Please forgive me for re-posting same stuff every day, but I cannot ignore major events even if they repeat again and again 🙂

Today the “AAA” grade paper of ABX index crashed badly:


The “AAA” transhe of ABX indices is the most important one, as the series are chopped the way that “AAA” makes over 70% of all papers (making flying pigs, in other words). The coupon on this paper is 9bp, the 2 day loss is 125bp, i.e. 14 years of income are lost in two trading sessions. You find the word for it.

Separately, the good LBO proxy index, LCDX, crashed by another 15bp today. Not so horrible as ABX, but extremely important for all this takeover mania