证券化研究展望

April9th, 2024 Ed Reardon |+1(212)250-4195 | edward.reardon@db.comDouglas W. Runte, CFA | +1(212)250-9319 | douglas.runte@db.comConor O-Toole | +44(20)754-59652 | conor.o-toole@db.comKayvan Darouian | +1(212)250-4849 | kayvan.darouian@db.comBipul Sinha, CFA|+1(212)250-9994 | bipul.sinha@db.comJamie Flannick |+1(212)250-9775 |jamie-a.flannick@db.comSmiti Kaul |+1(212)250-9186 |smiti.kaul@db.comRupesh Shrivastav | rupesh.srivastav@db.comVivek John | vivek-a.john@db.com Table of Contents Overview: Worlds collide–private credit and securitized markets. Commercial MBS: CRE poised for growth in private credit lending. CLOs: A durable, not a fleeting trend. Consumer and Esoteric ABS:Will private credit eclipse public ABS? Transportation Debt:Plenty of planes to go around, but some stiff competition. Residential MBS:Private credit opportunity in SFR and non-traditional residentialloans. Econ: US Economic Perspectives. Rates: US Fixed Income Weekly: Strategy Update. Download DB Securitization Market Databank.xlsx Issuance by asset type Volume, $bnNon-agency securitization volume: Investment Grade Overall, IGsecuritization volumefor MTD is $11.8bn. ▪Last week volumefor ABS, CMBS, CLOand non-agencyCMO are $3.8bn,$3.5bn, $2.5bn and$1.9bn, respectively. FordetailedFINRATRACEdataanalysisclickhere Customer Buy/Sell ratio Note: Most recent month is month-to-datedata.Buy/Sell ratio equals clientbuy volumes divided by client sellvolumes.Source: Deutsche Bank, FINRA TRACE. Non-agency securitization volume: Non-Investment Grade Overall, non-IGsecuritization volumefor MTD is $3.9bn. Last week volumefor ABS, CMBS, CLOand non-agencyCMO are $0.6bn,$1bn, $1bn and$1bn, respectively. Note: Most recent month is month-to-date data.Buy/Sellratio equals client buy volumes divided by clientsell volumes.Source: Deutsche Bank, FINRA TRACE. Primary dealer holdings by asset type Spreads Triple-A Generic Secondary-Market SpreadIndicationsAverage life bucket Private Credit OverviewEd Reardon, Managing Director Worlds Collide–Private Credit and Securitized Markets Private credit. We review the fast-growing private credit market, historicallydominated by middle market loans. Today, “private credit” is expanding andincludes other types of debt (consumer loans, CRE transition loans, SingleFamily Rental loans). Alternative asset managers originate/purchase these loans, and then addleverage to deliver high returns to investors with long-term investment horizons(e.g., high net worth, pension funds, sovereign wealth funds). Investment implications. Historically, the securitized bond market providesleverage for many “private credit” assets. More securitized issuance will shifttoward private markets, especially during volatile capital markets. Buyers mustbalance spread pickup and customized loan terms available in private creditdebt with the liquidity in securitized bonds. Private credit could also refinancesome loans (middle market, commercial real estate) that public markets viewtoday as highly likely to default. Private credit basics What is private credit? ▪Caution: Private credit is a loosely defined term. Private credit often means differentthings to different market participants. ▪Umbrella term. “Private credit” initially defined bydirect lending to middle marketcompanies; middle market loans are still the core of private credit. Today, private credit isexpanding to include other types of debt/loans. Also known as: Direct lending, Middle-market lending, Asset-based lending. Key Aspects of Private Credit 1.Loans or debt arenot publicly tradedand are not marked-to-market. 2.Loansmost commonly originatedbynon-banks; large private equity/alternative assetfirmsdominate the private credit market. 3.Loans aremade directlyororiginated to sell/distribute. Private credit investors arebuy-and-hold andhave a long investment horizon. ▪Debt investing. Private ABS, 4a2 deals and bilateral loans provide term, non-recourseleverage and are the way to invest indebtform. Key buyers: insurance, moneymanagers outside of traditional bond funds. ▪Equity investing. Business development companies, mortgage REITs and creditfunds. Key buyers: high net worth individuals, pensions, endowments, sovereignwealth funds. Private credit: what fits under the umbrella? Middle market loans. ▪High yield, floating rate loans to mid-sized companies that historically were notlarge enough to borrow in public markets ($10-$50mn EBITDA).▪When capital markets became choppy during COVID, middle market lendersgrabbed market share and even extended into larger, broadly-syndicated loans.▪Middle markets are the largest underlying “private credit” sector.Established Traditional securitized sectors ▪Consumer loans. Consumer installment loans, Student loans, Loans backed byesoteric debt or real assets (green projects, aircraft leases, solar, musicroyalties).▪Residential real estate. Residential loans (Single Family Rental debt), “Fix andFlip” loans.▪Comme