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U.S. ABS – A Month In Review By Markit (Dec. 15-Jan. 20) January 21, 2010

As the holidays and year-end approached, Markit ABX.HE prices remained fairly stable across the entire series. The lone exception was in the ABX.HE.AAA and PENAAA. The Markit CMBX indices showed significant improvement. However, the trend in the CMBX has reversed since the beginning of 2010. The more noteworthy story so far in early 2010 seems to be the renewed appetite for RMBS securities by both investors and dealers. Large volumes of bonds traded off bidlists, with prices rallying by as much as four to five points on prime and subprime 2006 and 2007 paper. All of this price action happened in the first week of January, with momentum stalling in the second week a bit under the weight of additional secondary supply.
In addition, there appears to be a renewed push to reopen the private label RMBS market, with reports of dealers shopping ...

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