FICC Focus Macro Matters: The Auto ABS Landscape With BI’s Chadehumbe
Apr 2, 2026
Rod Chadehumbe, Bloomberg Intelligence ABS strategist who analyzes auto-backed securities, joins to unpack the auto ABS landscape. He outlines findings from a new primer. Discussions cover why ABS spreads have moved differently from corporate bonds. He highlights credit enhancement that boosts upgrade odds and examines delinquencies, used-car prices, and macro risks like jobs and oil.
AI Snips
Chapters
Transcript
Episode notes
Recent Auto ABS Spread Compression
- Auto ABS spreads tightened sharply since October and now sit well inside their five-year average after bankruptcy fears faded.
- Rod Chadehumbe notes five-year average ~63bps and says recent compression may be rich if inflation eases further.
Volatility Alters Usual Yield–Spread Relationship
- Rising front-end yields typically compress short-duration spreads, but recent increased volatility has limited corporate spread tightening relative to ABS.
- Chadehumbe says ABS spreads widened only marginally while IG corporates saw larger volatility-driven moves.
Credit Enhancement Drives Upgrades
- Auto ABS historically show stronger upgrade-to-downgrade ratios than similarly rated corporates due to built-in credit enhancement.
- Since April 2024, 154 Bloomberg Auto ABS index bonds were upgraded with zero downgrades, supporting spread compression.