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European ABS – Two Weeks In Review By Markit (Feb. 12-25) February 25, 2010

The European asset-backed securities market has had limited trading activity over the past fortnight. This week has seen a mild pickup in activity in ABS with various trades including commercial mortgage-backed securities, Granite AAA and mezzanine and PERMM. Granite AAA’s have increased in price slightly from 89.5 to 90.5 (with a slight difference between euro/pound sterling and U.S. dollar tranches). The performance of most prime and nonconforming residential mortgage-backed securities repayments has dipped from December 2009 to January 2010. The decrease in prepayments is not unusual during the post-Christmas season.

Top Five
We are seeing both improvers and deteriorators this week. One CMBS and one German auto loan have seen their spreads tighten, while we have seen two CMBS bonds and one U.K. conforming RMBS bond widen this week, as noted below.

European ABS Total Return
Total return curves have been constant over the past two weeks, reflecting the lack of price movement during this period.

European CDS of ABS:
Credit default swaps of ABS levels have remained constant over the past two weeks.

Primary Market And Rating Actions
On the primary market, Silk Road Finance 2010-1, a U.K. prime RMBS from Co-operative Bank, had several tranches publicly placed and retained recently. The A1 tranche was priced at ...

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