6/22/2026
Good morning, it’s absolutely boiling here in Surrey – with the worst still to come this week. Spare a thought for the double-coated Chewie, who was found this morning in the hardest to reach but also coolest part of the house…
Similarly, the sun is well and truly out in European ABS. Since Global ABS in Barcelona, there’s already been €3.1bn placed with investors (including CLOs), while there is roughly a further €2bn in the visible pipeline.
Oil prices have plummeted alongside inflation expectations upon news of an imminent peace deal between the US and Iran, and the reopening of the Strait of Hormuz. Despite how fragile the negotiations remain, markets are generally sanguine about it, and ABS has been for some time.
As we wrote in Concept ABS, issuers could hardly have wished for a better market backdrop last week. And nowhere was this better exemplified than for ASR Hypotheken’s Dutch Prime RMBS, the €637.9m Delphinus 2026-1 BV. Offering just the sole triple-A tranche, as it hit screens, I think many observers would have considered anything inside 49bps over 3-months Euribor (where the 2025-1 Delphinus priced), a success.
It’s a strong Dutch Prime RMBS platform, but this was just the third ever Delphinus trade. Compared to the big beasts of Dutch RMBS like Green Storm and Green Lion, from Obvion and ING, respectively, Delphinus is much less established. As a result, prior trades have tended to price about 5bps wide of its comparators.
The last Green Lion, priced in early February, landed at 43bps. Candide – Lloyds’ increasingly well established Dutch Prime programme, hit 46bps hours before the war in Iran began. Plus, once you get to the mid-40’s, there really isn’t anywhere else to go.
So, all in – pricing at 47-48bps, washing away even just 1bp of the pickup versus the more established platforms would be good going.
However, I clearly underestimated how sunny it is in ABS. IPTs came in at high 40s, suggesting significant demand already. Guidance blew past my expectations to reach 44 area, but it still wasn’t enough to dampen demand. Eventually, Delphinus 2026-1 priced at 42bps and chucked in a last minute €100m upsize. The tightest print on Dutch Prime since March 2024, topping off a super return.
So what part of this suggests that investors are still being quite discerning?
Well, there are growing signs that a two-tier market is developing between the have’s and the have-not’s. If you’re offering up vanilla, prime, STS, established collateral, investors are there in size and number. However, if you’re offering up something a little different, something a little more esoteric, or less-established, and particularly in sterling, the triple-A’s are much more of a struggle.
Delphinus, regardless of this only being its third deal, falls firmly into the former category.
While recent deals like Premium Credit’s UK Consumer ABS, PCL Funding XII, or Keystone Property’s BTL RMBS, Hops Hill 6, fall more into the latter. Both of those trades finished with the triple-A’s just 1.1x covered, meaning significant tightening from IPTs is essentially impossible.
It’s not to suggest that underwriting standards or the underlying portfolios are weak. Rather, it’s simply that a UK Consumer ABS is not a Dutch Prime RMBS or a German Auto, and so on.
Regardless of peace in the Middle East, this could be a theme that remains for some time. It could even become a new feature of this expanding market.
Also worth noting is the relative struggle that is afflicting the UK market as a whole. I wonder whether a number of investors have eyes on the prospect of the MP for Makerfield, Andy Burnham, becoming Prime Minister. Something to keep an eye on.
After 18 months in the wilderness, ASR Hypotheken (formerly known as Aegon Hypotheken) hit screens again with a Dutch Prime RMBS from its Delphinus shelf. With market activity picking up the pace post-Global ABS at the same time as the geopolitical skies began to look clearer, the Hypotheken leads could hardly have wished for a better week to come to market. A bumper bookbuild duly followed, leading the way for the tightest Delphinus print of its three visits since 2023 and a last minute upsize... click here to read the full overview on Concept ABS.
Any market jitters over broader geopolitical concerns driven by the US & Israel's war with Iran have long since been banished, with some suggestions that the European ABS market could be being deployed as a hedge against fears of rising rates. Now with a genuine peace agreement on the horizon, and oil back below $80 bbl for the first time since war broke out, the broader market backdrop for issuance is about as good as ASR Hypotheken could have hoped for.
In addition, Dutch prime RMBS has been relatively busy already this year, with placed issuance just €100m shy of the FY25 total of €2.7bn (not including Delphinus). Euro-denominated prime RMBS more broadly has also been busier at €4.1bn placed – well on its way to surpassing FY25 volume of €6bn and potentially heading to over €8bn, numbers not seen since 2018...click here to read the full Market Context on Concept ABS.
That’s all from me this week. I’m off to play some golf in ridiculous temperatures today, but boy do I hate the heat. Think I need to move somewhere colder like Copenhagen or Edinburgh. It certainly did my golf no favours yesterday.
Have a great week,
Tom
© 2026 ARC Risk Models Limited
