Shiller Indices for 18 MSAs.  This in part reflects the inclusion of condominium and new home sales in RPX data.

All opinions expressed herein are those of the author, and no statement should be as an offer to buy or sell any futures contract, or security or option or other derivative instrument. Trading of all such futures, securities, options and other derivative instruments entails significant risk which can result in substantial financial loss. Such risks should be fully understood prior to trading.  Any action that you take as a result of information, analysis, or advertisement on this site is ultimately your responsibility. Consult your investment advisor before making any investment decisions.

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