European ABS Chartbook: Highlights of the week

Research evidence excerpt

European ABS Chartbook: Highlights of the week

June 22, 2026 12:59 PM GMT

RESEARCH DATA

M O R G A N S T A N L E Y R E S E A R C HEuropean ABS Chartbook Europe

Highlights of the week

• The post Barcelona new issue pipeline is filling up well. A range of transactions are marketing including the first French consumer ABS Morgan Stanley & Co. International plc+

from Younited Credit since 2019, Paratus’ first Twin Bridges BTL since 2023 (Paratus issued mixed pools from its Braccan program over

Vasundhara Goel

the past three years) and a debut French prime RMBS. Pricing at strong levels last week was Dutch prime RMBS DELPH with the AAA

Strategist

tranche at +42bp – the tightest spread since early 2025. The run-rate of Dutch prime RMBS issuance has been relatively healthy YTD Vasundhara.Goel@morganstanley.com

compared to the recent years. We calculate €3.5bln of Dutch prime issuance YTD – above the last five full-year average of €3bln. In CLOs, +44 20 7677 0693

two new issues priced last week. CLO new issue volumes stand at €27.6bln YTD, while refi/reset volumes are at €27bln.

• Inflows into EU CLO ETFs have taken the AUM close to €2.2bln now. YTD, inflows into the ETFs aggregate over €1bln, driven by flows

into the existing ETFs as well as the launch of two new vehicles (M&G and Muzinich) over the past weeks. Spreads in secondary Recent Reports

ABS/CLOs were flat to a touch tighter over the week with senior ABS/CLO spreads only 2-5bp away from the YTD tights while IG mezz is

CLO Ratings - Recent Methodologyabout 10-15bp away. Deep mezz in CLOs remain dispersed.

Changes (18 Jun 2026)

• ICYMI, we took a quick look at the ratings landscape of EU CLOs in the context of Fitch and Moody’s CLO methodology change

proposals (CLO Ratings - Recent Methodology Changes (18 Jun 2026)).