One interesting instrument that has been used to take the pulse of the nonagency securitized residential mortgage market has been the U.S. subprime credit default swap index, and recently Fitch Solutions' dropped modestly and reversed its direction, ending what previously had been an unprecedented rally. This trend has looked likely to continue, although it could be short term.

As Fitch Solutions director David Austerweil recently explained that loosely put, what the U.S. subprime CDS index reflects is an aggregate weighted summation of prices from a seller perspective of "protection" on U.S. subprime RMBS.

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