欧洲ABS与RMBS月度报告2025年7月 - 澳大利亚RMBS信用表现

European ABS & RMBS MonthlyIssuancePlaced issuance in June totalled E14.7 billion (CLOs E5.6 billion), up from E10.8 billion (CLOs E3.3 billion) in June 2024. Thisbrings YTD issuance to E80.5 billion, up from E78.6 billion over the same period in 2024. While total securitised issuance is upYTD, this has been driven by CLOs, with non-CLO issuance down YoY from E51.3 billion to E48.6 billion.June saw 14 non-CLO transactions placed with investors, totawing E9.1 billion. Auto ABS issuance and UK Prime RMBS werekey drivers behind these volumes, accounting for 72% of ndn-CLO issuance between them. UK Prime issuance totalled 2.8billion in June, the largest single-month issuance sinee October last year.Topical - Australian RMBS Credit,PArformanceThis month's deck features a review of Australian RMBS credit performance, providing a historical analysis at both the issuerand deal level. While the sector has exhibited strong performance historically, with minimal defaults and even fewer losses, thisanalysis highlights the worst-performing transactions, including those during the GFC period.Credit fundamentalsLow unemployment and the prospect of falling interest rates (albeit gradual) bode well for credit performance. Unemployment,while expected to rise modestly, remains low by historical standards across most of Europe and the UK. Macroeconomicvolatility and uncertainty are likely to subdue global growth, although in Europe this is at least partly offset by increased fiscalspending, particularly in Germany.Most securitisations have demonstrated resilient performance, benefiting from deleveraging, which has led to stable or positiveratings actions. However, some deals remain exposed to vulnerable borrowers and have experienced downgrades, primarily injunior notes. While challenges exist, the overall impact appears to be contained.• Pricing & relative valueJune's issuance was marked by significant oversubscription and tightening yields from initial price thoughts (iPTs), with somemezzanine tranches being covered as much as ten times. The strong supply technical remains supportive of spreads at theselevels, something we expect to persist. However, Kensington's Finsbury Park 2o25-1 transaction saw investor pushbackrequiring widening from IPTs. The deal contrasted with prior Finsbury Square (FSQ) transactions, as it included a higherstep-ups after the FORD, resulting in reduced demand.Deutsche BankResearch10July2025 Primary Market..Page 2.........................Macro..Page 22TopicalPage 28CreditPage 48Pricing.Page 5810July2025 Issuance - June 2025 highlightsIssuance - HighlightsPlaced issuance in June totalled E14.7 billion (CLOs 5.6 billion), up from 10.8 billion (CLOs E3.3 billion) in June2024. This brings YTD issuance to E80.5 billion, up from 78.6 billion over the same period in 2024. While totalsecuritised issuance is up YTD, this has been driven by CLOs, with non-CLO issuance down YoY, from E51.3 billionto 48.6 billion.June saw 14 non-CLO transactions placed with investors, totalling E9.1 billion. Auto ABS issuance and UK PrimeRMBS were key drivers behind these volumes, accounting for 72% of non-CLO issuance between them. UK PrimeStrong Auto ABS issuance from April to June has resulted in the Auto ABS sector outperforming 2o24 levelstotalled 9.2 billion, compared with E6.9 billion in 2024.Robust issuance throughout June has seen UK Prime RMBS surpass 2024 volumes over the same period last year.issuance from Newcastle Building Society, with its Hadrian Funding 2025-1. Year-to-date (YTD) placed issuanceJune, along with February, marks the second month to surpass 2024 levels in terms of non-CLO issuance, increasingyear-on-year from E7.5 billion to E9.2 billion. Despite issuance pausing for a week due to the Global ABS conference,non-CLO volumes in June reached the second-highest monthly level of 2025.Sterling issuance remains the most significant underperformer year to date, decreasing to 22.2 billion from 26.1billion during the same period last year. Euro issuance is up year-on-year (YoY), rising from 26 billion to 27.2 billionwhen excluding CLOs. Notably, Germany, Spain, and Italy are all exceeding their 2024 issuance levels, whilst theNetherlands is marginally down.Deutsche BankResearch10July2025 Credit - June 2025 highlightsCredit Performance - June 2025Overall, credit performance is largely stable, although elevated interest rates and persistent inflation continue tocuts a welcome prospect. This underlying stability is further bolstered by the fact that unemployment, while projectedto increase modestly,remains low by historical standards across key European economies,providing a buffer againstwidespread defaults. Despite the expectation that macroeconomic volatility will persist and potentially keep inflationRMBS, and Auto ABS showing minor increases.average. This is primarily driven by the inclusion of 1.0 Collateral in the index, where some deals have arrearsCLO transactions saw 69 upgrades compared to 32 down