The ABX indices are market price indices of subprime RMBS.

As the US housing crisis began in

2007, subprime RMBS depreciation was observable via the falling ABX indices. Markit Inc.
owns and operates them.

RMBS dealers, including RBS, contributed daily quotes for various subprime RMBS, grouped per
their original credit ratings (from "AAA" to "BB") and issuance years. Markit pre-selected these
securities, solicited the dealer quote contributions, and aggregated them into each resultant
ABX index level. This process paralleled the LIBOR and FX market benchmarking, where major
banks contributed daily interest rate and currency quotes, respectively, and admitted to
providing falsified, off-market ones.

Between July and November 2007, RBS claimed to calculate the NAVs of its ABS CDOs, using
fair-market subprime RMBS prices, for marking them to market. RBS simultaneously
contributed such subprime RMBS price quotes to Markit, for daily calculation of the public
benchmark ABS indices (ABX) and Tranched ABX indices (TABX). Risk managers found that RBS
traders were marking their portfolios related to subprime RMBS significantly above fair-market
value.

 If RBS price contributions WERE falling like the ABX indices, that might evidence that
RBS knew that its subprime-backed ABS CDOs were falling similarly in NAV, and hence
over-marked.
 If RBS price contributions WERE NOT falling like the ABX indices, that might mean
above-market quotes for benchmark index calculation, resembling the off-market
quotes which many banks had fraudulently contributed to LIBOR and FX benchmarks,
potentially breaching Deferred Criminal Prosecution Agreements.

Please see US Court record, where RBS Greenwich risk manager Ian Gaskell acknowledges P&L
mis-alignment versus ABX index depreciation.
 162. A November 9, 2007, email exchange addressing a November 7 Flash Report,
evidences that RBS insiders were concerned at the significant disparity between the
Company’s asset valuations and movements in the ABX Index. In his November 9
message, Ian Gaskell, Head of Structured Products at RBS, advised other senior
managers in RBS’s Risk Markets Group, “I remain concerned that the fall in the ABX is
not being reflected in our valuations, and consequently we may not be accurately
reflecting the “true” daily p/l (I cannot comprehend how, in a falling ABX market, our
inventory has done anything other than also fall in value. . . .)”

http://securities.stanford.edu/filings-documents/1042/RBS_01/2009715_r02c_09CV00300.pdf