ABS & Mortgage Credit Weekly: H22026 Outlook

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ABS & Mortgage Credit Weekly: H22026 Outlook

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10 Jul 2026 16:25:24 ET │ 36 pages

ABS & Mortgage Credit Weekly

H2 2026 Outlook

CITI'S TAKE

Eugene Belostotsky AC

We maintain our $385B ABS and $240B Resi gross supply forecast for FY +1-212-816-8432

2026. ABS supply growth is driven by data centers, aircraft and whole- eugene.belostotsky@citi.com

business securitizations, while non-QM/Prime2.0/Second Liens are

boosting Resi issuance. While spreads have tightened from YE 2025 levels, Isabella Chen AC

we still see value in subprime auto and non-QM. +1-212-723-0039

isabella.chen@citi.com

Consumer/Mortgage Credit Is Holding Up — Healthy job market is underpinning AC John Jenkins, CFAconsumer and mortgage credit performance. Even as delinquencies are increasing

across consumer/mortgage credit, stable vehicle and house prices are limiting +1-212-816-3418

DQ/default roll rates. We expect this dynamic to continue for the rest of the year, john.jenkins@citi.com

even as the job market may weaken slightly. AC Maria Zhang

ABS Issuance — Data center ABS issuance increased to $11B YTD, from $7B at this +1-212-816-4213

point last year. Aircraft supply has recovered from pandemic-era lows, with H1 maria.yunxi.zhang@citi.com

supply of $9B already matching full-year 2025 levels. Consumer ABS supply of

With thanks to~$130B in H1 2026 is roughly flat relative to H1 2025.

Daniel Oliva

RMBS Issuance — Resi issuance reached $130B in 1H 2026, surpassing 1H 2025 by

over 60%, led by non-QM ($60B), prime 2.0 ($26B), and HELOC/CES ($22B). We

expect issuance to reach $240B by year-end 2026. Non-QM issuance could surpass

the $100B mark, supported by resecuritizations, presenting upside risk to our

forecast.

Non-QM Call Outlook — 25 deals ($5.7B) have been called in 1H 2026. With 62