Basics of Credit Derivatives

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Credit derivatives terminology

By Vinod Kothari  

ABX.HE: An index of credit default swaps on several home equity securitization transactions. Since home equity securitizations typically pool subprime loans, the index reflects the view that the trader/investor takes on the health of the subprime home loan market, which, in turn, may be affected by macroeconomic factors affecting quality of consumer credit.

 

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