SFA Market Snapshot – April 6, 2023

SFA’s Market Snapshot sees Q1 2023 issuance across non-agency RMBS, CMBS, ABS and CLOs fall 59% below its level year-over-year, where non-agency RMBS and CMBS sectors lagged by 79% and 81%, respectively. CLO supply continued to surprise to the upside, ending the quarter up 23% relative to Q1 2022. On March 17, credit risk spreads moved sharply wider, pushing prices lower, following SVB’s bankruptcy announcement. Despite subsequent news of banking failures, trading volume and risk spreads have modestly recovered as investor interest returned in highly rated, liquid ABS. CMBS/CRE credit spreads have continued to languish at wider levels, however, as tighter credit conditions at regional banks, which hold higher concentrations of CRE loans, continue to weigh on this asset class.