The ABX indices by markit are based on credit default swaps (CDS) for specific tranches of sub-prime mortgage backed securities (MBS). (From Calculated Risk, check this post)
More losses to come? I would imagine the people getting really hit now the AAAs - the 07-2 index has gone from 50 down to 36 in a month or so. Even the CMBX - an index based on Commercial MBS, is at horribly bad levels. (High is bad for CMBX, which is quoted as a spread, and is at all time highs everywhere)
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