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U.S. ABS – A Month In Review By Markit (Jan. 15-Feb. 16) February 17, 2010

U.S. Structured Finance Indices
Most of the movement in the Markit Structured Finance Indices this month occurred in the CMBX and TRX.NA indices. Despite a spike in spreads and drop in prices in January, the CMBX and TRX.NA indices have rallied going into mid-February.

Since the launch of the “AM” series of CMBX indices on Feb. 9, there has been a slight increase in prices, with most of the AM tranches trading right in between “AAA” and “AJ” price levels. The TRX.NA indices tightened in line with the Markit CMBX indices in light of the new transparency brought on by the “AM” ...

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