April 19, 2007
CMBS BBB- Spread — Putting the Recent Spike in Perspective
I was looking for the ABX.HE indices on the Bloomberg and was surprised to learn that they don’t carry them. They do have a similar set of indices put out by Morgan Stanley (?) and here’s the chart for their Commercial Mortgage-Backed Security BBB- spread (over the 10-year Treasury).
You can see how it spiked up with the week ending March 2nd, and has continued to climb every week since. But compared with the action surrounding the Russian debt crisis back in 1998, this recent jump is a walk in the park.
Of interest? Commercial Mortgage Securities Association
Cat: | Time: 9:53 pm (utc+8)
April 19th, 2007 at 10:45 pm
FYI- you may need have an arrangement with Markit to access the ABX indices via BB.
April 19th, 2007 at 10:56 pm
Chris: The Bloomberg rep told me they’re considering adding the ABX indices but just haven’t yet. For $1500 a month I shouldn’t have to monkey around making special arrangements with Markit or anyone else, don’t you think?
April 20th, 2007 at 1:50 am
For $1500 a month they should provide you with any type of service that YOU want.
April 20th, 2007 at 3:53 am
I requested the data from Bloomberg a while ago — they said are in negotiations with Markit and the ABX indices should be available in the near future.
April 20th, 2007 at 7:34 am
AC: Yeah, they told me the same thing but the “near future” is pretty vague. The CMBSBBB- is a weekly number and I’d like to look at day to day index values, which I think the ABX.HE provide.
July 19th, 2007 at 7:00 pm
[…] Barry posted some daily charts of the ABX.HE indexes the other day which were pretty interesting. As I’ve complained about before, Bloomberg doesn’t carry the ABX.HE indexes so I have no way to look at them, and all I have at my disposal are the Morgan Stanley CMBS indexes which are only updated weekly. […]