European ABS Chartbook

Research evidence excerpt

European ABS Chartbook

July 20, 2026 01:02 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

Morgan Stanley & Co. International plc+

• A quick reminder on Extel. This is the last week of polling. If you have liked our work, we would be very thankful for your support in the

European ABS and European CLO categories. Please click on Extel | Voting Help to vote/request a ballot. Thank you! Vasundhara Goel

• New issue supply was busy for another week across diverse collateral types. Sterling RMBS supply comprised two BTL deals along with Strategist

Coventry’s prime deal and pricing on TOGET BTL’s AAA came at +90bp - the widest level for the year for UK BTL AAAs suggesting some Vasundhara.Goel@morganstanley.com

fatigue given elevated GBP volumes in the past few weeks. Overall, YTD new issue volumes stand at €107.3bln. +44 20 7677 0693

• GLGE 3 made the final payment to its noteholders and while F noteholders had agreed to receive below the original par of the tranche, it

paid down in full leading to no default on the single-B tranche. Assuming 90c issue price, we calculate equity IRR of minus 4.7%.

Meanwhile, July equity payments are coming through for EU CLOs and so far the median payment (to par) is tracking 2.2% - lower than

previous readings. We think a combination of factors is playing a role here. Tighter repriced loans are feeding into the lower than usual Recent Reports

payments, but we think Euribor fixings are playing a role too. Euribor across tenors has gone up recently but about 15% of the collateral is EU Consumer ABS - What Lies Beneath?

linked to 6m Euribor which could be creating volatility due to mismatches in reset timings. Also, loan issuers typically have the ability to (15 Jul 2026)