Citigroup Global Markets securitization analysts said in a report today that the global slowdown, Europe's debt crisis and the deteriorating U.S. economy have bolstered the ABS market's resolve to remain short and high quality.
This strategy is proven in the current positive ABS performance. According to the report, in August ABS returned 0.39% on a duration-adjusted basis, outperforming high grade corporate (0.21%), agency (0.20%), the BIG index (0.15%) and the MBS index (0.05%).
"The core consumer ABS sectors like credit card, auto and FFELP student loan ABS are low volatility sectors offering good spread pickup to Treasurys and agencies," analysts said in the report.
