CLOs

  • Income opportunities

    Clayton Triick, CFA, senior portfolio manager at Angel Oak Capital Advisors, answers SCI's questions

    Q: How and when did you become involved in the securitisation market?
    A: Angel Oak Capital Advisors has a long history within the US securitised markets. Originally as a distressed credit investor during the global financial crisis, Angel Oak was able to invest capital targeting deeply discounted private-label RMBS.

    As markets continued to improve over the subsequent decade, we .......

    The Structured Credit Interview 14 April 2021

  • Green auto feasibility assessments underway

    Sector developments and company hires

    Green auto feasibility assessments underway
    CO2 emissions data reporting by auto loan lenders is likely to be crucial to classifying auto loan securitisations as ‘sustainable’ or ‘green’, in order to tap demand from ESG-oriented investors, Fitch says. However, the rating agency notes that discussions with lenders imply that creating the basis for detailed CO2 emissions reporting is challenging, as the .......

    Market Moves 13 April 2021

  • Non-resident Aussie RMBS debuts

    Sector developments and company hires

    Non-resident Aussie RMBS debuts
    Brighten Home Loan is readying its inaugural RMBS - the A$250m Solaris Trust 2021-1 – which is backed by loans predominantly to non-Australian resident borrowers. S&P notes that the portfolio is not only exposed to macroeconomic events and policies that affect Australia, but also to events and policies that affect the borrowers’ countries of residence. Consequently, .......

    Market Moves 8 April 2021

  • GACS NPL ABS performance eyed

    Sector developments and company hires

    GACS NPL ABS performance eyed
    A sum of eight new GACS non-performing loan securitisations priced in late 2020, with a cumulative balance of €3.4bn (securitising a cumulative original GBV of €13.4bn of NPLs), according to JPMorgan’s latest Italian NPL Performance Tracker report. Including these transactions, Italian NPL ABS issuance has risen to €22.1bn across 38 deals (including three non-GACS transactions), .......

    Market Moves 7 April 2021

  • A turning point for investors

    KopenTech looks at US CLO trading trends in 2020 and their likely future impact

    In a period defined by a pandemic, social turmoil and an election, CLO investors increased their use of electronic trading to engage in a more efficient exchange of securities.

    With this increase in volume came an increase in data.  We highlight some of the US CLO market trends, including how increases in trading volumes have been handled by investors, and expectations for .......

    Talking Point 31 March 2021

  • Equity return boost touted

    Sector developments and company hires

    Equity return boost touted
    US CLO equity is poised to deliver double-digit returns to investors this year, paring back the underperformance seen over the past four years, according to new research from Bank of America.

    Analysts at the bank base their expectations on the fact that CLO equity market prices continue to lag, despite CLO NAV and interest distributions .......

    Market Moves 29 March 2021

  • Short-lived slowdown?

    CLO primary volumes temporarily ease but set to return

    The CLO primary market is slightly easing up into quarter-end, albeit from hitherto unseen volumes. However, any slowdown is likely to be short-lived as the market’s supply-demand dynamics kick back in in Q2, amid an increased ESG focus.

    JPMorgan CLO research reports that to the end of last week, 19 March 2021, 199 US CLOs have priced year-to-date totalling US$90.3bn .......

    News Analysis 26 March 2021

  • CLO pricing service selected

    Sector developments and company hires

    CLO pricing service selected
    SCI Valuations has been selected by Bloomberg’s Enterprise Data business to provide daily CLO debt pricing to integrate with Bloomberg’s Liquidity Assessment (LQA) tool. The integration of this data with LQA will enable Bloomberg customers to more effectively and easily view and manage their portfolios, the companies say.

    SCI Valuations provides automated valuations for US .......

    Market Moves 25 March 2021

  • Securitisation tax consultation underway

    Sector developments and company hires

    Securitisation tax consultation underway
    The UK HMRC has launched a consultation seeking views on the taxation of securitisation companies. The UK government says it has identified - through ongoing dialogue with the industry - areas where it may be beneficial to make changes to such tax regulations and is therefore keen to explore the associated benefits and potential difficulties.

    Market Moves 24 March 2021

  • Red Cross in humanitarian cat bond first

    Sector developments and company hires

    Red Cross in humanitarian cat bond first
    The first-ever humanitarian catastrophe bond covering pure volcanic eruption risk has been completed using a Guernsey ILS structure. Sponsored by the Danish Red Cross, the US$3m issuance was privately placed by Replexus and Howden Capital Markets via Dunant Re IC, an incorporated cell of Replexus ICC (Guernsey), which is managed in Guernsey by .......

    Market Moves 23 March 2021

  • CLO fallback language reviewed

    Sector developments and company hires

    CLO fallback language reviewed
    S&P has reviewed the indentures of the 870 CLOs it rates to assess Libor fallback language governing a transaction's liabilities. The majority (76%) of its rated CLO transactions closed between 2018 and 2020.

    ARRC-like fallback language can be found in 26% of the agency’s overall transactions, including 76% of the transactions that closed in 2020. .......

    Market Moves 22 March 2021

  • Manager maintenance

    CRE CLO credit quality maintained by manager strategies

    CRE CLOs have performed well through the pandemic, maintaining their OC cushions, largely as a result of their managers' actions. Those actions, including reinvestment loan workouts and credit risk exchanges, have been supported by the evolution to stronger structures in the sector since the financial crisis.

    Deryk Meherik, svp/manager at Moody’s, says: “I have seen how the product, .......

    News Analysis 22 March 2021

  • MPL acquisition to accelerate auto financing

    Sector developments and company hires

    MPL acquisition to accelerate auto financing
    Upstart Holdings is set to acquire Prodigy Software, a provider of cloud-based automotive retail software. Upstart says it is seeking to reduce the cost of auto financing by creating a modern multi-channel purchase experience. Auto retail is among the largest buy-now-pay-later opportunities, according to the firm, and together with Prodigy it aims to help .......

    Market Moves 19 March 2021

  • Chip shortages 'credit positive' for auto ABS

    Sector developments and company hires

    Chip shortages ‘credit positive’ for auto ABS
    Sizable auto production cuts due to semiconductor shortages in the US will provide support for used vehicle values, a credit positive for securitisations and captive auto finance companies, according to Moody’s. The rating agency notes that such shortages – which are expected to last at least into next quarter - could result in North .......

    Market Moves 18 March 2021

  • Bank boost

    US CLO triple-As see strong bank demand, but for how long?

    Significant support from US banks has contributed to the 2021 rally at the top of the stack. Inevitably, though, that level of support will be finite.

    Notwithstanding the slight wobble seen in the last few sessions, the primary-secondary basis in US triple-A spreads has compressed significantly in recent months and looks likely to continue at similar levels for a while .......

    News Analysis 16 March 2021

  • 'Unprecedented' Moroccan CRT closed

    Sector developments and company hires

    ‘Unprecedented’ Moroccan CRT closed
    Moroccan fertiliser giant OCP Group has subscribed to the notes issued by the first synthetic securitisation in Morocco. The transaction involved the establishment of a collective securitisation vehicle dubbed Fonds Damane Tamayouz, which has been structured to facilitate access to credit for the suppliers that make up OCP's industrial ecosystem.

    Clifford Chance, which advised on the deal, .......

    Market Moves 16 March 2021

  • Strategic expansion

    Capital Four ceo Sandro Naef and Capital Four US ceo Jim Wiant answer SCI's questions

    Q: How and when did Capital Four become involved in the structured credit market?
    A: We have been investing in CLO liabilities for more than a decade. In terms of managing CLOs ourselves, it was a natural evolution a couple of years ago to also start managing CLOs ourselves, as we have been managing senior loans and bonds a long .......

    The Structured Credit Interview 12 March 2021

  • BDC fair value assessed

    Sector developments and company hires

    BDC fair value assessed
    On the back of tightening BDC spreads and growing investor interest, JPMorgan CLO research analysts have published a report aiming to assess fair value in the sector. In addition, they compare BDCs to their closest relative – middle market CLOs.  

    “Differentiating between BDCs is a challenge; thus, we used attachment points as a reference point .......

    Market Moves 11 March 2021

  • Asset and liability origination tie-up agreed

    Sector developments and company hires

    Asset and liability origination tie-up agreed
    Apollo and Athene have entered into a definitive agreement to merge in an all-stock transaction that implies a total equity value of approximately US$11bn for Athene. Upon closing of the merger, current Apollo shareholders will own approximately 76% of the combined company on a fully diluted basis and Athene shareholders will own approximately 24%.

    Market Moves 9 March 2021

  • CLOs/CBOs solid

    US CLO primary rumbles on as CBOs perform strongly

    The US CLO refi/reset machine rolled on last week with primary spreads narrowing at the top of the stack. At the same time, the CBO sub-sector continues to perform well.

    The US CLO primary saw another bumper week last week, with 15 refis/resets and nine new issues pricing. Investment grade primary spreads tightened yet again on the week, .......

    News Analysis 9 March 2021

  • Libor announcements to 'accelerate' transition

    Sector developments and company hires

    Libor announcements to ‘accelerate’ transition
    The UK FCA has confirmed that all Libor settings will either cease to be provided by any administrator or no longer be representative immediately after 31 December 2021 - in the case of all sterling, euro, Swiss franc and Japanese yen settings, as well as the one-week and two-month US dollar settings – and immediately .......

    Market Moves 5 March 2021
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