CLOs

  • CLO 2.0s face less EOD value risk

    European CLO 2.0 transactions face less event of default-driven market value risk than CLO 1.0s, says Moody's. None of the European 2.0 deals the agency rated in 2016 have mezzanine or junior OC EOD triggers, which had been common among CLO 1.0s.

    CLO 2.0s rated by Moody's typically require exclusively the initial senior most outstanding notes' OC, rather than the .......

    News Round-up 26 January 2017

  • CLO refinancings tallied

    US CLO issuance finished 2016 markedly lower year-over-year, with US$63.5bn from across 136 deals, Fitch notes in its latest Global CLO Market Trends Quarterly publication. This represents a 32% decline from US$93.1bn from across 177 CLOs in 2015.

    The agency reports 43 US CLOs totalling over US$21.6bn coming to the market in 4Q16. "November saw the highest volume of CLO .......

    News Round-up 26 January 2017

  • Euro CLOs BWIC focused

    The European CLO secondary market is currently focusing on BWICs.

    "Levels on BWIC have been very strong in both 1.0 and 2.0 bonds and regardless of where they are in the capital stack," says one trader. "However, we're not seeing very much flow away from BWICs and there aren't many customers looking to engage outside of auctions."

    The trader continues: .......

    SCIWire 26 January 2017

  • Euro secondary still seeks supply

    Demand continues to outstrip supply in the European securitisation secondary market.

    Tone remains positive across the board and investor appetite is still strong in every sector. However, there continues to be next to no supply via BWICs or new issuance. Consequently, when auctions do appear they trade exceptionally well and are keeping spreads flat to slightly tighter.

    There is currently .......

    SCIWire 24 January 2017

  • MS names structured credit chief

    Morgan Stanley is moving one of its EMEA capital markets co-heads into Morgan Stanley Investment Management. Claus Skrumsager will take control of a structured credit team and fund that is yet to be finalised.

    Skrumsager will join the firm's solutions and multi-asset platform as portfolio manager and head of private structured credit solutions. He has been with Morgan Stanley for 10 .......

    Job Swaps 20 January 2017

  • Investment firm bulks out

    Partners Group has hired Andrew Bellis as md. He joins from 3i Debt Management and is based at the firm's London office.

    At 3iDM, Bellis was also md and helped managed its CLO strategy. Before that, he was a director at Credit Suisse and Merrill Lynch.

    .......

    Job Swaps 20 January 2017

  • CLO firm nabs SF vet

    CIFC has hired Jason Ziegler as md and he will be based out of the firm's New York office. He joins from Orix Corporation, where he was portfolio manager for structured products, including CLOs, RMBS and ABS. Prior to Orix, he was a director in the structured products group for Highland Capital Management, focusing on CLOs.

    .......

    Job Swaps 20 January 2017

  • CLO test ahead

    The second session in a row of high BWIC volumes looks set to test the depth of the US CLO mezz rally seen so far in 2017.

    "It's another busy day in 2.0 mezz, which should truly test the market," says one trader. "We're sensing a little bit of exhaustion from buyers in 2.0 single- and double-Bs and saw a fair amount of .......

    SCIWire 19 January 2017

  • Reviewed combo notes downgraded

    CLO 2.0 combination notes have been downgraded by Moody's, following the rating agency's methodology change. Otherwise, CLO rating changes have generally been positive.

    Moody's criteria for rating securities backed by both secured debt and equity tranches of CLOs was updated at the start of 4Q16 (SCI 10 October 2016). Moody's placed on review for downgrade the ratings of 38 combination .......

    News Round-up 19 January 2017

  • Varied approaches

    Retained risk valuation practices gauged

    The horizontal retention piece of a securitisation could be considered the very definition of a Level 3 asset: rarely traded - if ever - with very limited market information. Subject to fair value assessment before and after a deal closes, market participants are taking a number of different valuation approaches to such assets, with no single method yet considered to .......

    News Analysis 19 January 2017

  • Euro secondary slow

    It's been slow start to the week so far for the European securitisation secondary markets.

    Participants look to have taken the opportunity of the US public holiday yesterday to catch their breath and there was little movement in terms of trading or levels. However, tone remains very strong across the board and volumes are likely to pick up as the .......

    SCIWire 17 January 2017

  • Bilateral CLN closed

    Further details have emerged of Deutsche Bank's recent capital relief trade, Gate 2016-1 (SCI 3 January). The €95m six-year bilateral CLN pays three-month Euribor plus 12.75% and references a €1bn portfolio of German SMEs.

    The investor is believed to be a buy-and-hold investor that is experienced in the German SME CRT market and was attracted by the opportunity to gain .......

    News 16 January 2017

  • Bank settles risk reporting charges

    BNY Mellon has agreed to pay the US SEC a US$6.6m penalty to settle CLO-related charges. The SEC accused BNY Mellon of miscalculating its risk-based capital ratios and risk-weighted assets reported to investors.

    The SEC found that BNY Mellon deviated from regulatory capital rules by excluding from its calculations around US$14bn in CLO assets that the firm consolidated onto its .......

    Job Swaps 13 January 2017

  • Rated warehouses proliferating

    CLO-like warehouse transactions are emerging as variations on traditional warehouse financing of CLOs (SCI 19 May 2016). Also called rated warehouses, they are structured to meet specific investor and arranger needs, while retaining many characteristics of the broadly syndicated loan or SME CLOs that they finance.

    "Warehouse transactions are similar in purpose, but different in structure to typical warehouses. Like .......

    News 13 January 2017

  • US CLOs on the up

    Activity and prices are on the up in the US CLO secondary market this week.

    "There's very a positive tone and everyone is bidding up paper," says one trader. "That's particularly the case in double-Bs, but there is strength across the capital structure."

    The trader continues: "People are looking to test the strength of the bid, which appears to be .......

    SCIWire 12 January 2017

  • Carlyle promotes structured pro

    The Carlyle Group has promoted 62 professionals to senior positions, including 13 new partners. Among these new partners is Justin Plouffe, who - along with Ronnie Jaber - has been named structured credit fund co-head.

    Plouffe is based in New York. He joined the company 10 years ago and was previously an attorney at Ropes & Gray.

    Jaber is also based in .......

    Job Swaps 12 January 2017

  • Record SRT deal launched

    Further details have emerged about Grafton CLO 2016-1, Santander's largest post-crisis corporate loan significant risk transfer deal and its second largest synthetic securitisation (SCI 3 January). The £1.25bn six-year CLN has a three-year replenishment period and provides protection for the first 8% of losses in the underlying portfolio.

    The deal is cash-collateralised. Steve Gandy, md at Santander Global Corporate Banking, .......

    News 12 January 2017

  • Euro CLOs start strongly

    The European CLO secondary market has had a busy start to 2017 backed by strong price moves.

    "Since the start of the year CLOs have shifted materially tighter across the board," says one trader. "That move is predominately a reflection of improving levels in other asset classes and most noticeable in triple- to single-Bs."

    The trader continues: "We've done quite .......

    SCIWire 12 January 2017

  • Dual-compliant vehicle launched

    GoldenTree Asset Management has closed on US$600m in commitments for GoldenTree Loan Management (GLM), after being oversubscribed. GLM was established to invest in and manage CLOs that are intended to be compliant with both US and European risk retention regulations.

    While the vehicle was created to address the global regulatory landscape, GoldenTree believes it will also improve the execution of .......

    News Round-up 11 January 2017

  • US CLOs picking up

    Activity in the US CLO secondary market is beginning to pick-up for 2017.

    "Today looks like we're finally going to get busy," says one trader. "Everyone is now back at their desks, dealt with year-end marks and so on and secondary supply is starting to build."

    The trader continues: "Action today is lower down the capital stack with close to 30 .......

    SCIWire 10 January 2017

  • Spread optimism highlighted

    With US CLO new issue triple-A spreads currently in the Libor plus 140bp-160bp range, respondents to JPMorgan's Q1 CLO survey appear optimistic on spreads for 2017. Many (42%) expect spreads to be in the Libor plus 120bp-130bp range by the end of the year.

    Only 6% of respondents believe that triple-A spreads will be wider by the end of the .......

    News 10 January 2017
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