CMBS, ABS, CLO, RMBS

Daily Spread Chartbook: May 22, 2020

22 May 2020
Key takeaways
Securitized Products Strategy
• Securitized products credit spreads were mostly unchanged-to-tighter on Thursday.
United States
• Secondary trading activity remained largely focused on higher quality bonds/sectors or
those with more certain cashflows. Alan Todd, CFA
CMBS Strategist
• On page 6 we now track additional macro data, including changes in interest rates, BofAS
+1 646 855 6383
equity indices, etc. alan.todd@bofa.com
Theresa O'Neill
ABS Strategist
CMBS BofAS
+1 646 855 9285
theresa.oneill@bofa.com
• Benchmark conduit spreads were unchanged on Thursday, with LCF AAAs at S+145bp
and BBB-minus conduit paper at S+950bp. Pratik K. Gupta
CLO/MBS Strategist
• In Agency CMBS, benchmark GeMs and Freddie K A2s were unchanged at S+60bp and BofAS
+1 646 855 9146
S+55bp, respectively. pratik.gupta@bofa.com
• Unguaranteed Freddie K B bonds were 10bp wider at S+300bp, while Freddie K Cs Christopher Jennings
MBS Strategist
tightened 15bp to S+410bp. BofAS
+1 646 855 9013
• SBAP 10-, 20-, and 25-year paper were all unchanged at S+65bp, S+75bp and S+85bp, cjennings2@bofa.com
respectively.
Elana Lipchak, CFA
• CMBX spreads/prices at the top of the stack were roughly unchanged on Thursday ABS Strategist
BofAS
across series, while spread/price changes at the bottom of the stack were mixed +1 646 855 8677
across series. elana.c.lipchak@bofa.com
Mao Ding, CFA
ABS CMBS Strategist
BofAS
• Spreads were unchanged on Thursday as secondary volumes remained light. +1 646 855 9968
mao.ding@bofa.com
• Three new deals (A&C equipment, prime and subprime auto loan) totaling $2.4bn
Graham Voss
priced this week. YTD volume now $66bn, down 37% YoY. CLO MBS Strategist
BofAS
• CLO AAA/AA/A spreads tightened by 5/15/10bp while CLO BBB and BB spreads +1 646 855 9177
tightened by 25 and 50bp, respectively. graham.voss@bofa.com
Unauthorized redistribution of this report is prohibited. This report is intended for akamat@seercap.com

• There was robust demand for not only top-tiered managers but also for less sought Hannah Yoo
CLO Strategist
after managers amid the positive macro backdrop. BofAS
+1 646 855 6552
• Loans gained another 0.30% yesterday after gaining 0.27% the day before. hannahyoo@bofa.com

Non-agency MBS
• The grind tighter continued in non-agency with spreads tightening across most non- Link to Common acronyms
agency profiles yesterday.
• Notably, RPL AAA A1s have tightened 20bp on the week to N+175 and legacy sectors
continue to see spread tightening on a relative lack of BWIC supply.
• CRT sectors continue to grind tighter on strong trading volume as indicated by TRACE.
Volumes remain concentrated in M2 bonds, although trading in B1 tranches has picked
up as the sector continues to retrace from its March wides with delinquency and
forbearance request data trending favorably.

This document is intended for BofA Securities institutional investors only. It may not be
distributed to financial advisors, retail clients or retail prospects.
BofA Securities does and seeks to do business with issuers covered in its research reports. As
a result, investors should be aware that the firm may have a conflict of interest that could
affect the objectivity of this report. Investors should consider this report as only a single
factor in making their investment decision.
Refer to important disclosures on page 10 to 11. 12145358

Timestamp: 22 May 2020 08:35AM EDT

Table 1: CMBS Cash Spreads (bp)
1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
Conduit Spreads Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
A1 (3yr AAA) 0 0 -20 -200 90 130 130 130 130 130 130 150 330 40
A2 (5yr AAA) 0 0 -10 -170 98 160 160 160 160 160 160 170 330 62
A-SB (7yr AAA) 0 0 0 -180 80 150 150 150 150 150 150 150 330 70
LCF AAA (10yr) 0 0 -5 -185 68 145 145 145 145 145 145 150 330 77
A-S 0 0 0 -230 91 190 190 190 190 190 190 190 420 99
AA 0 -25 -75 -225 205 325 325 350 350 350 350 400 550 120
A 0 0 -25 -125 410 575 575 575 575 575 575 600 700 165
BBB- 0 0 0 -100 680 950 950 950 950 950 950 950 1,050 270
Agency CMBS Spreads
DUS 10/9.5/30yr TBA T2 0 -1 -4 -91 2 59 59 59 59 60 60 63 150 57
GeMs A1 0 0 0 -80 10 55 55 55 55 55 55 55 135 45
GeMs A2 0 0 -5 -85 5 60 60 60 60 60 60 65 145 55
Freddie A1 0 -4 -4 -76 4 54 54 54 57 58 58 58 130 50
Freddie A2 0 -4 -4 -75 6 55 55 55 56 59 59 59 130 49
Freddie B 10 0 0 -300 150 300 290 290 290 300 300 300 600 150
Freddie C -15 -90 -90 -390 210 410 425 425 425 500 500 500 800 200
PL 35yr; 1:9 0 0 0 -80 36 120 120 120 120 120 120 120 200 84
SBAP 10yr 0 -10 -10 -80 15 65 65 65 65 75 75 75 145 50
SBAP 20yr 0 -5 -5 -75 20 75 75 75 75 80 80 80 150 55
SBAP 25yr 0 -5 -5 -75 20 85 85 85 85 90 90 90 160 65
Source: BofA Global Research

Table 2: CMBS Cash Yields

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
Conduit Yields Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
A1 (3yr AAA) 0.00 0.02 -0.25 -2.20 -0.14 1.57% 1.57% 1.57% 1.59% 1.55% 1.55% 1.83% 3.77% 1.71%
A2 (5yr AAA) 0.00 0.04 -0.14 -1.84 0.05 1.97% 1.97% 1.97% 2.01% 1.95% 1.93% 2.11% 3.81% 1.93%
A-SB (7yr AAA) 0.00 0.05 -0.02 -1.91 -0.03 2.00% 2.00% 2.01% 2.04% 1.97% 1.95% 2.02% 3.92% 2.03%
LCF AAA (10yr) 0.00 0.07 -0.03 -1.90 -0.06 2.11% 2.12% 2.12% 2.16% 2.08% 2.04% 2.14% 4.01% 2.17%
A-S 0.00 0.07 0.02 -2.35 0.17 2.56% 2.57% 2.57% 2.61% 2.53% 2.49% 2.54% 4.91% 2.39%
AA 0.00 -0.18 -0.73 -2.30 1.31 3.91% 3.92% 4.17% 4.21% 4.13% 4.09% 4.64% 6.21% 2.60%
A 0.00 0.07 -0.23 -1.30 3.36 6.41% 6.42% 6.42% 6.46% 6.38% 6.34% 6.64% 7.71% 3.05%
BBB- 0.00 0.07 0.02 -1.05 6.06 10.16% 10.17% 10.17% 10.21% 10.13% 10.09% 10.14% 11.21% 4.10%
Agency CMBS Yields
DUS 10/9.5/30yr TBA T2 0.00 0.06 -0.02 -0.96 -0.72 1.25% 1.26% 1.26% 1.30% 1.23% 1.19% 1.27% 2.21% 1.97%
GeMs A1 0.00 0.05 -0.02 -0.91 -0.73 1.05% 1.05% 1.06% 1.09% 1.02% 1.00% 1.07% 1.97% 1.78%
GeMs A2 0.00 0.07 -0.03 -0.90 -0.69 1.26% 1.27% 1.27% 1.31% 1.23% 1.19% 1.29% 2.16% 1.95%
Freddie A1 0.00 0.01 -0.06 -0.87 -0.79 1.04% 1.04% 1.05% 1.11% 1.05% 1.03% 1.10% 1.92% 1.83%
Freddie A2 0.00 0.03 -0.02 -0.80 -0.68 1.21% 1.22% 1.22% 1.27% 1.22% 1.18% 1.23% 2.01% 1.89%
Freddie B 0.10 0.07 0.02 -3.05 0.76 3.66% 3.57% 3.57% 3.61% 3.63% 3.59% 3.64% 6.71% 2.90%
Freddie C -0.15 -0.83 -0.88 -3.95 1.36 4.76% 4.92% 4.92% 4.96% 5.63% 5.59% 5.64% 8.71% 3.40%
PL 35yr; 1:9 0.00 0.05 -0.02 -0.91 -0.47 1.70% 1.70% 1.71% 1.74% 1.67% 1.65% 1.72% 2.62% 2.17%
SBAP 10yr 0.00 -0.06 -0.14 -0.94 -0.78 1.02% 1.02% 1.02% 1.06% 1.10% 1.08% 1.16% 1.96% 1.81%
SBAP 20yr 0.00 0.00 -0.07 -0.86 -0.63 1.25% 1.25% 1.26% 1.29% 1.27% 1.25% 1.32% 2.12% 1.88%
SBAP 25yr 0.00 0.02 -0.03 -0.80 -0.54 1.51% 1.52% 1.52% 1.56% 1.53% 1.49% 1.54% 2.31% 2.05%
Source: BofA Global Research

Table 3: ABS Spreads

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
ABS Spreads Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
Credit Card (2yr AAA) 0 -5 -25 -330 4 20 20 20 25 25 25 45 350 16
Prime Auto (2yr AAA) 0 -20 -45 -320 14 30 30 40 50 50 50 75 350 17
FFELP (6yr AAA) 0 -15 10 -85 121 215 215 220 230 230 230 205 300 95
Timeshare (3yr AA) 0 -50 -63 -75 295 375 375 425 425 425 425 438 450 80
Container (5yr A) 0 -13 -50 -150 260 450 450 463 463 463 463 500 600 190
Rental Car (5yr AAA) 0 0 -150 -50 305 400 400 400 400 400 400 550 450 95
Aircraft (5yr A) 0 -50 -113 -250 630 825 825 825 875 875 875 938 1075 195
Source: BofA Global Research

2 CMBS, ABS, CLO, RMBS | 22 May 2020

Table 4: ABS Yields
1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
ABS Yields Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
Credit Card (2yr AAA) 0.00 -0.05 -0.31 -3.53 -1.07 0.46% 0.45% 0.46% 0.52% 0.50% 0.50% 0.77% 3.99% 1.52%
Prime Auto (2yr AAA) 0.00 -0.20 -0.51 -3.43 -0.97 0.56% 0.55% 0.66% 0.77% 0.75% 0.75% 1.07% 3.99% 1.53%
FFELP (6yr AAA) 0.00 -0.10 0.07 -0.97 0.33 2.59% 2.59% 2.64% 2.78% 2.71% 2.69% 2.52% 3.56% 2.26%
Timeshare (3yr AA) 0.00 -0.48 -0.68 -0.95 1.91 4.02% 4.02% 4.52% 4.54% 4.50% 4.50% 4.71% 4.97% 2.11%
Container (5yr A) 0.00 -0.09 -0.54 -1.64 1.67 4.87% 4.87% 5.00% 5.04% 4.98% 4.96% 5.41% 6.51% 3.21%
Rental Car (5yr AAA) 0.00 0.04 -1.54 -0.64 2.12 4.37% 4.37% 4.37% 4.41% 4.35% 4.33% 5.91% 5.01% 2.26%
Aircraft (5yr A) 0.00 -0.46 -1.17 -2.64 5.37 8.62% 8.62% 8.62% 9.16% 9.10% 9.08% 9.79% 11.26% 3.26%
Source: BofA Global Research

Table 5: CLO Spreads

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CLO Spreads Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
AAA -5 -10 -30 -320 82 180 185 190 190 190 190 210 500 98
AA -15 -15 -65 -350 90 250 265 265 265 265 265 315 600 160
A -10 -10 -80 -350 145 350 360 360 360 360 360 430 700 205
BBB -25 -50 -115 -275 285 600 625 650 650 650 650 715 875 315
BB -50 -50 -100 -75 410 1,125 1,175 1,175 1,175 1,175 1,175 1,225 1,200 715
Source: BofA Global Research

Table 6: CLO Yields

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CLO Yields Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
AAA -0.05 -0.13 -0.50 -4.06 -0.50 2.16% 2.21% 2.27% 2.28% 2.28% 2.29% 2.66% 6.22% 2.66%
AA -0.15 -0.18 -0.85 -4.36 -0.42 2.86% 3.01% 3.02% 3.03% 3.03% 3.04% 3.71% 7.22% 3.28%
A -0.10 -0.13 -1.00 -4.36 0.13 3.86% 3.96% 3.97% 3.98% 3.98% 3.99% 4.86% 8.22% 3.73%
BBB -0.25 -0.53 -1.35 -3.61 1.53 6.36% 6.61% 6.87% 6.88% 6.88% 6.89% 7.71% 9.97% 4.83%
BB -0.50 -0.53 -1.20 -1.61 2.78 11.61% 12.11% 12.12% 12.13% 12.13% 12.14% 12.81% 13.22% 8.83%
Source: BofA Global Research

Table 7: Non-agency MBS Cash Spreads

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
Select Non-agency Sectors Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
Non-QM A1 (AAA) 0 -25 -50 -75 145 225 225 225 225 225 250 275 300 80
RPL A1 (AAA) -20 -25 -40 -250 100 175 195 195 195 200 200 215 425 75
SFR A (AAA) 0 -10 -50 -155 55 145 145 145 155 155 155 195 300 90
SFR E (BBB-) 0 0 -40 -135 305 485 485 485 485 485 485 525 620 180
Legacy Non-agency MBS
Jumbo Fixed -20 -20 -20 -190 250 360 380 380 380 380 380 380 550 110
Alt-A Floater -20 -20 -20 -195 260 380 400 400 400 400 400 400 575 120
Option ARM -20 -20 -20 -195 260 380 400 400 400 400 400 400 575 120
Current Pay Subprime -20 -20 -20 -195 220 305 325 325 325 325 325 325 500 85
LCF Subprime -20 -20 -20 -195 275 405 425 425 425 425 425 425 600 130
Source: BofA Global Research

Table 8: CRT Spreads

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CRT Spreads Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
M1* -10 -10 -130 -435 91 165 175 175 175 175 175 295 600 74
Non-IG M2 -100 -100 -125 -725 588 775 875 875 875 875 875 900 1,500 187
Seasoned IG M2 -30 -75 -125 -1,500 282 500 530 575 575 575 575 625 2,000 218
2017 B1 -110 -135 -210 -1,810 590 890 1,000 1,025 1,025 1,025 1,025 1,100 2,700 300
Source: BofA Global Research
*Generic spread run at a 10 CPR assumption to TRACE prices

CMBS, ABS, CLO, RMBS | 22 May 2020 3

Table 9: CRT Yields
1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CRT Yields Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
M1 -0.10 -0.11 -1.46 -5.13 -0.55 1.82% 1.92% 1.92% 1.92% 1.92% 1.93% 3.28% 6.95% 2.37%
Non-IG M2 -1.00 -1.01 -1.41 -8.03 4.42 7.92% 8.92% 8.92% 8.92% 8.92% 8.93% 9.33% 15.95% 3.50%
Seasoned IG M2 -0.30 -0.76 -1.41 -15.78 1.36 5.17% 5.47% 5.92% 5.92% 5.92% 5.93% 6.58% 20.95% 3.81%
2017 B1 -1.10 -1.36 -2.26 -18.88 4.44 9.07% 10.17% 10.42% 10.42% 10.42% 10.43% 11.33% 27.95% 4.63%
Source: BofA Global Research

Table 10: CMBS Cash Prices ($)

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
Conduit Dollar Prices ($) Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
BMARK 2020-B16 A1 0.02 0.04 0.30 2.13 (1.01) 99.65 99.63 99.61 99.54 99.64 99.62 99.35 97.52 100.66
BMARK 2020-B16 A2 (0.04) 0.48 1.03 4.38 (0.29) 103.96 104.00 103.79 103.45 103.61 103.47 102.93 99.58 104.25
BMARK 2020-B16 ASB (0.11) (0.51) 0.53 8.03 (0.71) 104.06 104.16 104.19 103.98 104.47 104.57 103.53 96.03 104.77
BMARK 2020-B16 A5 0.36 (0.43) 0.75 14.78 1.10 106.18 105.82 105.57 105.34 105.86 106.61 105.43 91.40 105.08
BMARK 2020-B16 AM (0.56) (0.18) 0.94 9.50 (3.83) 101.73 102.30 102.30 101.63 101.63 101.91 100.80 92.23 105.57
BMARK 2020-B16 B 0.05 16.77 12.83 8.24 (11.07) 94.73 94.68 90.90 90.64 88.02 77.96 81.90 86.48 105.79
BMARK 2020-B16 C 0.05 17.94 16.18 (2.46) (22.36) 83.49 83.45 71.09 70.97 70.95 65.55 67.31 85.96 105.86
BMARK 2020-B16 D 0.10 6.51 7.56 (15.43) (37.47) 50.66 50.56 51.02 51.05 50.99 44.15 43.10 66.09 88.13
BMARK 2020-B16 E 0.20 0.31 1.37 (20.01) (40.43) 43.64 43.44 43.38 43.18 43.37 43.34 42.28 63.65 84.07
Agency CMBS Prices
FNA 2020-M1 A1 0.08 (0.12) 0.91 2.51 5.55 106.69 106.61 106.59 106.31 106.77 106.81 105.77 104.18 101.14
FNA 2020-M1 A2 0.06 (0.45) (0.68) 1.04 4.54 108.72 108.66 108.62 108.23 108.99 109.17 109.40 107.68 104.18
FREMF 2019-K103 A1 0.14 0.18 0.92 2.04 3.50 107.04 106.89 106.80 106.45 106.89 106.86 106.11 105.00 103.54
FREMF 2019-K103 A2 1.22 0.62 0.36 5.14 5.23 111.90 110.68 110.64 110.63 111.40 111.28 111.54 106.76 106.67
FREMF 2019-K103 B 3.80 3.36 1.91 (4.52) (14.16) 90.21 86.41 86.39 86.15 86.72 86.85 88.30 94.73 104.37
FREMF 2019-K103 C 6.19 4.07 5.82 1.33 (11.03) 90.61 84.42 84.88 85.09 86.06 86.54 84.79 89.28 101.64
SBAP 2020-20A 1 0.28 0.95 1.49 (1.93) 1.38 104.52 104.23 104.02 103.55 103.79 103.57 103.03 106.44 103.13
Source: Bloomberg

Table 11: CMBX Spreads (bp)

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CMBX.6 AAA 1 -3 3 -70 16 33 32 34 34 37 36 30 103 17
CMBX.6 AS 1 0 11 -27 122 165 163 165 165 167 165 154 191 43
CMBX.6 AA 0 -4 5 -44 222 288 288 291 291 292 292 284 332 66
CMBX.6 A 5 -21 212 42 915 1083 1078 1084 1101 1114 1105 872 1041 168
CMBX.6 BBB- 2 -107 291 423 1,753 2350 2348 2358 2375 2446 2457 2059 1927 597
CMBX.6 BB 0 -263 227 -394 2,927 4107 4108 4152 4189 4294 4370 3880 4501 1181
CMBX.7 AAA 0 -5 2 -74 14 33 33 35 35 38 38 31 107 19
CMBX.7 AS 0 -9 -4 -46 107 150 151 156 157 160 159 154 196 43
CMBX.7 AA 0 -14 -6 -72 174 236 236 241 244 251 250 242 308 62
CMBX.7 A 10 104 213 110 527 643 632 634 624 614 539 430 533 116
CMBX.7 BBB- 8 17 231 201 1,057 1385 1378 1391 1383 1402 1368 1154 1185 328
CMBX.7 BB -14 -223 125 782 2,111 2783 2796 2881 2926 2990 3005 2658 2000 672
CMBX.8 AAA 1 -5 3 -80 14 37 36 39 40 43 42 35 117 23
CMBX.8 AS 0 -10 -3 -43 121 165 165 169 171 176 175 168 208 45
CMBX.8 AA 1 -15 -2 -63 189 267 266 271 274 281 282 268 330 78
CMBX.8 A 3 12 85 36 380 512 509 510 504 517 500 427 476 132
CMBX.8 BBB- -6 -59 147 211 960 1336 1343 1360 1371 1408 1396 1190 1126 376
CMBX.8 BB -41 -373 -149 1,097 2,344 3154 3195 3259 3298 3411 3526 3303 2057 810
CMBX.9 AAA 0 -6 2 -85 14 42 42 45 46 49 48 40 127 28
CMBX.9 AS -1 -10 -4 -66 104 161 162 166 167 172 171 166 228 57
CMBX.9 AA 2 -11 4 -84 185 275 273 277 279 287 286 271 359 90
CMBX.9 A 4 5 66 -33 327 472 468 471 469 481 467 406 505 144
CMBX.9 BBB- -9 -45 33 -74 661 978 987 995 1003 1027 1023 945 1051 317
CMBX.9 BB 2 -67 58 761 1,644 2225 2223 2238 2261 2288 2292 2166 1464 581
CMBX.10 AAA 0 -7 4 -91 15 50 49 52 53 57 57 46 141 34
CMBX.10 AS 0 -11 -6 -79 100 170 170 174 176 181 181 176 249 70
CMBX.10 AA 2 -7 2 -88 175 279 277 280 281 287 287 277 367 105
CMBX.10 A 3 11 31 -80 278 437 434 436 439 440 425 406 517 159
CMBX.10 BBB- -9 -31 38 -123 614 928 937 935 943 962 959 891 1052 314
CMBX.10 BB -8 -88 54 438 1,364 1980 1988 2015 2027 2061 2068 1926 1542 616
CMBX.11 AAA 0 -7 4 -88 18 58 58 61 62 65 65 55 146 41

4 CMBS, ABS, CLO, RMBS | 22 May 2020

Table 11: CMBX Spreads (bp)
1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CMBX.11 AS 0 -11 -2 -65 100 175 175 179 180 186 186 177 241 75
CMBX.11 AA 1 -13 -3 -83 176 288 287 290 293 301 302 291 372 112
CMBX.11 A 3 -16 0 -93 259 431 428 429 431 443 447 431 524 172
CMBX.11 BBB- -13 -45 -9 -233 561 877 890 889 891 919 922 885 1109 316
CMBX.11 BB -14 -173 -77 207 1,107 1689 1703 1763 1773 1820 1862 1766 1482 582
CMBX.12 AAA 1 -6 5 -94 19 68 67 70 71 75 74 63 162 49
CMBX.12 AS 1 -10 -5 -69 111 196 195 199 201 206 206 201 264 85
CMBX.12 AA 1 -13 0 -54 201 316 315 320 322 330 329 316 370 115
CMBX.12 A 2 -25 -11 -117 251 437 435 440 442 457 462 448 555 186
CMBX.12 BBB- -34 -75 -48 -270 486 813 847 862 867 888 888 862 1083 327
CMBX.12 BB -14 -159 -75 49 997 1589 1603 1662 1671 1709 1748 1664 1540 592
CMBX.13 AAA 1 -5 6 -89 20 77 76 79 80 83 82 71 167 58
CMBX.13 AS 0 -12 -7 -67 121 214 214 217 219 226 225 220 281 93
CMBX.13 AA 0 -14 -3 -62 204 331 331 335 338 346 345 334 393 126
CMBX.13 A 2 -27 -17 -133 242 439 437 442 447 462 465 455 572 196
CMBX.13 BBB- -27 -80 -76 -356 440 795 822 840 847 874 875 871 1151 355
CMBX.13 BB -20 -168 -92 -66 848 1470 1489 1555 1570 1603 1638 1561 1536 622
Source: BofA Global Research, Markit

Table 12: CMBX Prices ($)

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CMBX.6 AAA (0.02) 0.06 (0.07) 1.51 (0.40) 100.35 100.37 100.33 100.32 100.27 100.29 100.42 98.84 100.75
CMBX.6 AS (0.03) 0.02 (0.21) 0.72 (2.83) 98.57 98.60 98.57 98.55 98.51 98.55 98.78 97.85 101.40
CMBX.6 AA (0.00) 0.10 (0.03) 1.21 (5.11) 96.96 96.96 96.90 96.90 96.85 96.86 96.99 95.75 102.07
CMBX.6 A (0.08) 0.53 (3.61) 0.28 (18.53) 82.24 82.32 82.18 81.85 81.56 81.71 85.85 81.96 100.77
CMBX.6 BBB- (0.00) 1.68 (3.51) (4.46) (29.16) 63.94 63.94 63.77 63.49 62.44 62.26 67.45 68.40 93.10
CMBX.6 BB 0.03 2.69 (1.43) 5.76 (38.33) 46.98 46.95 46.49 46.09 45.01 44.29 48.41 41.22 85.31
CMBX.7 AAA (0.01) 0.18 (0.07) 2.53 (0.51) 100.57 100.58 100.51 100.50 100.39 100.39 100.64 98.04 101.08
CMBX.7 AS 0.02 0.31 0.15 1.64 (3.67) 98.34 98.32 98.16 98.12 98.00 98.03 98.19 96.70 102.01
CMBX.7 AA 0.01 0.48 0.23 2.52 (5.95) 97.17 97.16 97.01 96.91 96.68 96.69 96.94 94.65 103.12
CMBX.7 A (0.29) (2.94) (6.16) (2.74) (16.55) 86.41 86.70 86.64 86.90 87.17 89.35 92.57 89.15 102.96
CMBX.7 BBB- (0.15) (0.25) (5.09) (3.77) (28.61) 70.44 70.59 70.28 70.42 69.94 70.69 75.53 74.21 99.05
CMBX.7 BB 0.22 3.33 (1.40) (11.95) (44.74) 49.77 49.55 48.30 47.62 46.67 46.44 51.17 61.72 94.51
CMBX.8 AAA (0.02) 0.23 (0.11) 3.49 (0.64) 100.56 100.58 100.46 100.45 100.30 100.33 100.67 97.07 101.20
CMBX.8 AS (0.00) 0.42 0.15 1.92 (5.22) 97.24 97.24 97.07 97.00 96.81 96.82 97.09 95.32 102.46
CMBX.8 AA (0.02) 0.62 0.12 2.73 (8.02) 95.17 95.19 95.01 94.89 94.56 94.55 95.05 92.44 103.19
CMBX.8 A (0.12) (0.40) (3.10) (1.01) (15.27) 87.71 87.83 87.80 87.99 87.50 88.11 90.81 88.72 102.98
CMBX.8 BBB- 0.18 1.67 (3.70) (5.05) (31.21) 65.62 65.44 65.00 64.66 63.64 63.95 69.32 70.67 96.83
CMBX.8 BB 0.54 4.61 2.20 (17.02) (51.14) 37.14 36.60 35.79 35.26 33.85 32.53 34.94 54.16 88.28
CMBX.9 AAA (0.00) 0.33 (0.12) 4.51 (0.76) 100.42 100.42 100.26 100.22 100.06 100.09 100.54 95.91 101.18
CMBX.9 AS 0.04 0.53 0.25 3.46 (5.45) 96.84 96.80 96.62 96.53 96.29 96.31 96.59 93.38 102.29
CMBX.9 AA (0.09) 0.54 (0.12) 4.23 (9.46) 93.73 93.82 93.64 93.53 93.14 93.19 93.85 89.50 103.19
CMBX.9 A (0.17) (0.18) (2.89) 1.77 (15.89) 87.04 87.21 87.09 87.12 86.60 87.22 89.93 85.27 102.93
CMBX.9 BBB- 0.33 1.65 (0.97) 3.09 (27.54) 71.59 71.26 71.00 70.67 69.81 69.94 72.56 68.50 99.13
CMBX.9 BB (0.03) 1.42 (0.91) (17.56) (50.39) 45.80 45.83 45.54 45.03 44.45 44.38 46.71 63.36 96.19
CMBX.10 AAA (0.02) 0.42 (0.23) 5.65 (0.96) 100.01 100.03 99.87 99.81 99.57 99.59 100.24 94.36 100.97
CMBX.10 AS (0.00) 0.65 0.38 4.74 (6.12) 95.77 95.77 95.54 95.40 95.09 95.12 95.39 91.03 101.89
CMBX.10 AA (0.14) 0.45 (0.07) 5.02 (10.41) 92.41 92.55 92.38 92.31 91.94 91.96 92.48 87.39 102.82
CMBX.10 A (0.16) (0.55) (1.56) 4.33 (15.78) 86.74 86.90 86.77 86.62 86.55 87.29 88.30 82.41 102.52
CMBX.10 BBB- 0.34 1.31 (1.34) 5.16 (29.53) 69.65 69.31 69.40 69.00 68.22 68.34 70.99 64.49 99.18
CMBX.10 BB 0.18 2.06 (1.05) (10.79) (47.49) 46.35 46.17 45.59 45.24 44.44 44.29 47.40 57.14 93.84
CMBX.11 AAA (0.02) 0.47 (0.27) 6.18 (1.28) 99.39 99.41 99.20 99.15 98.90 98.92 99.66 93.21 100.67
CMBX.11 AS (0.02) 0.73 0.17 4.43 (6.96) 94.79 94.81 94.57 94.44 94.04 94.06 94.62 90.36 101.75
CMBX.11 AA (0.06) 0.88 0.25 5.32 (11.89) 90.80 90.86 90.67 90.47 89.94 89.92 90.55 85.48 102.69
CMBX.11 A (0.16) 0.97 0.10 5.50 (16.53) 85.40 85.56 85.50 85.38 84.62 84.43 85.30 79.90 101.93
CMBX.11 BBB- 0.56 2.06 0.51 9.79 (30.32) 68.66 68.10 68.13 67.99 66.75 66.60 68.15 58.87 98.98
CMBX.11 BB 0.37 4.58 2.19 (5.73) (45.22) 49.92 49.55 48.00 47.64 46.37 45.34 47.73 55.65 95.14
CMBX.12 AAA (0.10) 0.48 (0.40) 7.26 (1.53) 98.56 98.66 98.41 98.30 98.01 98.08 98.96 91.30 100.09
CMBX.12 AS (0.04) 0.77 0.39 5.03 (8.48) 92.71 92.75 92.50 92.33 91.94 91.94 92.32 87.68 101.19
CMBX.12 AA (0.09) 0.90 0.05 3.73 (14.76) 87.92 88.01 87.72 87.48 86.98 87.02 87.87 84.19 102.68
CMBX.12 A (0.14) 1.62 0.74 7.26 (17.48) 83.56 83.70 83.43 83.24 82.28 81.94 82.82 76.30 101.04
CMBX.12 BBB- 1.62 3.64 2.43 12.13 (28.89) 69.17 67.55 66.86 66.53 65.55 65.53 66.74 57.04 98.06
CMBX.12 BB 0.39 4.55 2.26 (1.23) (44.05) 50.06 49.67 48.00 47.63 46.54 45.51 47.80 51.29 94.11
CMBX.13 AAA (0.12) 0.44 (0.52) 7.65 (1.77) 97.56 97.68 97.38 97.32 97.03 97.12 98.08 89.91 99.33

CMBS, ABS, CLO, RMBS | 22 May 2020 5

Table 12: CMBX Prices ($)
1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CMBX.13 AS 0.01 0.96 0.57 5.33 (10.20) 90.41 90.40 90.20 89.95 89.39 89.45 89.84 85.08 100.61
CMBX.13 AA 0.01 1.09 0.28 4.60 (16.49) 85.54 85.53 85.22 85.00 84.38 84.45 85.26 80.94 102.03
CMBX.13 A (0.15) 1.88 1.20 8.77 (18.51) 81.80 81.95 81.61 81.16 80.13 79.92 80.60 73.03 100.31
CMBX.13 BBB- 1.36 4.15 3.94 16.18 (28.25) 67.52 66.16 65.25 64.78 63.41 63.37 63.58 51.34 95.77
CMBX.13 BB 0.62 5.27 2.98 2.26 (40.59) 51.00 50.38 48.37 47.78 46.71 45.73 48.02 48.74 91.59
Source: BofA Global Research, Markit

Table 13: US REIT

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
US REIT Index Spread Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
BofA ICE US REIT Index -3 -11 -5 -56 197 302 305 309 311 313 313 307 358 105
REIT Prices
EQR 3 3/8 06/01/25 0.02 (0.06) 3.92 3.74 (1.03) 106.07 106.05 106.09 105.93 106.20 106.13 102.16 102.33 107.10
AVB 3 1/2 11/15/24 0.04 0.46 0.82 2.70 (0.60) 106.68 106.63 106.44 106.24 106.27 106.22 105.85 103.97 107.27
BX 3.2 01/15/25 (0.19) 0.71 (0.38) 6.01 (1.16) 104.38 104.57 104.16 104.09 103.75 103.67 104.76 98.36 105.54
HCP 4.2 03/01/24 0.13 0.09 0.97 (0.86) (3.26) 104.71 104.58 104.78 104.74 104.51 104.62 103.74 105.57 107.97
EQR 4.15 12/01/28 0.02 0.00 (0.45) 8.00 (1.56) 113.54 113.52 113.50 113.21 113.82 113.54 114.00 105.54 115.10
AVB 3.2 01/15/28 0.33 0.76 1.70 2.87 (0.84) 106.39 106.06 105.76 105.34 105.49 105.63 104.69 103.52 107.23
BXP 4.5 12/01/28 0.12 0.70 0.98 8.26 (3.23) 113.84 113.72 113.89 113.28 113.21 113.13 112.86 105.58 117.06
SPG 3 3/8 12/01/27 (0.53) 0.35 (0.54) 2.07 (11.51) 96.95 97.48 97.97 96.92 96.86 96.60 97.49 94.88 108.46
Source: ICE Data Indices, Bloomberg

Table 14: Corporates

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
CDX Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
IG CDX 2 -9 -1 -36 39 86 84 90 90 96 95 87 122 47
HY CDX 7 -60 -9 -255 322 616 610 647 640 686 676 626 871 295
Cash Indices
IG (C0A0) -4 -24 -19 -204 88 205 209 215 220 227 229 224 409 117
HY (H0A0) -8 -70 -53 -379 336 706 714 734 739 776 776 759 1085 370
HY BB (H0A1) -7 -68 -45 -346 272 490 497 517 521 558 558 535 836 218
HY B (H0A2) -12 -73 -67 -459 361 727 739 757 762 803 800 794 1186 366
HY CCC & below (H0A3) -6 -70 -62 -245 726 1712 1718 1745 1751 1783 1782 1774 1957 986
US Corp Insurance (CFIS) -4 -21 -12 -142 86 212 216 220 224 230 233 224 354 126
US Corp Finance (C0J0) -5 -16 -4 -147 151 271 276 280 282 286 287 275 418 120
US Corp Banks (C0P0) -4 -22 -21 -238 85 171 175 180 184 191 193 192 409 86
Source: ICE Data Indices, Bloomberg

Table 15: Rates & Swaps

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
UST Yields Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
2yr 0.00 0.02 -0.03 -0.15 -1.19 0.17% 0.16% 0.17% 0.18% 0.15% 0.15% 0.20% 0.31% 1.35%
5yr 0.00 0.03 -0.02 -0.07 -0.98 0.34% 0.34% 0.33% 0.37% 0.31% 0.31% 0.36% 0.41% 1.32%
10yr -0.01 0.05 0.03 -0.11 -0.80 0.67% 0.68% 0.69% 0.73% 0.64% 0.62% 0.64% 0.79% 1.47%
30yr -0.01 0.10 0.10 0.04 -0.53 1.39% 1.40% 1.41% 1.44% 1.33% 1.29% 1.28% 1.35% 1.91%
UST Curves Sat Sat Sat Sat Sat Sat Sat Sat Pre-SFIG
2yr-5yr 0 1 0 8 20 17 17 16 19 16 16 16 9 -4
2yr-10yr -1 3 6 4 39 50 51 52 54 49 47 44 46 11
5yr-10yr -1 2 6 -4 19 33 34 35 35 33 32 28 37 15
10yr-30yr 0 4 7 15 27 71 72 72 71 68 67 64 56 44
Swap Spreads Sun Sun Sun Sat Thu Tue Sun Fri Pre-SFIG
2yr 0.2 -1.6 -3.7 -8.3 7.7 8.8 8.6 8.9 8.9 10.2 10.3 12.4 17.1 1.0
5yr -0.1 0.5 -1.8 -6.8 5.3 3.3 3.4 3.8 3.5 3.8 2.8 5.0 10.0 -2.0
10yr 0.6 2.1 -1.5 6.5 6.4 -1.0 -1.6 -1.8 -1.9 -1.9 -3.1 0.5 -7.5 -7.4
Source: Bloomberg

6 CMBS, ABS, CLO, RMBS | 22 May 2020

Table 16: Macro Indices
1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
VIX 2 -3 -5 -32 12 30 28 31 29 32 33 34 62 17
MOVE -3 -3 2 -80 -19 56 59 60 59 57 59 54 135 75
The Global Financial Stress Indicator (GFSI) -0.02 -0.28 -0.27 -1.73 0.88 0.68 0.70 0.78 0.84 0.92 0.96 0.95 2.41 -0.20
The Liquidity Risk Indicator (GFSIRLIQ) -0.09 -0.22 -0.19 -1.32 0.82 0.72 0.81 0.83 0.90 0.91 0.94 0.91 2.04 -0.10
Source: BofA Global Research, ICE Data Indices, Bloomberg. Disclaimer: The indicators identified as GFSI and GFSIRLIQ above are intended to be an indicative metric only and may not be used for reference purposes or as a
measure of performance for any financial instrument or contract, or otherwise relied upon by third parties for any other purpose, without the prior written consent of BofA Global Research. These indicators were not
created to act as a benchmark.

Table 17: US Equities ($)

1-day ∆ 1-week ∆ MTD ∆ 03/23 ∆ 02/21 ∆ 5/21/20 5/20/20 5/19/20 5/18/20 5/15/20 5/14/20 4/30/20 3/23/20 2/21/20
Thu Wed Tue Mon Fri Thu Thu Mon Pre-SFIG
S&P 500 -23.10 96.01 36.08 711.11 -389.24 2,948.51 2,971.61 2,922.94 2,953.91 2,863.70 2,852.50 2,912.43 2,237.40 3,337.75
DJIA -101.78 848.78 128.40 5,882.19 -4,518.29 24,474.12 24,575.90 24,206.86 24,597.37 23,685.42 23,625.34 24,345.72 18,591.93 28,992.41
NASDAQ -90.90 341.16 395.33 2,424.21 -291.71 9,284.88 9,375.78 9,185.10 9,234.83 9,014.56 8,943.72 8,889.55 6,860.67 9,576.59
Source: Bloomberg

Chart 1: Benchmark LCF AAA conduit – AA corporates Chart 2: Benchmark LCF AAA conduit vs. AA corporates
10yr LCF AAA Spread to Swaps (145bp) 100
Difference (25bp)

Spread difference: CMBS - Corp (bp)

ICE BofA 7-10yr AA US Corporate Index (C4A2) Libor OAS (120bp)
80 LCF AAA cheaper
Spread to swaps (bp)

305 60

255 40

205 20

155 0
LCF AAA richer
105 -20

55 -40
Jan-12 Jan-14 Jan-16 Jan-18 Jan-20 Sep-11 Sep-13 Sep-15 Sep-17 Sep-19
Source: BofA Global Research, ICE Data Indices, LLC Source: BofA Global Research, ICE Data Indices, LLC

Chart 3: HY corporates vs. Benchmark conduit BBB- Chart 4: HY corporates – Benchmark conduit BBB-
Spread difference: HY Corp vs. on-the-run conduit BBB-

1,600 On-the-run RR BBB- (950bp) 300 Difference (-244bp) HY cheaper

HY Libor OAS (706bp)
1,400
100
HY Corp Libor OAS (bp)

1,200

1,000 -100

800
-300
600
-500 HY richer
400

200 -700
Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jan-18 May-18 Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20

Source: BofA Global Research, ICE Data Indices, LLC Source: BofA Global Research, ICE Data Indices, LLC

CMBS, ABS, CLO, RMBS | 22 May 2020 7

Chart 5: Agency CMBS A2s vs. FNCC Chart 6: FNCC – Agency CMBS A2s
GeMs A2 (60bp) 80 Spread Basis b/t FNCL CC and Freddie K A2

Spread basis: FNCL spread vs. Agency

Freddie K A2 (55bp) Spread Basis b/t FNCL CC and GeMs K A2
170 190
FNCC spread to 5s/10s Treasury blend (106bp)
Agency CMBS spread to swaps (bp)

60
155 Agency CMBS richer

FNCC spread to 5s/10s Tsy Yield (bp)

170
140 40

CMBS A2
125 150
20
110
130
95 0

80 110 -20
65
90 -40
50 Agency CMBS
35 70 cheaper
-60
Jan-18 Jun-18 Nov-18 Apr-19 Sep-19 Feb-20 Jan-18 May-18 Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20
Source: BofA Global Research, Bloomberg Source: BofA Global Research, Bloomberg

Chart 7: Unguaranteed Freddie K B and C spreads Chart 8: The Freddie K B and C spread curve
840 Freddie B Freddie C 300 The Freddie K B/C Curve
740
250
640
200
540
Freddie K B and C spreads

Freddie K B/C curve (bp)

440 150

340
100
240
50
140

40 0
Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-17 Oct-18 Oct-19 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-17 Oct-18 Oct-19
Source: BofA Global Research Source: BofA Global Research

Chart 9: CMBX12 and 6 AAA vs. IG CDX Chart 10: CMBX12 and 6 BBB- vs. HY CDX
180 CMBX.12 AAA Spreads 110 1,250 2,900
CMBX.12 BBB- Spreads
IG CDX Spreads 100
160 HY CDX Spreads
CMBX12. BBB- and CDX spreads (bp)
CMBX12. AAA and CDX spreads (bp)

CMBX.6 AAA Spreads 90 1,050 CMBX.6 BBB- Spreads 2,400

CMBX6 BBB- spreads (bp)

CMBX6 AAA spreads (bp)

140 80

120
70 850 1,900
60
100
50 650 1,400
80 40
30 450 900
60
20
40 10 250 400
Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20
Source: Markit Source: Markit

8 CMBS, ABS, CLO, RMBS | 22 May 2020

Chart 11: CMBX6 BBB- and BB Spreads Chart 12: CMBX6 BBB- and BB Prices

5,000 CMBX.6 BBB- Spreads 110 CMBX.6 BBB- Prices

CMBX6 BBB- and BB spreads (bp)

4,500 CMBX.6 BB Spreads CMBX.6 BB Prices

CMBX6 BBB- and BB prices ($)

100
4,000
3,500 90
3,000 80
2,500
2,000 70
1,500 60
1,000
50
500
0 40
Jan-13 Jul-14 Jan-16 Jul-17 Jan-19 Jan-13 Jul-14 Jan-16 Jul-17 Jan-19
Source: Markit Source: Markit

Chart 13: The BofA GFSI™ liquidity risk indicator and financial stress indicators Chart 14: VIX and MOVE indices
GFSIRLIQ GFSI VIX MOVE
3.00 90
160
80
2.50
145
70
2.00 130
60
Index level

115

Move
1.50
VIX

50
100
1.00
40 85
0.50 30 70
0.00 20 55
-0.50 10 40
Jan-08 Jan-19 Jul-19 Jan-20

Source: BofA Global Research Source: Bloomberg

Disclaimer: The indicators identified as GFSI and GFSIRLIQ above are intended to be an indicative
metric only and may not be used for reference purposes or as a measure of performance for any
financial instrument or contract, or otherwise relied upon by third parties for any other purpose,
without the prior written consent of BofA Global Research. These indicators were not created to act
as a benchmark.

CMBS, ABS, CLO, RMBS | 22 May 2020 9

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