CLOs

  • CLOIE softens on volatility

    The total amount of CLOs paid down in JPMorgan's Collateralized Loan Obligation Index (CLOIE) since the May rebalance through 30 June was US$4.96bn in par outstanding, split between US$1.98bn and US$2.97bn of pre-crisis and post-crisis CLOs. The post-crisis CLOIE added US$8.4bn from 101 tranches across 18 deals at the June rebalance.

    JPMorgan CLO analysts note that CLOIE was not immune .......

    News Round-up 2 July 2015

  • US CLOs becalmed

    The US CLO BWIC market remains becalmed as the holiday weekend hoves into view.

    Macro concerns are still keeping the majority of participants on the secondary CLO sidelines and now many traders are also away in advance of the end of the holiday shortened week. Consequently already thin market liquidity has thinned still further and supply continues to be sparse .......

    SCIWire 1 July 2015

  • Euro secondary stable

    The European securitisation secondary market remained stable yesterday amid the varying Greece headlines and is holding firm for now ahead of further news from the ECB later today.

    Yesterday once again saw very light flows as the majority of both buyers and sellers remain content to sit out the wider market volatility. Consequently, spreads were broadly unchanged on the day.

    SCIWire 1 July 2015

  • Waiting game for US CLOs

    US CLO secondary market continues to wait for risk aversion to subside and activity to pick up.

    "There's nothing going on again today," says one trader. "We just sit and wait with no clear direction for the market."

    The trader continues "The only signifier of any kind I see right now is that primary deals are getting their triple-Bs subscribed .......

    SCIWire 30 June 2015

  • Euro secondary stays calm

    Tone continues to be weak across European securitisation secondary, but the market has remained calm.

    "Not much happened yesterday - as broader markets headed down volumes in ABS/MBS were very thin," says one trader. "Peripherals were better offered in the Street, but there was no panic selling from customers."

    Indeed, the trader adds: "There was very little customer activity at .......

    SCIWire 30 June 2015

  • US CLOs keep quiet

    The US CLO secondary market is sticking to the pattern seen at the end of last week.

    With wholesale selling continuing to remain absent as today wears on in the European securitisation markets, US CLO secondary for this morning at least is staying as quiet as it did on Friday. Events in Greece combined with a heavy new issue pipeline .......

    SCIWire 29 June 2015

  • Euro secondary hesitates

    The European securitisation secondary markets are making a hesitant start following the weekend's events surrounding Greece.

    For now at least, participants are holding off any real trading activity until there is a clearer idea of where pricing levels should now be. While the market tries to find a firmer footing few prices are being shown.

    Those that are unsurprisingly reflect .......

    SCIWire 29 June 2015

  • US CLO secondary supply stutters

    After a week of steady supply the US CLO BWIC market has stuttered to a halt today.

    Four days of poor liquidity across the US CLO secondary market has taken its toll, with sellers finally staying away today. The high percentage of DNTs seen earlier in the week continued into yesterday with buyers content to stay on the sidelines as .......

    SCIWire 26 June 2015

  • Euro secondary stalemate

    The European securitisation secondary markets remain in stalemate as uncertainty over Greece and a consequent risk-off attitude pervades.

    Secondary spreads remained unchanged yesterday on the back of very limited liquidity and only some isolated small pockets of flow trading. Equally, the flurry of BWICs yesterday saw covers lower than earlier in the month for similar assets and a significant number .......

    SCIWire 26 June 2015

  • Valuations team beefs up

    MountainView IPS has added Alvin Hsu in a vp role and Alex Kolesnikoff in a senior analyst role. The two hires fill vacant positions while addressing a strategic plan to enhance the company's valuation processes and expand into new asset classes.

    Hsu joins MountainView IPS with over 10 years of experience in structured products and credit markets. He previously spent .......

    Job Swaps 25 June 2015

  • US RMBS slows further

    Activity in the US non-agency RMBS secondary market has slowed still further after last week's dip in volume.

    "As is the case with other sectors, it's been very slow this week and today there is barely over $300m current face in for the bid - extremely low for a Thursday," says one trader. "It seems we've hit full summer a .......

    SCIWire 25 June 2015

  • Euro CLOs weaken

    European CLO secondary market activity and prices are weakening.

    "The market has become illiquid as we run in to half-year end," says one trader. "Plus obviously the volatile headlines surrounding Greece haven't helped."

    The illiquidity has softened prices across vintages, the trader says. "We've seen a weakness in client activity and interest across the capital structure in 1.0 paper. At .......

    SCIWire 25 June 2015

  • CDO Monitor guidance released

    A new S&P report provides guidance on how to form an example spreadsheet that incorporates the formulas used in its new non-model CDO Monitor approach. The non-model CDO Monitor is used by CLO collateral managers and trustees to provide an indication as to whether portfolio changes are generally consistent with the parameters the agency assumes when initially assigning ratings to .......

    News Round-up 25 June 2015

  • Euro CLO calls gather pace

    European CLO calls are gathering pace (SCI 30 April), with five redemption notices issued in the last month alone, including the first for a CLO 2.0 deal. This brings 2015 redemptions to €1.9bn across 13 transactions, compared to 14 redemptions seen in 2013 and 2014 combined, according to Deutsche Bank figures.

    So far in June, redemption notices have been issued .......

    News Round-up 25 June 2015

  • US CLOs improve

    Sentiment in the US CLO secondary market looks to be improving.

    "Yesterday the tone was a little better, though 50% of the mezz in for the bid DNT'd," says one trader. "BWICs keep coming but we're not seeing anything significant to raise the flag that forced selling is underway. In fact, the lists that are trading are not from fast .......

    SCIWire 24 June 2015

  • Rates impact 'largely credit neutral'

    Moody's expects rising short-term interest rates in the US to have varied credit effects on new and existing mortgage-backed, asset-backed and other securitisations. The agency suggests that rising rates will be credit negative for CMBS and largely credit neutral for most consumer and commercial ABS sectors, RMBS and CLOs.

    For newly originated loans backing CMBS deals, rising interest rates are .......

    News Round-up 24 June 2015

  • Opportunity knocks

    ECB presence expanding ABS investor mandates

    The ECB's ABSPP was a hot topic at IMN's 2015 Global ABS Conference, as it continues to exert downward pressure on European securitisation spreads. Panellists noted an expanding mandate among many investors, with relative value opportunities shifting towards the UK non-conforming RMBS and European CLO sectors.

    Jefferies md Craig Tipping pointed to a shift in investor mandate when he admitted .......

    News Analysis 24 June 2015

  • US CLOs still soft

    Tone in the US CLO secondary market has remained soft into this morning's open, but that could change later today as the BWIC calendar cranks up once more.

    "There has been a degree of illiquidity and it's hard to say where it's coming from - it could be Greece, it could be the Fed," says one trader. "There is no .......

    SCIWire 23 June 2015

  • Spanish SME CLOs scrutinised

    Scope Ratings has published a research report that compares and contrasts a pair of Spanish SME CLOs it recently rated - FTA PYMES SANTANDER 10 and FTA PYMES SANTANDER 11. In particular, PYMES 11 is backed by weaker obligors than PYMES 10, yet has been assigned a lower mean lifetime default rate.

    In terms of Santander's internal probabilities of default, .......

    News Round-up 23 June 2015

  • Default rate hits post-crisis low

    The default rate for global structured finance securities rated by S&P fell for the third successive year to 4.2% in 2014, the lowest level since 2008. The downgrade rate also declined to an eight-year low of 10% in 2014, while the upgrade rate increased to 8.4%.

    "Overall global structured finance credit quality declined again in 2014, with the number of .......

    News Round-up 23 June 2015

  • Euro secondary turns positive

    The European securitisation secondary markets are taking a positive turn albeit at a statelier pace than broader markets.

    "Sentiment is a little bit better though our markets are slower to come back than others," says one trader. "Spreads haven't moved much this week so far, but are slightly tighter since Barcelona and there's definitely more liquidity around."

    Activity remains patchy, .......

    SCIWire 23 June 2015
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