The financial markets, including structured products market, seem to be heading towards another period of caution.  As laid out in Securitization Weekly Overview, 24 February 2012, caution is warranted given the potential for higher oil prices (relatively strong economy & geopolitical risk due to tensions with Iran over that country’s nuclear policies), the possibility that the positive sentiment over recent developments in the Greek debt crisis begins to fade, and fiscal tightening and election year politics limit further progress in the US economy.  These factors, combined with strong year-to-date returns, have lead to a recommendation of scaling back exposure to securitized products and retaining exposure to only the highest-quality segments.  The higher quality segments would include virtually all ABS, leading us to remain constructive towards most ABS. So far this year, new issue volume is up 32% YOY with $25 billion issued across all ABS sectors.  The auto sector continues to dominate volume with deals in the prime & sub-prime auto loan sectors and dealer floorplan sector.  Secondary volumes remain relatively light, leaving spreads unchanged on a WOW basis. The auto sector has benefited from relatively strong credit performance (see following section), permitting issuers to lower required credit enhancement levels.  All else being equal, we believe delinquencies and defaults will be higher for loans originated in 2012, as the willingness to lend and borrower has increased for lenders and borrowers.  As a result, we would expect the level of credit enhancement on new deals to be fairly consistent with the levels seen on late 2011 and early 2012 deals.  Nevertheless, the level of gas prices is worth watching, as higher prices tend to have a negative impact on vehicle valuations. Recent economic strength (possibly offset by down-side risk to the economy due to fiscal tightening) and concerns regarding Iran could send gas prices higher. The ratings on the notes issued by Citibank Credit Card Issuance Trust (CCCIT) were placed on review for possible downgrade by Moody’s.  Separately, the ratings on the notes issued by Capital One Multi-Asset Execution Trust (COMET) were affirmed by Moody’s.  The rating actions on CCCIT resulted in some discussions but little, if any, trading activity or spread movement.  Meanwhile, longer dated notes issued by COMET were tighter by a few bps.  Trading activity and spread levels in the credit card ABS market are increasingly influenced by the rapid decline in the size of the market and significan 

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