European ABS & CLO Mid-Year Outlook: Tailwinds > Headwinds

研报英文原文证据摘录

European ABS & CLO Mid-Year Outlook: Tailwinds > Headwinds

M O R G A N S T A N L E Y R E S E A R C H

European ABS and CLO Mid-Year Outlook

May 21, 2026

The Year So Far | Supply and Spreads So Far

• Primary: Primary markets had a healthy start to the year and while ABS markets stayed busy through the March/April volatility, CLO

supply slowed down a bit after a record-breaking February. CLO activity has resumed now and pipelines are filling up, deals across

the ABS/RMBS space are getting upsized, spreads are tighter – especially in the mezz – and demand is healthy. Overall, YTD

issuance stands at just under €70bln (inc ~€20bln NI CLOs) and, on a net basis, YTD supply is ~€35bln.

• Spreads: We entered the year on a positive note and spreads rallied meaningfully across the board in ABS as well as CLOs. A

combination of supply, software headlines and geopolitics widened CLO spreads, but ABS/RMBS spread widening remained broadly

well contained through the volatility. The potential for de-escalation has reversed the widening trend. CLO spreads are generally back

to end-2025 levels (with dispersion), while ABS/RMBS spreads have only a little way to go before they touch the YTD tights in the

senior, while ABS/RMBS mezz spreads are close to the post-GFC tights now.

Year-to-date gross issuance at just under €70 billion YTD secondary spread moves – 2026 tights, wides and current

levels Spreads (bps)

EUR bln RMBS ABS CLO CMBS 50

180 UK Prime Snr 46 57

160 78

UK NC Snr 73 84

140 77

120 UK BTL Snr 72 83

100 41

NL Prime Snr 39 47

80 61

60 EU Cons. (P) Snr 55 64

40 44 EU Auto (C) Snr 41 50

20 90

0 EU CLO 2.0 Snr 90 99

2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 130

YTD EU CMBS Snr 115 130