The purpose of the indices was to allow investors to trade exposures to the subprime market without holding the actual asset backed securities.
The ABX.HE Index was created from "qualifying deals of 20 of the largest sub-prime home equity ABS shelf programs from the six month period preceding the roll.
"[6] Beginning in 2004, with housing prices soaring and the mortgage mania in full swing, Mr. Egol began creating the deals known as Abacus.
[7] According to a [8] New York Times article, Goldman Sachs used an ABX index to bet against (i.e. short) the housing market in 2006.
"[8][6] On Saturday/Sunday, November 5–6, 2011 in "Prime Signs of Pain Emerge", the Wall Street Journal[9][10] offered an extensive and literate discussion of fall of the "PrimeX Index"[11] which (to paraphrase the WSJ) focuses on "prime-mortgage bonds" that are "supposed to be of high quality".