In their Securitization Weekly Overview, Bank of America Merrill Lynch analysts highlighted the “unusual” co-existence of the risk-on and risk-off trades that has emerged this year.

In 2011, ABX prices came down as treasury yields moved lower. However, thus far in 2012, the 10-year treasury yield is hovering at the historic 220-year low as of June 1. At the same time, the ABX price is up by 17.6% over the same period.

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