NEW YORK-Widespread talk of a meltdown in the U.S. housing market - and the effects it might have on the structured finance market through the RMBS sector - have not diminished the popularity of carry trades in the cash CDO market. Indeed, the power play continues to attract a lot of hedge fund and similar fast-money players, said several analysts at the Bond Market Association's (BMA) CDO Investors Conference held here last week.

"It's been remarkable to me how well the carry trade has continued to perform in the face of an obvious backup in rates," said Arvind Rajan, a managing director at Citigroup Global Markets. Carry trades, particularly those that involve going short on particular parts of the transaction and retaining the cost of the carry, makes a lot of sense for the ABS market, and the CDO structure is the best way to pull it off, panelists at the conference said.

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