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DeutscheBankResearch DeutscheBankSecuritizationResearchTheOutlook Distributedon:09/04/202411:00:00GMT April9th,2024 EdReardon|+1(212)250-4195|edward.reardon@db.com DouglasW.Runte,CFA|+1(212)250-9319|douglas.runte@db.comConorO-Toole|+44(20)754-59652|conor.o-toole@db.com KayvanDarouian|+1(212)250-4849|kayvan.darouian@db.comBipulSinha,CFA|+1(212)250-9994|bipul.sinha@db.comJamieFlannick|+1(212)250-9775|jamie-a.flannick@db.comSmitiKaul|+1(212)250-9186|smiti.kaul@db.com RupeshShrivastav|rupesh.srivastav@db.comVivekJohn|vivek-a.john@db.com IMPORTANTRESEARCHDISCLOSURESANDANALYSTCERTIFICATIONSLOCATEDINAPPENDIX1.MCI(P)041/10/2023.UNTIL19thMARCH2021INCOMPLETE DISCLOSUREINFORMATIONMAYHAVEBEENDISPLAYED,PLEASESEEAPPENDIX1FORFU77RTTTH22ERsDeE3TArIL0SO. t6kwoPa Overview:Worldscollide–privatecreditandsecuritizedmarkets.CommercialMBS:CREpoisedforgrowthinprivatecreditlending. CLOs:Adurable,notafleetingtrend. ConsumerandEsotericABS:WillprivatecrediteclipsepublicABS?TransportationDebt:Plentyofplanestogoaround,butsomestiffcompetition. ResidentialMBS:PrivatecreditopportunityinSFRandnon-traditionalresidentialloans. Econ:USEconomicPerspectives. Rates:USFixedIncomeWeekly:StrategyUpdate. DownloadDBSecuritizationMarketDatabank.xlsx Allfiguresareinbillions Sector 2023 2024 YTD 2024forecast 2024paceannualized ABS 256 94 270 282 CLO 115 51 115 153 Non-AgencyCMBS 46 20 57 61 AgencyCMBS 51 11 60 33 Non-AgencyRMBS 66 29 85 87 $Bn 300 250 200 150 100 50 YTD'24YTD'23Total'23 256 116 97 94 81 66 51 29 22 32 40 24 0 Non-AGRMBSCMBSABSCLO Note:Eachsectorissuanceisdetailedinrespectivesections.Source:DeutscheBank,BloombergFinanceLP,SIFMA ABS CMBS CLO Non-AgyCMO 70 60Overall,IG 50 securitizationvolumeforMTDis$11.8bn. 40Lastweekvolume 30 forABS,CMBS,CLO andnon-agency 20CMOare$3.8bn, $3.5bn,$2.5bnand 10 $1.9bn,respectively. A CustomerBuy/Sellratio FordetailedFINRATRACEdataanalysisclickhere InvestmentGrade CurrMonth 1.31 1.03 1.29 1.01 PrevMonth 0.93 1.00 1.06 1.14 3Month 0.97 1.02 1.01 1.03 6Month 1.01 1.06 0.99 1.14 12Month 0.98 1.00 1.01 1.12 ABSCMBSCLONACMO Note:Mostrecentmonthismonth-to-datedata.Buy/Sellratioequalsclientbuyvolumesdividedbyclientsellvolumes. Source:DeutscheBank,FINRATRACE. ABS CMBS CLO Non-AgyCMO 25 20 15 10 5 A CustomerBuy/Sellratio ABSCMBSCLONACMO CurrMonth1.371.010.991.22 Overall,non-IGsecuritizationvolumeforMTDis$3.9bn. LastweekvolumeforABS,CMBS,CLOandnon-agencyCMOare$0.6bn, $1bn,$1bnand $1bn,respectively. PrevMonth 1.06 1.00 0.92 1.09 sellvolumes. 3Month 1.05 1.00 0.96 1.05 Source:DeutscheBank, 6Month 1.14 1.03 0.87 0.99 12Month 1.07 1.06 0.91 0.98 Note:Mostrecentmonthismonth-to-datedata.Buy/Sellratioequalsclientbuyvolumesdividedbyclient FINRATRACE. Non-AgencyRMBS CMBS ABS $Bn Date Mortgage-RelatedSecurities Other AGRMBS NARMBS CMBS ABS Mar-23 59 8 6 8 Apr-23 59 8 6 8 May-23 63 8 5 8 Jun-23 63 7 6 8 Jul-23 67 7 6 7 Aug-23 66 7 6 9 Sep-23 67 7 6 9 Oct-23 68 7 6 9 Nov-23 68 7 6 10 Dec-23 74 7 6 9 Jan-24 76 6 6 8 Feb-24 75 6 5 8 Mar-24 72 6 5 8 YoYChg 20% -16% -11% 12% 14 12 10 8 6 4 2 0 Mar-17May-18Jul-19Sep-20Nov-21Jan-23Mar-24 Source:FederalReserveBankofNewYork;*YTDthroughthelatestreportedweek;*CMBSexcludesAgencyCMBS AAAspreadtoI-Curve/SOFRBBBspreadtoI-Curve/SOFR 240 180 120 60 0 3yrAuto10yrCMBS5yrCLOs3yrNon-QM 1200 1100 1000 900 800 700 600 500 400 300 200 100 0 3yrAuto10yrCMBS5yrCLOs5yrNon-QM May-23 Jun-23 Aug-23 Oct-23 Dec-23 Feb-24 Apr-24 Apr-23 Jun-23Aug-23Sep-23Nov-23Dec-23Feb-24 Apr-24 Sector WAL Current -1w -4w 52wk High 52wk Low Sector WAL Current -1w -4w 52wk High 52wk Low Auto 3yr 55 -7 -6 95 55 Auto 3yr 150 -10 -20 275 150 CLOs 5yr 136 -2 -3 193 136 CLOs 5yr 366 -5 -22 530 366 CMBS 10yr 105 -4 -9 167 105 CMBS 10yr 889 -9 -51 1119 889 Non-QM 3yr 130 0 -20 210 130 Non-QM 5yr 220 0 -40 485 220 Source:ThomsonReuters,DeutscheBank Indications Averagelifebucket Dataonthispageasof4/5/24 1yr 2yr 3yr 5yr 7yr 10yr USfloating-ratespreads(bp)toSOFR StudentloanFFELP(1-month) 77 77 77 80 88 95 Studentloanprivatecredit(1-month) -- 85 -- -- 115 -- CLO -- -- -- 136 -- -- USfixed-ratespreads(bp)toIcurve Autos(Note:1yrautovs.EDSF) 36 47 55 -- -- -- Subprimeauto -- 67 -- -- -- -- Creditcards -- 40 46 -- -- -- CMBSconduit3.0 -- -- -- 137 -- 105 Equipment 40 50 65 -- -- -- Agency(nominalspreadstoTreasuries)(bp) AgencyMBS-CurrCpn(15yr) -- -- -- 72 -- -- AgencyMBS-CurrCpn(30yr)(vs.7.5yr) -- -- -- -- 138 -- Source:DeutscheBank,BloombergFinanceLP PrivateCreditOverview EdReardon,ManagingDirector WorldsCollide–PrivateCreditandSecuritizedMarkets Privatecredit.Wereviewthefast-growingprivatecreditmarket,historicallydominatedbymiddlemarketloans.Today,“privatecredit”isexpandingandincludesothertypesofdebt(consumerloans,CREtransitionloans,SingleFamilyRentalloans). Alternativeassetmanagersoriginate/purchasetheseloans,andthenaddleveragetodeliverhighreturnstoinvestorswithlong-terminvestmenthorizons(e.g.,highnetworth,pensionfunds,sovereignwealthfunds). Investmentimplications.Historically,thesecuritizedbon