ABX traders take stock after volatile week

North American home equity index ABX HE ended the week with a quiet Friday but overall activity during previous sessions was strong and saw a sharp snap back in performance.

Monday and Tuesday were greeted with good buying interest from various participants, say dealers, pushing up 06-1 triple-A from 72 at the week’s outset to a high of 75. However, Wednesday and Thursday the index followed CMBX in an about-turn as the short squeeze found a reverse and the triple-A price fell back all the way to around 70.

Despite the muted action on Friday, some dealers expect buying interest to resume on Monday at the current levels, mainly from proprietary trading desks. They note that subrpime cash b-wics are still trading at aggressive levels, with high participation and an increase in the share of seasoned mezzanine b-wics coming to market and trading up substantially.