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U.S. ABS – A Month In Review By Market (January 2010) February 05, 2010

Structured Finance Indices
The Structured finance indices stabilized going into February, with noticeable recoveries in the both the CMBX and TRX.NA indices. The CMBX indices experienced several interest shortfall payments this month, and the TRX.NA indices had a positive spread return from the end of last month. Both were initially hit in 2010 because of the Stuyvesant apartment complex default.

The ABX.HE saw a slight spike in write-downs in January 2010, but most of its price levels were unaffected. Nevertheless, we expect price action for the ABX to be driven more by technicals, loan modifications, current to delinquent transitions, and loss severities, more than implied write-downs.

End Of Month Remittance
January ABX remittance data was relatively muted with no surprises, either positive or negative, from a performance standpoint. Voluntary prepayments continue to trend at a very slow pace, just north of 1% on average, and severities have declined slightly to ~68% across the indices. As seen below, delinquencies showed some signs of stabilization with the 60-89 buckets declining ...

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