U.S. securitized products market: Higher rates expose pressure points in CLOs and office CMBS, while securitized issuance and much consumer collateral remain resilient.

Overview

This is a cross-sector U.S. securitization outlook covering CMBS, CLOs and leveraged loans, consumer ABS, aviation debt, and RMBS. Deutsche Bank identifies a mixed backdrop: issuance and liquidity remain substantial, but higher rates are worsening refinancing pressure, especially in office commercial real estate and lower-quality credit.

Core views

Commercial MBS is the report’s clearest stress point. The 2021 SASB cohort originally issued about $84bn at much lower yields; 29% remains outstanding, and office represents more than half of that balance and roughly two-thirds of delinquencies. Only 11% of office loans have paid off and 14% are delinquent, while hotel, retail, and industrial have largely paid down. Refinancing rather than operating cash flow is the central problem: roughly two-thirds of SASB transfers into special servicing occur within three months of maturity, and maturing loans face coupons about 200bp above their original rates. The report cites on-time refinancing rates in the 70% area overall but only 45-50% for office. Special servicing and loss indicators reinforce this pressure. In 2026, about $11bn of SASB loans entered special servicing while only about $4bn exited; quarterly transfers were $3.5-4bn and resolutions fell from roughly $1.9bn in Q1 to $0.6bn in Q3. In conduit CMBS, inflows have exceeded resolutions every quarter since 2023, pushing the special-servicing rate to 12%, above the roughly 8.5% COVID peak. Conduit 60+ day delinquency reached 6.7% in September, including 11.2% for office, while office-related appraisal-reduction amounts imply more than $5bn of losses—more than all other property types combined. Average implied loss severity for loans with appraisal reductions is 41%, and about 22% imply severity above 60%. CMBS issuance and trading remain active despite these credit strains. 2026 YTD CMBS issuance reached $189bn, up 23% from $154bn a year earlier, including $77bn of SASB issuance, $34bn of CRE CLOs, and $56bn of agency CMBS. Private-label supply of $133bn already exceeded 2024’s $112bn full-year total. Office and industrial led SASB issuance at 24% and 34% of volume, respectively, while conduit issuance was more diversified. Property-level spreads show a two-tier market: multifamily, industrial, and grocery-anchored retail were around 130bp, 145bp, and 160bp, versus 210-285bp for strip and mall retail, office, and lodging. For CLOs and leveraged loans, the report attributes a sharp weekly reversal to higher government yields and expectations for further Fed tightening. The 10-year Treasury rose 16bp and the 5-year 13bp over the week; 12-month term SOFR rose 22bp to above 4.4%. The report says higher rates should pressure both primary and secondary CLO prices until Treasuries stabilize, while increasing debt-service strain and tail dispersion among borrowers. BBB and BB CLO bonds gave back 6bp and 11bp, respectively, and the share of loans priced below 90 remained elevated at 10.7%, versus just under 9% at the start of the year. The CLO market nevertheless retains important issuance and demand support. Deutsche Bank forecasts 2026 CLO new-issue volume of $190bn, split between $145bn of broadly syndicated loan CLOs and $45bn of middle-market/private-credit CLOs. PCLO issuance was about $30bn YTD, down only 10% year on year versus a 21% decline for broadly syndicated CLOs, and represented 24% of total CLO new issuance YTD. The report links PCLO demand to insurance investors seeking longer-duration assets for annuity liabilities, higher underlying weighted-average spreads of 5.1% versus 3.1% for BSL deals, and wider PCLO BBB spreads of about 400bp versus 260bp for BSL BBBs. However, the arbitrage remains compressed at negative 22bp, and junior CLO debt experienced the greatest recent price pressure. On consumer ABS, Deutsche Bank assigns U.S. consumer health a “B,” unchanged from mid-year. A resilient labor market—unemployment at 4.1%, a one-year low—and rising household net worth support collateral performance, but inflation, high gasoline costs, slowing real income growth, lower savings, and rising borrowing costs are headwinds. The report estimates households have spent nearly $400 more on gasoline year to date than in 2025 and notes that the burden is greater for lower-income households. It nevertheless judges overall ABS collateral performance solid: annualized net losses and 60+ delinquencies improved year on year in four of eight sectors. Prime auto is notably strong, while residential solar is the clear pressure point, with 4.28% delinquency, 4.21% annualized net loss, and 4.31% default rate. The report views Oracle’s force-majeure declaration on Project Jupiter as a development-stage data-center execution issue rather than a direct threat to existing data-center securitizations. The declaration delays rent commencement because of power-delivery delays but does not eliminate lease obligations. Deutsche Bank distinguishes this from data centers in ABS master trusts and SASB CMBS, which it describes as stabilized, fully built, powered, leased, operating, and cash-flowing. In RMBS, higher rates are expected to keep housing activity slow, reduce refinancing, and slow Non-QM originations by roughly 10-15% as rates reprice into the mid-7% range. The report expects housing-price appreciation to remain slightly positive because supply is constrained by the lock-in effect, although it flags higher inventory and affordability pressure. Non-agency RMBS issuance remains strong at $179.4bn YTD, up 21% year on year and 73% from 2024, with Non-QM issuance up 52% year on year and accounting for 47% of total issuance. Yet Non-QM spreads widened during the week—5bp for AA and BBB and 15bp for BB—and the report characterizes Non-QM as rich relative to agency MBS after the agency selloff.

Analysis framework

The report reviews securitized-product issuance, trading activity, spreads, delinquency, special servicing, refinancing outcomes, and collateral performance across CMBS, CLOs, ABS, aviation debt, and RMBS. It combines market-price and spread comparisons with asset-level performance data, rate expectations, issuance statistics, and survey evidence to connect macro rates to financing costs, credit outcomes, and relative value.

Methodology notes

• Fixed Income and CreditSpread analysis

  Spread and relative-value comparisons across securitized-product tranches and competing fixed-income instruments.

  The report compares spreads across CMBS property types, CLO ratings, PCLO versus BSL structures, and Non-QM versus agency MBS to show where risk pricing has widened or appears rich.

• Industry AnalysisSupply-demand framework

  Issuance, refinancing, servicing inflows and resolutions, and investor flows are used to assess market balance.

  The report links supply, maturity-driven refinancing needs, special-servicing inflows, issuance volumes, and buyer demand to conditions in each securitization segment.

• OtherThree-Factor Interest-Rate Decomposition

  Assessment of how Treasury yields, SOFR expectations, and credit risk affect fixed-income prices.

  The report explains the CLO and leveraged-loan selloff through higher risk-free rates, anticipated policy tightening, and the resulting pressure on borrower credit and security valuations.

Asset mapping & comparison

Structured mapping from thesis to named assets (strengths, weaknesses, peers, risks).

• Commercial MBS

  Maturity-driven refinancing pressure is raising special servicing and expected losses, led by office exposure.

  Strengths

  Issuance remains active and conduit supply is diversified by property type.

  Weaknesses

  Office has the highest delinquency and weak on-time refinancing success.

  Comparison

  Multifamily, industrial, and grocery retail trade at materially tighter spreads than office and lodging.

  Risks

  Higher refinancing coupons, special-servicing inflows, and appraisal-implied losses.

• CLOs and leveraged loans

  Higher rates are pressuring secondary and primary CLO pricing and lower-quality loan credit.

  Strengths

  PCLO demand benefits from insurance demand and wider underlying asset spreads; CLOs have outperformed several other fixed-income asset classes year to date.

  Weaknesses

  The CLO arbitrage is compressed and junior tranches sold off more sharply.

  Comparison

  PCLO weighted-average spreads were 5.1% versus 3.1% for BSL deals; PCLO BBB spreads were about 400bp versus 260bp for BSL BBBs.

  Risks

  Further Treasury and SOFR increases, greater borrower distress, and tail dispersion.

• Consumer ABS

  Broad collateral performance remains solid, though pressure is concentrated in select subsectors.

  Strengths

  Prime auto metrics improved year on year; credit-card annualized net loss improved 1.30 percentage points.

  Weaknesses

  Residential solar performance has deteriorated sharply; subprime auto losses remain elevated.

  Comparison

  Annualized net losses and 60+ delinquencies improved year on year in four of eight tracked sectors.

  Risks

  Inflation, gasoline costs, higher household borrowing costs, and weaker lower-income consumer resilience.

• Non-agency RMBS

  Strong issuance is being offset by higher rates, slower originations, and wider Non-QM spreads.

  Strengths

  2026 YTD issuance rose 21% year on year, led by Non-QM.

  Weaknesses

  Non-QM appears rich relative to agency MBS after the agency selloff.

  Comparison

  Non-QM issuance rose 52% year on year, while AA and BBB spreads widened 5bp and BB widened 15bp during the week.

  Risks

  Mortgage rates above 7%, slower housing activity, slower prepayments, and lower debt-service coverage ratios for DSCR loans.

Key data

• Conduit CMBS special-servicing rate12%Above the roughly 8.5% COVID peak and more than double the early-2023 level.
• Conduit 60+ day delinquency6.7%September level; office delinquency was 11.2%.
• Office implied conduit lossesMore than $5bnAppraisal-reduction-amount proxy; exceeds all other property types combined.
• 2026 YTD CMBS issuance$189bnUp 23% from $154bn in 2025 YTD.
• 2026 CLO issuance forecast$190bnDeutsche Bank forecast: $145bn BSL and $45bn MM/PCLO.
• Loans priced below 9010.7%The report’s measure of leveraged-loan tail risk.
• U.S. unemployment rate4.1%A one-year low that the report views as supportive of consumer ABS.
• Residential solar ABS delinquency4.28%Up 1.30 percentage points year on year and a series high.
• 2026 YTD non-agency RMBS issuance$179.4bnUp 21% year on year; Non-QM represented 47% of the total.

Impact & implications

The report portrays higher rates as the common transmission channel: they raise refinancing costs for commercial real estate, reduce housing and Non-QM activity, and pressure CLO and leveraged-loan prices. At the same time, strong issuance, senior-focused CLO fund flows, and broadly stable consumer collateral show that stress is concentrated rather than uniform across securitized credit.

Risks

• Further increases in Treasury yields and SOFR could continue to pressure CLO and leveraged-loan prices and worsen borrower stress.
• Office CMBS faces refinancing difficulty, rising special servicing, high delinquency, and substantial appraisal-implied losses.
• Residential solar ABS is a concentrated consumer-credit pressure point, with worsening delinquency, default, and loss metrics.
• Higher inflation, gasoline prices, and consumer borrowing costs could weaken household credit performance, particularly for lower-income consumers.
• Higher mortgage rates could further slow housing activity, Non-QM originations, and RMBS prepayments.

What to watch

• Whether Treasury yields and SOFR stabilize, and market expectations for further FOMC tightening.
• CMBS special-servicing inflows, resolutions, office delinquency, and on-time refinancing rates.
• The share of leveraged loans priced below 90 and price performance of lower-rated CLO debt.
• Consumer ABS performance, particularly residential solar and subprime auto delinquency, default, and loss trends.
• Housing months of supply, pending home sales, days on market, and seller concessions for signs of housing-price weakness.
• Non-QM mortgage rates, issuance, spreads, and prepayment speeds.