Change font size:

U.S. ABS – A Month In Review (February 2010) March 04, 2010

Structured Finance Indices
Throughout February, the Markit CMBX indices continued to improve at the AAA level, while the lower tranches of the index continued to decline in price. Cash commercial mortgage-backed securities constituents of the TRX.NA tightened this month, leading to another MTM cashflow to the long position holders of the index. Despite this tightening, the CMBX.NA.AJ indices continued their price drop and showed the largest movements of any Markit structured finance indices.

On the ABX.HE side, write-downs decreased from last month, continuing the trend over the past six months. However, losses managed to reach the AAA classes for the first time this month. The ABX.HE.PENAA.06-2 and the ABX.HE.AAA.06-2 both experienced “implied write-downs” this month, which occurs at the swap level when a certificate is undercollateralized but does not have a mechanism to write down at the cash level. This marks the first time that any of the ABX.HE.AAA or PENAAA indices have experienced any loss of principal.

End Of Month Remittance
February ABX remittance data continues to display no major surprises as it relates to performance. Voluntary conditional prepayment rate continue to trend lower and after our loan-level analysis across the indices, there has been an uptick in loan modifications as evidenced by an increase in loan balances from prior missed payments (negative ...

--------------------------------------------------------------------------------

Subscribe Here

Request a Free Trial

Free Trial

Already Have An Account?

Email Address:

Password:

Remember me? | Forgot your password?

You must be logged in to view this page. If you are already a registered user please log in. Alternatively, you can request a free trial or subscribe.