德意志银行：欧洲 CLO 经理晴雨表_再投资内外交易之间的差距扩大

Key Highlights (all deals) * Credit Metrics - Some Softening on the Headline: * Moody's WARF deteriorated slightly month-over-month by 2 points to 2971 vs. 2969 a month ago. This is consistent with the year-to-date trend, which has seen WARF tick higher by 6 points each month on average. Compared to this time last year, the average WARF across portfolios is roughly 50 points higher. * However, when only looking at deals still within their reinvestment period, the YoY difference is a more pronounced +23 points. This implies that a disproportionate amount of credit softening is occurring in deals outside of their reinvestment period. * Part of what may be driving the headline WARF number is the acceleration of paydowns in 2024. As AAAs pay off at a quicker rate, the overall credit ratings for those deals will decline materially. * Moody's Caa buckets held steady and remain at 4.7%. The differential between deals inside their reinvestment period (4.2%) and deals outside of their reinvestment period (5.8%) is quite high here as well. * S&P CCC's still remain considerably lower across all deals, 3.3%. Although this marks a m-o-m rise of 0.2%, the current level is on par with the October 2023 figure, signaling relative consistency. * 32 platforms – or roughly 48% - currently have an S&P or Moody's triple-C bucket of at least 5% compared to 36 for the same period a month ago, marking an improvement. However, dispersion continues in the tails, with the lowest three platforms now ranging between 9.1% and 9.7%, compared to a slightly more modest range of 8.6% - 9.1% last month. Moreover we expect some deterioration to occur by next month owing to Cerba and Lipton CCC downgrades – see our comment (here). * Market Value Metrics - Range Bound: * Market Value metrics were broadly flat on the month – BB MVOC and WAPP were unchanged and reside at 109% / 97%, respectively. NAV decreased marginally by 1% and now resides at 52%. NAV has remained flat since July, consistent with the Morningstar European Leveraged Loan Index (ELLI) which continues to remain range bound between 97.5 and 98 for nearly four months. * Sub-90-point loans, increased by 0.4% over the month to reside at 6.9%. Although an increase, the current level is still well below the 8.5% / 7.7% in June and July. Similarly, the percentage of sub-80 point loans also marginally ticked upward and is now at 3.4% compared to 3.3% the month prior. * Structural and Other Credit - Steady: * The average BB OC ratio and BB OC cushions decreased by 0.1% each to reach 111% / 4.7%, respectively. This is a reversal of last month's 1 bps increase. * A total of 7 deals (3 Barings, 2 Bain and 1 each from Accunia, ManGLG) are currently breaching single-B OC tests, at par with last month. Only one deal, from ICG, is currently breaching its double BB OC test. * Portfolio WAS (4%), WARR (44%), and Diversity Score (55) all remained pegged to current levels. Summary Metrics * All Deals in and out of RP: * WARF: 2971 * Caa1 %: 4.7% * CCC %: 3.3% * Default stock %: 0.53% * WAS: 4.0% * D S: 55 * WARR: 44 * 2nd Lien %: 1.5% * BB MV OC: 109% * Equity NAV: 52% * WAPP: 97% * % assets priced < 85: 4.0% * % assets priced < 90: 6.9% * Bid depth: 7 * BB OC Ratio: 111% * BB OC Cushion: 4.7% * Leverage: 9 * OC Test Fail: 1.3% * IDT test Fail: 0.0% * Fixed Rate Assets: 7.3% * HYB: 13.1% * of unique obligors: 681 * of unique facilities: 1147 * Deals inside RP: * WARF: 2933 * Caa1 %: 4.2% * CCC %: 3.0% * Default stock %: 0% * WAS: 4.0% * D S: 58 * WARR: 44 * 2nd Lien %: 1.5% * BB MV OC: 109% * Equity NAV: 55% * WAPP: 97% * % assets priced < 85: 3.7% * % assets priced < 90: 6.4% * Bid depth: 7 * BB OC Ratio: 111% * BB OC Cushion: 4.7% * Leverage: 10 * OC Test Fail: 0.0% * IDT test Fail: 0.0% * Fixed Rate Assets: 7.2% * HYB: 13.2% * of unique obligors: 681 * of unique facilities: 1147 * Deals outside RP: * WARF: 3041 * Caa1 %: 5.8% * CCC %: 4.0% * Default stock %: 1% * WAS: 3.8% * D S: 50 * WARR: 44 * 2nd Lien %: 2.0% * BB MV OC: 108% * Equity NAV: 41% * WAPP: 96% * % assets priced < 85: 4.8% * % assets priced < 90: 8.2% * Bid depth: 7 * BB OC Ratio: 111% * BB OC Cushion: 4.7% * Leverage: 9 * OC Test Fail: 3.5% * IDT test Fail: 0.0% * Fixed Rate Assets: 8.1% * HYB: 13.5% * of unique obligors: 681 * of unique facilities: 1147