证券化研究展望

Deutsche BankResearchDeutsche BankResearchDeutsche BankSecuritization ResearchThe OutlookIMPORTANT RESEARCH DISCLOSURES AND ANALYST CERTIFICATIONS LOCATED IN APPENDIX 1. MCI (P) 041/10/2023. UNTIL 19th MARCH 2021 INCOMPLETE DISCLOSURE INFORMATION MAY HAVE BEEN DISPLAYED, PLEASE SEE APPENDIX 1 FOR FURTHER DETAILS.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.com Bipul Sinha, CFA |+1(212)250-9994 | bipul.sinha@db.comJamie Flannick |+1(212)250-9775 | jamie-a.flannick@db.com Smiti Kaul |+1(212)250-9186 | smiti.kaul@db.comRupesh Shrivastav | rupesh.srivastav@db.comVivek John | vivek-a.john@db.comApril 9th, 20247T2se3r0Ot6kwoPaDistributed on: 09/04/2024 11:00:00 GMT7T2se3r0Ot6kwoPa Deutsche BankResearchEd Reardon | edward.reardon@db.com | +1 (212) 250-4195Table of Contents1Overview: 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 residential loans.Econ: US Economic Perspectives.Rates: US Fixed Income Weekly: Strategy Update.Download DB Securitization Market Databank.xlsx Deutsche BankResearchEd Reardon | edward.reardon@db.com | +1 (212) 250-4195Issuance by asset type2Note: Each sector issuance is detailed in respective sections.Source : Deutsche Bank, Bloomberg Finance LP, SIFMAAll figures are in billionsSector20232024 YTD2024 forecast2024 pace annualizedABS25694270282 CLO11551115153 Non-Agency CMBS46205761 Agency CMBS51116033 Non-Agency RMBS66298587 29 32 94 51 22 24 81 40 66 97 256 116 050100150200250300Non-AG RMBSCMBSABSCLO$BnYTD '24YTD '23Total '23 Deutsche BankResearchEd Reardon | edward.reardon@db.com | +1 (212) 250-4195Volume, $bnNon- agency securitization volume: Investment Grade3Customer Buy/Sell ratio▪Overall, IG securitization volume for MTD is $11.8bn. ▪Last week volume for ABS, CMBS, CLO and non-agency CMO are $3.8bn, $3.5bn, $2.5bn and $1.9bn, respectively. Note: Most recent month is month-to-date data. Buy/Sell ratio equals client buy volumes divided by client sell volumes.Source: Deutsche Bank, FINRA TRACE. Investment GradeABSCMBSCLONA CMOCurr Month1.311.031.291.01Prev Month0.931.001.061.143 Month0.971.021.011.036 Month1.011.060.991.1412 Month0.981.001.011.1210203040506070Apr-2022Jul-2022Oct-2022Jan-2023Apr-2023Jul-2023Oct-2023Jan-2024Apr-2024ABSCMBSCLONon-Agy CMOFor detailed FINRA TRACE data analysis click here Deutsche BankResearchEd Reardon | edward.reardon@db.com | +1 (212) 250-4195Volume, $bnNon-agency securitization volume: Non-Investment Grade4Customer Buy/Sell ratio▪Overall, non-IG securitization volume for MTD is $3.9bn. ▪Last week volume for ABS, CMBS, CLO and non-agency CMO are $0.6bn, $1bn, $1bn and $1bn, respectively. Note: Most recent month is month-to-date data. Buy/Sell ratio equals client buy volumes divided by client sell volumes.Source: Deutsche Bank, FINRA TRACE. 510152025Apr-2022Aug-2022Dec-2022Apr-2023Aug-2023Dec-2023Apr-2024ABSCMBSCLONon-Agy CMOABSCMBSCLONA CMOCurr Month1.371.010.991.22Prev Month1.061.000.921.093 Month1.051.000.961.056 Month1.141.030.870.9912 Month1.071.060.910.98 Deutsche BankResearchEd Reardon | edward.reardon@db.com | +1 (212) 250-4195Primary dealer holdings by asset type5Source : Federal Reserve Bank of New York; *YTD through the latest reported week; *CMBS excludes Agency CMBS02468101214Mar-17May-18Jul-19Sep-20Nov-21Jan-23Mar-24$BnNon-Agency RMBSCMBSABSMortgage-Related SecuritiesOtherDateAG RMBS NA RMBSCMBS ABS Mar-2359868Apr-2359868May-2363858Jun-2363768Jul-2367767Aug-2366769Sep-2367769Oct-2368769Nov-23687610Dec-2374769Jan-2476668Feb-2475658Mar-2472658YoY Chg20%-16%-11%12% Deutsche BankResearchEd Reardon | edward.reardon@db.com | +1 (212) 250-41956Source : Thomson Reuters, Deutsche BankSpreadsAAA spread to I-Curve/SOFRBBB spread to I-Curve/SOFR060120180240Apr-24Feb-24Dec-23Oct-23Aug-23Jun-23May-233yr Auto10yr CMBS5yr CLOs3yr Non-QM0100200300400500600700800900100011001200Apr-24Feb-24Dec-23Nov-23Sep-23Aug-23Jun-23Apr-233yr Auto10yr CMBS5yr CLOs5yr Non-QMSectorWALCurrent-1w-4w52wk High52wk LowAuto3yr55-7-69555CLOs5yr136-2-3193136CMBS10yr105-4-9167105Non-QM3yr1300-20210130SectorWALCurrent-1w-4w52wk High52wk LowAuto3yr150-10-20275150CLOs5yr366-5-22530366CMBS10yr889-9-511119889Non-QM5yr2200-40485220 Deutsche BankResearchEd Reardon | edward.reardon@db.com | +1 (212) 250-41957Source : Deutsche Bank, Bloomberg Finance LPTriple-A Generic Secondary-Market Spread IndicationsAverage life bucketData on this page as of 4/5/241yr2yr3yr5yr7yr10yrUS floating-rate spreads (bp) to SOFRStudent loan FFELP (1-month)777777808895Student loan private credit (1-month)--85----115-