穆迪-全球-证券市场-11月贷款抵押证券利息-20171127-22页_2mb

报告摘要

CLO Interest Summary

Core Content

This document provides an analysis of the performance and trends in the Collateralized Loan Obligations (CLOs) market for the period of November 2017, focusing on the United States and European sectors. It discusses the impact of covenant-lite (cov-lite) loans, changes in credit metrics, and the effects on CLO portfolio recovery rates and rating outcomes.

Key Points

US CLO Sector

Portfolio Recovery Rate Decline: The median portfolio WARR for CLOs has declined from 50.9% in January 2012 to 49.2% in June 2017, primarily due to the increasing share of cov-lite loans without subordinated debt.
Cov-lite Loans Dominance: Cov-lite loans made up 75% of new institutional loan issuance in 2016, and their share continues to grow, with less debt cushion compared to pre-crisis levels.
Trading Flexibility: The shrinking WARR cushion, combined with a reduction in portfolio weighted average spread (WAS), limits trading flexibility for CLO managers.
CLO Issuance and Performance: CLO issuance in Q3 2017 reached $93.6 billion, surpassing the 2016 full-year total. However, asset credit metrics were mixed, with increased exposure to Caa-rated assets and a slight deterioration in CLO performance metrics.
Defaults and Caa Exposures: Defaults declined across all cohorts, while Caa exposures increased. The downgrade of Concordia International Corp. to Caa1 in July 2017 significantly impacted CLOs, especially US CLO 2.0s and European CLO 2.0s.
Rating Upgrades: Deleveraging and refinancing led to rating upgrades for several CLOs, primarily affecting mezzanine and junior notes. However, some CLOs faced downgrades due to collateral deterioration and lower recovery rates.

European CLO Sector

Strong Issuance: European CLO issuance remained strong in Q3 2017, with a slight deterioration in performance metrics.
Credit Quality Metrics: The median WARF for European CLO 2.0s worsened slightly, while it improved for US CLO 1.0s.
Over-Collateralization (OC): Senior and junior OC levels declined for European CLO 2.0s but increased for other cohorts, mainly due to amortization and refinancing activities.
Macro Conditions: Macroeconomic indicators remained positive, though geopolitical risks increased.

Leveraged Loan Covenants

Weakening Restrictions: Restricted payment protections have weakened significantly, allowing borrowers more flexibility to pay dividends and other equity-related payments.
Dividend Capacity: Borrowers have substantial capacity to make dividends due to the structure of fixed-dollar restricted payment baskets, which permit up to 60% of EBITDA to be used for dividends.
Covenant Structures: The use of ratio-based restricted payment baskets has increased, with 95% of leveraged loans in 2017 featuring such structures. This trend raises concerns for loan investors as it may lead to cash leakage.

Main Views

The increasing prevalence of cov-lite loans without subordinated debt has led to a decline in portfolio recovery rates for CLOs, which is a credit negative factor.
CLOs are experiencing mixed credit metrics, with some improvements in liquidity and credit quality but also increased exposure to lower-rated assets.
The weakening of covenant structures, particularly restricted payment protections, poses a risk to CLO investors by allowing more cash to flow to equity holders.
Rating upgrades are driven by deleveraging and refinancing activities, while downgrades are linked to collateral deterioration and lower recovery rates.
The overall market remains resilient, but there are signs of structural changes that could impact future performance.

Key Information

Portfolio Recovery Rate (WARR): Declined to 49.2% in June 2017 from 50.9% in January 2012.
Cov-lite Loans: Accounted for 75% of new institutional loan issuance in 2016, with a lower debt cushion compared to pre-crisis levels.
CLO Issuance: In Q3 2017, CLO issuance reached $93.6 billion, surpassing 2016's total.
Defaults: Declined for all cohorts, with US CLO 1.0s seeing a significant drop.
Caa Exposures: Increased notably, especially in US CLO 1.0s, rising by 310 bps to 12.35%.
Warf and OC Metrics: US CLO 1.0s saw a significant increase in WARF, while European CLO 2.0s experienced a slight decline in OC.
Restricted Payment Protections: Weakened to a record-low level, with a risk category score of 4.42, indicating the weakest level of protection.
Dividend Capacity: Borrowers can use up to 60% of generated EBITDA for dividends under fixed-dollar baskets, and have significant cash capacity to make payments.

Conclusion

The CLO market in both the US and Europe is undergoing structural changes, primarily driven by the rise of cov-lite loans and the weakening of covenant protections. These trends are leading to lower recovery rates and affecting the credit quality and trading flexibility of CLOs. Despite some improvements in liquidity and credit metrics, the overall outlook remains cautious, with increased exposure to lower-rated assets and potential risks for noteholders.

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