International SF Weekly: Unequal STS?

Research evidence excerpt

International SF Weekly: Unequal STS?

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International SF Weekly

Unequal STS?

The European SF primary market saw its usual serving of 10-12 deals pricing last week 25 May 2026

against only one from Australia. The pipeline, however, anticipates the opposite activity Structured Finance

this week. The secondary saw a different dichotomy: the CLO BWIC volume dropped by EMEA, APAC, LatAm

about a quarter WoW, while the ABS/MBS BWIC surged about four times WoW (including ABS CMBS RMBS CLO

Australian paper). Primary spreads are difficult to compare WoW given diversity of asset

classes and jurisdictions, but if CLOs is of any indication primary spreads are stable to AlexanderInt'l Str. Fin.Batchvarov,Strategist CFA

tighter: AAA CLOs are in the range of mid-to-high 120s, while BBB primary spreads BofA Europe (Zurich)

+41 44 297 7469

dipped inside 300bps. Secondary spreads were unchanged WoW on average, although alexander.batchvarov@bofa.com

we do not rule out some tightening or widening on individual deals. See, International Altynay Davletova, CFA

SF Weekly Data Addendum: Alternating BWICs, dated 25 May 2026. Int'l MBS/ ABS Strategist

MLI (UK)

+44 20 7995 3968

altynay.davletova@bofa.comCommentary: Unequal STS?

UK introduces a permanent regime recognizing EU STS (traditional, not synthetic) Mark Nichol

securitisations as equivalent to UK STS securitization for all practical purposes as of Int'lMLI CMBS/ABS(UK) Strategist

11pm on 30 June 2026. This is an unilateral move by the UK which favours UK +44mark.nichol@bofa.com20 7996 0965

investors (expanding their STS investible universe) and EU issuers (e.g. about 30% Dustin Walpert, CFA

of EU STS issuance is placed with UK based investors). We do not expect a European CLO Strategist

reciprocal response by the EU.