EU Consumer ABS - What Lies Beneath?

研报英文原文证据摘录

EU Consumer ABS - What Lies Beneath?

Idea

July 15, 2026 07:00 AM GMT

Morgan Stanley & Co. International plc+MEuropean ABS Strategy | Europe Vasundhara Goel

Strategist

EU Consumer ABS - What Lies Vasundhara.Goel@morganstanley.com +44 20 7677-0693

Beneath?

EU consumer ABS performance has been in the spotlight for the

past 2-3 years, with tiering framing the story. In this report, we

dive into loan level data to explore the drivers of fundamental

performance of the sector.

Key Takeaways

Headline metrics of consumer ABS performance have deteriorated over the past

2-3 years but not meaningfully so. However, there is some tiering across deals.

We analyse loan level data of over 50 EU consumer ABS to find sources of

performance tiering. We find a strong direct relationship between arrears and

borrowing costs.

We also find that lower income, lower ICR and, to a certain extent, self-employed

borrowers, underperform.

While credit support is strong and builds over time, we recommend testing the

weakest collateral group (we think >15% rate and <10x ICR are good thresholds

to consider) against the credit support.

Our preference lies in the senior tranches, not because we think mezz is at risk

from a credit perspective, but we think valuations lower down the stack have run

very tight.

We are competing in the 2026 Extel Fixed Income Research Poll in the European ABS

and European CLO categories. If you have liked our work, we would be very

thankful for your support. Please click on Extel | Voting Help to vote/request a ballot.

Thank you!

Exhibit 1: There is a strong direct Exhibit 2: The consumer ABS capital

relationship between borrowing cost structure is flat, we favour the AAAs

U

Previous tights Current spreads 180and arrears in EU consumer ABS 200 160