Asset-backed securities

Asset-backed securities (ABS) are financial securities backed by a loan, lease, or receivables against assets other than real estate and mortgage-backed securities. The ABS market had its start in 1985 when Sperry Lease Finance Corporation sold fixed-rate notes collateralized by computer leases. In 1986 GMAC issued notes backed by automobile loans. Lehman Brothers (now Barclay's Capital) introduced an index of asset-backed securities, the Barclay's Capital U.S. Fixed-Rate Asset-Backed Securities Index in January 1992 when it was also added to the U.S. Aggregate Bond Index in its entirety.

Common assets securitized into asset-backed securities include:
 * Credit card receivables
 * Auto loans
 * Utility rate reduction bonds
 * Home equity loans
 * Student loans

Index
Barclay's Capital provides an index of asset-backed securities, the Barclay's Capital U.S. Fixed-Rate Asset-Backed Securities Index. The index was introduced in January 1992 when it was also added to the U.S. Aggregate Bond Index in its entirety. The U.S. Fixed-Rate Asset-Backed Securities (ABS) Index covers fixed-rate ABS with the following collateral types: credit cards, autos, and stranded-cost utility (rate reduction bonds). To be included in the index, an issue must have a fixed-rate coupon structure, have an average life greater than or equal to one year, and be part of a public offering.

Over time, the Barclay's Capital U.S. Fixed-Rate ABS Index has added and removed a number of security classes from the index. For example, the index added manufactured housing securities to the index in 1999 and removed them from the index in 2008. Home equity loan securities were originally included in the index, but were excluded from the index starting in 2010.

Barclay's Capital also provides and index for floating rate ABS securities, the Barclay's Capital U.S. Floating Rate ABS Index. The index was introduced in May 2005 with history available from January 2005. The U.S. Floating-Rate Asset-Backed Securities (ABS) Index covers floating-rate ABS with the following collateral types: home equity, credit card, auto (retail and wholesale loans), and student loans. To be included in the index, an issue must have a floating-rate coupon structure, have an average life greater than or equal to one year, and be ERISA-eligible.

Merrill Lynch also supplies an ABS index, the Merrill Lynch US ABS Index.

The following table provides ABS index return data.

'''Table 1. Asset-backed securities Index returns'''