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European ABS – A Week In Review By Markit (March 1-10) March 10, 2010

European ABS Pricing And Sectors
March started very quietly on the European asset-backed securities secondary market. Globally, spreads have been tightening slightly and most cash prices have been improving. For example Granite AAA, AA, A and BBB, which two weeks ago traded at respectively 90, 70, 60 and 37, are now traded at 91.5, 72, 63 and 38.
Greater volatility but more improvement has been seen in sectors such as commercial mortgage-backed securities and U.K. nonconforming residential mortgage-backed securities. The credit card market was also positively impacted when MBNA Europe announced it will increase the support to both of its U.K. credit card trusts, Cards I and II, which will add 20.9% to the original credit enhancement. The direct effect of such announcement was a massive price increase regarding the existing securities of these trusts.
One more deal was publicly priced this week: Fosse Master Issuer 2010-1. The senior tranches of Fosse were successfully placed as the spreads tightened right after issuance from 120 to 116 basis points.

Top 5:
Both deteriorators and improvers are present in this week Top Five showing mixed feelings on the market.

European ABS Total Return
No major movements have been seen in our total return curves.

European CDS of ABS:
As with prior weeks, the ABS synthetic market remains stable with no major trades reported. CDS of ABS on U.K. prime RMBS ...

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