2026年中期展望：证券化研究

Edward Reardon, Douglas Runte, CFA, Conor O-Toole, Kayvan Darouian,Bipul Sinha, CFA, Jamie Flannick, Rupesh Shrivastav, Vivek John, Nick Huang Table of Contents Macro:Demand-surge pricing Commercial MBS:Supportive technicals, accelerating credit resolution CLO:Reflections at the midpoint Consumer and Esoteric ABS:Rising issuance, mixed picture on credit Transportation Debt:Record aircraft ABS issuance in 2026 Residential MBS:Stand and de-lever: AAAs for carry/roll, BB for de-lever/upgrade DownloadDB Securitization Market Databank.xlsx Securitized Mid-Year OutlookDemand-surge pricing Ed Reardon, Managing DirectorRupeshShrivastav,ResearchAssociate Big Pic: Demand surge pricing DB Economics View. ▪ ▪Resilient economy: 2.2% real GDP growth forecast. Supported by fiscal policy, financialconditions, and AI investments. Fiscal deficit at 6.6% with risk from war, tariff refunds.Higher oil ($150/bbl) a risk to consumer spending and could reduce real GDP to 1.75%. ▪Labor: Firmer payroll gains, broader job growth. 4.3% unemployment through 2026.▪Inflation: Disinflation story less convincing, with core PCE expected to remain at 3.0%.▪Rates: Fed on hold “indefinitely”; risk skewed towards hikes. 10yr UST forecast: 4.7%. Demand. $500bn of inflows into IG credit. $300bn of projected annuity inflows plus $200bnIG mutual and bond funds. Securitized likely to garner ~$200bn. Credit. We downgrade the Consumer slightly from B+ to a B. For securitized, a ‘B’ grade isstill a positive backdrop and only impacts a handful of sectors and some deep subordinates. Rates. Higher rates normally a headwind for issuance/credit, but strong economy over-ridingthis challenge. Higher rates will create refi stress for CLOs, CMBS. Demographics. Demographics are playing a key role in credit. How? 1) Boomers havestrong natural demand for fixed income and have the most assets, 2) Boomers are alsohome-owners and sitting on significant home equity. Relative Value. Take the carry. Securitized will outperform Corporates via carry. Securitizedsector forecasts areslightlywider. We see Non-QM as an outperformer; CLO carry iscompelling. Subordinate securitized bonds will remain a food fight due to insurance demandand annuity inflows. Private Label Issuance Approaches Record HighsUS Securitized Credit Issuance by Sector, $bn We forecast Private Label issuance to reach $925bn in 2026 broadly in line with the recordvolumes observed in 2025 ($909bn). Including Agency CMBS, total gross issuance will exceed$1tn. Edward Reardonedward.reardon@db.com+1 (212) 250-4195Strong capital markets execution and healthy investor demand continue to support issuanceacross structured credit sectors. Elon Musk isn’t the the only Trillion-dollar game in town 2026 Issuance and Net Supply Projections, $bn Gross issuance projected to exceed $1tn for the first time. ▪▪ABS and Non-Agency RMBS remain the largest contributors to market growth,benefiting from resilient consumer credit and non-agency mortgage origination.▪Net Supply will only be ~$270bn, much lower than the $1tn headline. Demand-surge pricing: $500bn inflows into credit Cumulative IG Fund Flows vs Fixed Annuity Sales $bn Source: EPFR, Deutsche Bank ▪Underlying annuity demand:LIMRA fixed annuity sales will reach ~$300bn. Higher rateslikely to stimulatemoreinflows. Credit bond/mutual funds could bring inanother$200bn.▪Insurers buy IG Corp as a staple holding but securitized bonds help deliver the promisedannuity yields. Deutsche Bank.Research Give Grandma and Grandpa a call… Grandma and grandpa are doing pretty well for themselves. Homes and stocks. Demographics show a 60+ population of 84mn where over 75% own a home,participated in home price appreciation (40yrs: 5.5x increase) and a massive rise in financial wealth (40yrsS&P: 70x increase).Boomers control 60-70% of financial wealth. Big change. In 1990, working agesegment controlled that share. Next up: Fixed Income. Underinvested in fixed income: coming decade could unleash $2-4tn in fixedincome demand, with somepull forwarddue to higher rates. Boomers have been waiting for this moment:the average 10yr UST has been 2.9% over the past 20 years. Edward Reardonedward.reardon@db.com+1 (212) 250-4195Annuity Appeal. Earn high annuity rates today of 5.5%, avoid taxes on this annuity income. Average fixedincome annuity buyer is 62 years old. Securitized trading: Record year in sight! Investment Grade, Non-Agency Securitization volumes, $bn 2026 YTD, overall IG trading volumes are $375bn. ▪▪RMBS and CLO trading activity has accelerated in 2026, with YTD volumes up 57% and 32%respectively vs same period in 2025.▪While ABS (-16%) and CMBS(-13%) volumes have moderated, despite softer ABS and CMBStrading volumes, liquidity conditions remain constructive across structured credit markets. Securitized spreads near historical lows BBB Spreads vs 3-year tradingrange, bp AAA Spreads vs 3-year tradingrange, bp ▪Most credit sectors are pricing on