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U.S. ABS Review By Markit (June 1-July 1) July 02, 2009

After a rocky start to the summer, levels for the Markit structured finance indices and single name credit default swaps of asset-backed securities remained fairly stagnant in the second half of June. The asset-backed market has been showing signs of contraction leading into the beginning of the Public-Private Investment Program in July. Sentiments surrounding the Term Asset-Backed Securities Loan Facility and PPIP initiatives are turning negative, as the criteria for asset eligibility is changing due to rating agency action, and investors are finding it harder to believe that a government-sponsored program will allow them to reap the benefits of a solution to the crisis.

Source: Markit

Source: Dow Jones & CBOE
U.S. Structured Finance Indices
The Markit CMBX indices took a big hit in early June in reaction to the announcement that Standard & Poor’s would be changing their ratings methodology for commercial mortgage-backed securities, some of which had recently been deemed eligible for the TALF program. S&P placed 8 out of the 125 CMBX.NA.AAA constituents on negative watch, although they remain at the AAA level. Despite this change, the indices recovered going into July in light of the announcement and pricing of several resecuritization CMBS deals from Morgan Stanley, Bank of America and Citi.

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