By The Numbers

• European ABS – Two Weeks In Review By Markit 08/20/2010 04:23 PM  

  The volatility seen in broader credit markets has not been reflected in European ABS. This comes despite iTraxx Senior Financials Index seeing a bumpy ride from the end of July, tightening on the back of stress test results, only to widen to pre-stress test levels two weeks later.

• US ABS - A Month In Review By Markit (July 2010) 08/03/2010 03:28 PM  

  Agency MBS pass-throughs continued to perform well in July versus both Treasuries and swaps. Lower coupon Fannie 30-year TBA’s, namely 4.0’s, 4.5’s and 5.0’s rose by 0.50 – 1.25 pts.

• European ABS – Two Weeks In Review By Markit 07/16/2010 02:46 PM  

  The European ABS market has remained mostly quiet over the last four weeks. We have seen spreads slightly tighten, despite the end of the ECB’s rescue program and the ongoing sovereign debt crisis.

• U.S. ABS – A Month In Review By Markit (June 2010) 06/30/2010 09:14 PM  

  Agency mortgage-backed securities pass-throughs performed well over the course of June, outperforming swaps.

• European ABS – Two Weeks In Review By Markit 06/18/2010 02:59 PM  

  All eyes were on Hilton’s London Metropole hotel in North West London this week where the European ABS market participants gathered for their annual get together.

• U.S. ABS – A Month In Review by Markit (May 2010) 06/03/2010 07:24 PM  

  Agency MBS pass-throughs performed well over the course of May, in line with longer-dated Treasuries and swap spreads. To-be-announced bonds across the coupon stack rose by 4-5 points over the course of the month as investors fled to more liquid sectors of the bond market as concerns mounted about various European nations’ sovereign debts.

• European ABS – Two Weeks In Review By Markit 05/17/2010 05:14 PM  

  It will come as no surprise that the topic dominating the debt capital markets has been the Greek crisis and the bail-out that (eventually) arrived in the form of a huge stability fund.

• U.S. ABS – A Month In Review By Markit (April 2010) 05/04/2010 08:44 PM  

  Agency mortgage-backed securities pass-throughs performed well versus Treasuries and swaps over the course of April after announcements in March from Fannie Mae regarding buy-outs, which helped remove some of the uncertainty that had hurt dollar roll prices previously.

• European ABS – Two Weeks In Review By Markit (April 1-14) 04/15/2010 03:36 PM  

  Over the last two weeks most of the senior tranches have remained unchanged. It seems that the attention of asset-backed securities investors is now on mezzanine and junior tranches as price improvement has been seen only in this area.

• U.S. ABS – A Month In Review By Markit (March 2010) 03/31/2010 08:00 PM  

  Agency mortgage-backed securities pass-throughs had mixed performance versus Treasuries and swaps over the course of March.