证券化研究展望

20 April 2026 Edward Reardon, Douglas Runte, CFA, Conor O-Toole, Kayvan Darouian,Bipul Sinha, CFA, Jamie Flannick, Rupesh Shrivastav, Vivek John, Nick Huang Table of Contents Commercial MBS:Pari passu keeps conduit supply moving CLO:Why have CLO ETF flows remained resilient in 2026? Consumer and Esoteric ABS:ABS update: Issuance surges on improving marketsentiment Transportation Debt:Spirit Airlines faces an existential crisis Residential MBS:$70bn issuance, led by $31bnNon QM Econ:US Economic Perspectives. Rates:US Fixed Income Weekly: Strategy Update. DownloadDB Securitization Market Databank.xlsx Securitized Product's Spreads Issuance by Asset Type, $bn YTD Cumulative Trading Activity Investment Grade, $bn ▪Investment Grade (YTD April): CLO and ABS are leading in cumulative trading activity at$89bn and $71bn, respectively, while CMBS is around $45bn and RMBS at $39bn. ▪Non-Investment Grade (YTD April): CMBS leads this segment with approximately $22bnin cumulative trading, followed by ABS at $16bn, CLO at $14bn and RMBS is at $11bn. ▪Click here for detailFINRA TRACEActivity. Primary Dealer Holdings by Asset Type CMBS Pari passu keeps conduit supply moving Ed Reardon, Managing DirectorBipul Sinha, CFA, Research AnalystRupeshShrivastav,ResearchAssociate 20 April 2026 Big Pic: Pari passu keeps conduit supply moving ▪Relative Value: On-the-run CMBS LCF AAA spreads (currently ~80bp) are broadlyfair versus Corporate Single-A spreads. Spreads have tightened 8–10bp fromrecent geopolitical wides, with CMBS outperforming IG Corporates by 20bp year-to-date. ▪Pari Passu overlap remains high: Pari passu loans constitute ~45% of conduitoutstanding. High deal overlap in 2025/2026 vintages continues to present dealmonitoring and diversification challenges for investors, particularly at thesubordinate level. Refinancing friction persists. On-time conduit payoffs slipped to ~62% in Q12026 (vs. ~70% in 2024–25 and ~85% in 2019); 16–17% of 2024–25 maturities arestill outstanding. Earnings Summary Top-tier office momentum: SL Green reported its best Q1 leasing in 28 years,noting a strong credit market and robust foreign investor appetite. Improving sentiment: Money center banks sound more constructive on officecredit. BofA reported zero new NPA (non-performing assets) inflows into officeexposures for the first time in over three years, while regional banks defendedtheir loans to NDFI (Nondepository Financial Institutions) and private credit books. CMBS AAAfairly pricedversus Corp Single ACMBS AAA spreads vs Corp Single A ▪CMBS LCF AAA remains broadly fair versus 7–10yr Corp Single A spreads.▪At current corporate spread levels, the regression implied fair value of ~77bp vs actual80bp for on the run CMBS LCF AAA.▪Spreads have tightened ~8-10bp from Iran war wides. However, CMBS hasoutperformed IG Corporates by 20bp YTD. Update on Conduit pari passu issuance ▪Pari passu loans are loans that are split across conduit deals. Splitting loans helpdealers manage risk and help build individual collateral pools with stand-alonediversity. ▪Pari passu outstanding in conduit is ~$151bn, equivalent to about 45% ofoutstanding conduit CMBS.Office dominates at $54bn of the total, followed byRetail $34bn and Mixed Use $34bn. Splits across 2-3 deals most common. Loan splits can be across as many as 17 deals. Pari passu loans: Overlap still running high Top 15 recent deals for overlap 2026 vintage features three ofthe highest overlapcombinations from the past twoyears. Key issues for investors: 1)Dealmonitoring.Tracking overlap ischallenging. 2)Credit.Investors, especially subs, arenot diversifying as much as theywould like. ▪Reality check. Pari passu loansare critical to keep conduitissuance going. Dealing withoverlap is part of the investmentprocess for CMBS. Performanceis comparable to the rest of themarket. On-time payoffs remain pressuredConduit loans pay off rate by maturity, % ▪On-time payoff rateshave been falling from roughly 85% in 2019 to around 70% in 2024–2025, with2026 Q1 tracking even weaker at about 62%. ▪Some loans are still refinancing after maturity, asroughly 5% of balances paid three months pastmaturity and about 4% paid more than three months late over the last two years. ▪Unresolved maturitiesremain elevated, with about 16% of 2024 loans and 17% of 2025 loans stilloutstanding, highlighting continued refinance challenges in the conduit market. SL Green: Office credit market strong Remarks • SL Green achieved itsbest first quarter for leasing in its 28-year history,signing 51 leases totaling 930,000 square feet with a 16% mark-to-marketincrease over previous rents, driven by a significant imbalance in the primeoffice market wheretrophy building vacancy dropped to 3.4% and no newsupply is anticipated for the next three years. • The company increased its year-end same-store occupancy target from 94.8%to 95% and expects economic occupancy, currently at 85.9%, to narrow its gapwith