A new set of ABX's will begin trading tomorrow - the 07-2 ABS series which will gauge mortgages originated during the first half of the year. Some have speculated that the coming introduction of the 07-2 led to some liquidation of 07-1s this week. The triple BBB- 07-1 tranche sits these days at a moribund 45. I'm not so sure I buy into the idea of rotational prep as a reason for the the 07-1 meltdown of the last few weeks, though today there was a modest snap back.
Since subprime didn't become a red alert issue well into late February and early March, it's not hard to imagine that this stuff will be as toxic looking as the 07-1 series. For good measure, the new series will also have a larger percentage of 40 year loans.... yes, 4 - oh.... 40, forty, not a typo.
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