In mid-April, Lehman Brothers reckoned that there were $18 billion to $25 billion of mark-to-market losses residing in ABS CDOs – both deals that had already closed and those still in the works. It is therefore not surprising that activity in the ABS CDO market seemed to dry up overnight; and appetite for home equity loan ABS dried up along with it. But within a few weeks the underlying market seemed to have staged a remarkable recovery; spreads in HEL ABS were tightening by eye-watering increments thanks to buying by those same ABS CDOs – happily ramping up as before....
