The Lehman Brothers ABS Index posted the best half-year of performance since its inception 11 years ago, Lehman researchers reported. The ABS market was led by the MH sector, with 290 basis points of excess return, and the RRB sector, which produced 169 basis points of excess returns. The Lehman ABS Index posted 124 basis points of excess return versus benchmark Treasuries in the first half of 2003. ABS outperformed MBS (46 bp) and Agency debt (56 bp) by a wide margin. However, the ABS market has lagged the CMBS (159 bp) and Credit (347 bp) sectors, with the latter benefiting from a powerful spread rally throughout the first half. "This strong showing is a sharp rebound from the last six months of 2003, when the index lagged Treasuries by 135 basis points," the firm said.
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