When debt markets become gripped by the fear of credit erosion, investors head for high-grade markets such as government bonds or Pfandbriefe. This time around, European investors on a flight to quality have also migrated to the asset-backed securities (ABS) market.

Despite rapid growth over the past three years, ABS is still an unknown quantity to many investors, who are deterred by perceived negatives such as lack of liquidity or transparency and pre-payment risk.