ABX.HE index

Cleveland Fed on the ABX.HE index:

"This is the ABX.HE index, which is based on credit default swaps on different tranches of subprime mortgage-backed securities (MBS). Admittedly, unless you’re a financial markets junky it’s not at all clear what this index is saying, other than something called BBB is moving a lot more than the stuff called AAA. Let’s try to deconstruct what’s going on, keeping in mind that this is most definitely not investment advice. "