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U.S. ABS – A Mid-Month Review By Markit (Dec. 1-17) December 17, 2009

The outlook going into year-end has been positive, as indicated by movements in the asset-backed securities and credit default swaps markets. Fears surrounding Dubai have subsided for the most part, and the Dow Jones Industrial average rose towards 10,500. Additionally, five-year CDS spreads on financials have tightened, particularly Citigroup, in reaction to news that they will be repaying Troubled Asset Relief Program loans. The Markit Structured Finance Indices and single-name ABS have had a positive December at the synthetic and the cash level, with the exception of synthetic home equity, which has widened slightly this month.
Source: Markit CDS Source: Dow Jones & CBOE

U.S. Structured Finance Indices
The biggest news this month has been the announcement that Markit is planning to launch both the ABX.Prime index and the IOS index in the first quarter of 2010. Both index concepts had passing votes at the ...

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