美国CLO经理人晴雨表：混合信号

NDIX 1 FOR FURTHER DETAILS. LOCATED IN APPENDIX 1JNTIL 19th MARCH 2021 INCOMPLETE DISCLOSUREConor O-Toole | Conor.0-Toole@db.coml (+44) 20 754-59652Jamie Flanrinick | Jamie-a.Flannick@db.com | (+1) 917-801-6762 ALL DEALS (BSL, inside + outside reinvestment)CREDITCredit metrics showed signs of softening thismonth at the margins yet remain constructive inaggregate. The median Moody's WARF (WeightedAverage Rating Factor) increased by 4 points and isnow 2778. This figure remains low compared torecent history - the July 2024 reading was 2839.Moody's Caa1 exposure (loans rated CcC or below)grow at the headline by 0.3% on the month to reach4.9%. However, the YoY comparable is stillCcc exposure remained flat at 4.7%. 微信The weighted average spread was unchanged, yetthe year-over-year comp remains challenged - 3.6%rounded in July 2024 vs 3.3% this month. The thinspread on loan collateral remains a headwind forCLO equity distributions.MARKET VALUEBut perhaps where the most noticeable changesoccurred this month were in the market valuemetrics. The LLI (Morningstar, LSTA US Lev Loanindex) on July 7th was 97.34, 65 bps higher than amonth prior. The index is once again trending backtowards the 98 threshold, pulling CLO market valuemetrics higher.TheWeighted Average Portfolio Price (WAPP)Equity NAV, and BB MVOC all saw an increase - 0.4pts / 4.4% / 0.7% to 97pts / 48% / 106%,respectively. Continued strong investor demand forleveraged loans should serve as a ballast for thecredit softening at the margins. Trend SummaryDeutsche BankResearch STRUCTURECLO structural metrics were flat on the month -Junior (BB) OC cushions and BB OC ratio remainunchanged at 3.7% / 108%.Another notable change relates to Oc Test fails -the headline figure across portfolios increased by1.3% and has now reached 7.2%. Like the trend@oftening in WAS, OC Test fails are a headwind toequity distributions, and the continued trendhigher indicates credit further deterioration in thetail end of the distribution.ID test fails decreased by 0.2%, however, retracingback to 1.3%.LOANSThe default rate for loans in CLOs (DBRAL figure)has ticked up to 4.4% so far in July. This figureremains elevated, and although showing signs ofcompressing in both March and April, the last 3months have once again seen a trend upwards.An upward trend is also visible when looking atthe LLl default rate (distressed exchanges), whichreached 4.5% (rounded) in June from a 4.4%reading in May.The trailing 3M downgrade-upgrade ratio alsoclimbed in June, reaching 3.08 compared to 2.03in May. Although still well south of the 4.69reached in February, the current trend indicatescredit softness expanding in the index. This couldbe further exacerbated if economic growth slowsin the quarters ahead.Conor O-Toole I Conor.O-Toole@db.comI (+44) 20 754-59652Jamie Flannick I Jamie-a.Flannick@db.com I(+1) 917-801-6762 e Trend Summary - portfolio metricsALLDEALS (BSL, inside + outside reinvestment)WARF2860106%105.7%2839284028202800104%2778278027602740102%Current1 Mago3Mago1 YragoCurrentCCC8%60%48.1%6.0%6%4.7%40%4%20%2%%0%0Current1 M ago3 Mago1 YragoCurrentBB OC cushion3.8%6.0%3.7%3.7%5.0%3.6%4.0%3.7%3.5%3.4%3.0%3.4%2.0%3.3%1.0%3.2%0.0%Current1 M ago3 Mago1 YragoCurrentDeutsche BankSource:Intex,Markit,DeutscheBankResearch TOPICPAGEOverviewSummary metrics6Manager summary6Historical trends13Relative PerformanceMoody's WARF versus WAS positioning14WARF deltas16Caa1 & less (%) deltas18Rating barbelling: Moody's Caa1 versus WARF20Test cushion vs. current levels22Manager size effects: uniformity across platform size23Top 15 low and high WAS, WARF, Bid Depth24Summary across vintage and quarter of issuance27Credit MetricsMoody's WARF28Moody's Caa1 & less %30S&P CCC (%)32Defaults (%)34WAS36Moody's WARR38Moody's diversity score40Price MetricsBB MVOC42Equity NAV4446Weighted average portfolio priceExposure to credits marked < 80 pt (%)48Exposure to credits marked < 95 pt (%)50BB OC Ratio52BB OC Cushion5456Leverage (Deal balance/Equity ratio)Methodology and caveats notes58Source:Intex,Markit,DeutscheBank Distribution comparison -OC / MVOCBB OC cushioncurrent3M1YR115%110%105%100%95%90%ConorO-Toole/Conor.0-Toole@db.com|(+44)20754-59652Jamie Flannick I Jamie-a.Flannick@db.com I (+1) 917-801-6762 Average of managers weighted averages are shown which in turn are calculated using all deals in and1 WAS, DS and WARR, and leverage all based on 12m rather than 3m prior.2 OC and IDT tests are based on average at a manager level rather than median. Jamie Flannick I Jamie-a.Flannick@db.com I (+1) 917-801-6762 Average of managers weighted averages are shown which in turn are calculated using deals that havenot passed their Reinvestment Period (RP).1WAS,DSandWARR,andleverageallbasedon12mratherthan3mprior Moody's WARF vs WAS+1-4Deals·5-9Deals10-14Deals15+DealsWARE:Median - 2778WARFMedianWAS: Median - 3.3%2778Low WARFand highHigh WARF and highWAS quadrantWAS quadrantMJXFortress3437 at the high end. The range betweenAGLBrigad