Stunned by subprime

CDOs of ABSs

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February's repricing of US subprime mortgage assets was fast and furious. The impact of spread widening in subprime loans had an immediate effect on the market for collateralised debt obligations of asset-backed securities (CDOs of ABSs), with spreads on lower-rated tranches widening sharply. "When we start seeing subprime arrears being covered on (US news channel) CNBC, we know this market is getting very interesting," says Laila Kollmorgen, a senior ABS trader at BNP Paribas in London.

CDOs

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