CLOs

  • CLO excess spread under pressure

    The surge of repricings in the US leveraged loan market since the beginning of the year has the potential to result in a meaningful deterioration of excess spread in CLOs, according to CLO strategists at Morgan Stanley. They note that CLO managers may respond to declining WAS and thus lower equity tranche distributions by going down in credit quality to .......

    News 5 March 2013

  • Cat bond emerges from arbitration

    Moody's has upgraded the US$67.5m Nelson Re class G catastrophe bonds to A3 from Ca, upon the sponsor's withdrawal from arbitration. Glacier Reinsurance has decided not to pursue its case in arbitration and the arbitration tribunal has approved the petition to withdraw.

    As a result, the principal is scheduled to be repaid in full to noteholders on 6 March without .......

    News Round-up 28 February 2013

  • CAI CLOs spun off

    Citigroup Alternative Investments (CAI) has transferred the collateral management agreements for the Regatta Funding and Duane Street CLO 1, II, III and IV transactions to Napier Park Global Capital. Napier has been spun out of CAI and now owns CAI's CLO business (SCI 5 December 2012).

    It is expected that Napier Park will continue without disruption or interruption to manage .......

    Job Swaps 28 February 2013

  • Uploading answers

    Originators get to grips with ED requirements, liabilities

    The ECB deadline for submitting loan-level deal data to the European DataWarehouse is the end of March. However, concerns about the legal implications of uploading such data have held some originators back.

    The ED has to maintain a level playing-field and so cannot give special dispensation to individual banks, but at the same time it says it has listened to .......

    News Analysis 22 February 2013

  • CLO pricing disparity emerges

    The number of CDO bid-lists circulating in secondary reached double figures yesterday and even more are expected to hit the market today. However, about half of the names showing in SCI's PriceABS data for the session did not trade, implying that some sellers' expectations are overly optimistic at current levels.

    PriceABS shows 167 line items yesterday for CLOs .......

    Market Reports 21 February 2013

  • Top arrangers decided

    The rankings in the SCI league tables for bank arrangers in the structured credit and ABS markets have been finalised for 2012, with RBS and Barclays Capital taking top spot in Europe and the US respectively. The moribund European new issuance market saw a drop in volumes over the previous year, while the US kicked on again from 2011's increased .......

    News Round-up 21 February 2013

  • Cairn CLOs stir European market

    The European CLO market is picking up after a quiet start to the week. Participants have been kept occupied by both primary and secondary activity, with Cairn CLOs in particular capturing the market's attention.

    "The US holiday made for a quiet start, but the market is up and running now. One of the interesting trends we are seeing at the .......

    Market Reports 20 February 2013

  • Equity equations

    US CLO 1.0 versus 2.0 equity relative value explored

    There are several considerations for CLO equity investors looking for relative value in CLO 1.0 and 2.0 deals. While the new issue market provides ease of entry, the legacy space can offer impressive spreads.

    "New issue CLOs generally have cleaner portfolios comprised of nearly all loans, better defined documentation, higher coupons and more subordination. Legacy deals generally hold a higher .......

    News Analysis 20 February 2013

  • Cairn CLO readied

    Further details have emerged on the €300.5m Cairn CLO III (SCI 25 January). Revised guidance for the transaction was released on Friday ahead of expected pricing this week.

    The CLO comprises €181.5m class A notes (with preliminary Aaa ratings from Moody's), €28m class Bs (Aa2), €20m class Cs (A2) and €11m class Ds (Baa2), along with two unrated subordinated notes .......

    News Round-up 19 February 2013

  • Euro CLO upgrades outnumber downgrades

    S&P's European CLO performance index report shows that upgrades outnumbered downgrades by seven to one in 2012. The agency took 460 note-level upgrades across the sector, versus 59 downgrades.

    According to the Q4 index report, this is mainly due to the deleveraging of these transactions. However, the pace of the upgrades began to decelerate in the last quarter.

    Over the .......

    News Round-up 14 February 2013

  • CLO management changes made

    Prudential Fixed Income has named Brian Juliano and Bent Hoyer as co-heads of its CLO business, replacing Sara Bonesteel. Bonesteel now takes on a lead role for Prudential's US portfolio management team.

    Bonesteel's new team is responsible for developing overall investment strategies for the US general account portfolio across all asset classes. The former head of alternative investments remains as .......

    Job Swaps 14 February 2013

  • Securitised products vets shift roles

    Morgan Stanley has made a number of changes to its securitised products group. Yared Yawand-Wossen, who has over 18 years with the bank, has a new role in charge of ABS and non-agency RMBS. He continues to report to Robert Hershy, who has been at Morgan Stanley more than 28 years and becomes global head of the bank's new CLO .......

    Job Swaps 14 February 2013

  • Wake-up call

    Change in transparency, buying behaviour needed

    The recent indictment of former Jefferies trader Jesse Litvak for misrepresenting RMBS prices has served as a wake-up call for the industry (SCI 29 January). Pressure has increased on sellers of complex securities to provide a basis for prices, while buyers are being urged to demand more information.

    Two potential outcomes are possible as a result of the Litvak indictment: .......

    News Analysis 14 February 2013

  • Euro ABS consolidation on the cards?

    The European ABS market appears to be entering a period of consolidation, according to ABS analysts at Deutsche Bank, as evidenced by the thin new issue pipeline and recent widening in senior UK prime RMBS spreads. HMI 2010-1X A4 and ARKLE 2010-2X 2A, for example, have widened by up to 5bp this month.

    The Deutsche Bank analysts note that the .......

    News Round-up 8 February 2013

  • Seniors scarce in US CLO secondary

    US CLO secondary supply has been strong all week, but peaked in yesterday's session. SCI's PriceABS data shows 268 CLO line items for the session, with more than half of those from US deals.

    Junior and mezzanine paper proved the flavour of the day, with the amount of senior bonds circulating noticeably down on the prior session. Among .......

    Market Reports 8 February 2013

  • Neptuno CLO transferred

    BNP Paribas has replaced Bankia as investment manager on Neptuno CLO I. Moody's has determined that the move will not cause the current ratings of the notes to be reduced or withdrawn. The agency does not express an opinion as to whether the amendment could have other, non credit-related effects.

    See SCI's CDO manager transfer database for other .......

    Job Swaps 8 February 2013

  • Ex-Goldman duo move on

    CVC Credit Partners has hired two former Goldman Sachs credit traders. Mark DeNatale becomes partner on the firm's operating board, senior portfolio manager and global head of trading, while Scott Bynum becomes md and portfolio manager.

    DeNatale was md and head of loan trading at Goldman Sachs, managing risk across distressed, stressed and performing credit. He has experience investing and .......

    Job Swaps 8 February 2013

  • Undersupply and oversubscription

    Quarterly review and outlook for European ABS

    We asked Lloyds Bank, the winners of SCI's 2011 arranger award for European consumer/credit card ABS, its views on activity in Q4 and expectations for Q1 in the sector. Below are SCI's questions and the responses from Bob Paterson, head of ABS syndicate, Lloyds Bank Wholesale Banking & Markets.

    Over the past quarter, what have been the key trends in .......

    News Analysis 8 February 2013

  • Investment manager adds two

    Highland Capital Management has boosted its structured credit capabilities by hiring Andrea Lloyd as credit trader and Scott Baker as director. Both will be based in the firm's Dallas office.

    Lloyd re-joins Highland from Alpha Titans and has also worked at Accenture and Citi as an analyst. She takes responsibility for trading bank loans and high yield bonds in the .......

    Job Swaps 5 February 2013

  • Bond-for-loan takeouts scrutinised

    Bond-for-loan takeout transactions are accelerating prepayments of better credit quality loans in European CLOs. Moody's notes in its latest Credit Outlook that these accelerated prepayments are credit positive for senior notes in amortising CLOs that will receive early pay-downs, but are credit negative for mezzanine and junior CLO notes that are left exposed to collateral obligors with lower credit quality.

    News Round-up 4 February 2013

  • Euro price gains slowing

    European BWIC volumes for the first month of 2013 stand at €2.4bn, according to Deutsche Bank figures. This level is some 122% higher than for the same period last year, with CLOs (accounting for €600m of the volume) and CMBS (€438m) featuring heavily.

    So far this paper has been readily absorbed by the market, but analysts at the bank note .......

    Market Reports 1 February 2013
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