CLOs

  • Conformance period extended

    The US Fed has extended the conformance period for the Volcker Rule to 21 July 2017. While the extension was largely anticipated by market participants, the timing was later than most expected, coming only two weeks before the previous extension date expires on 21 July 2016.

    The extension allows banking entities to continue divesting ownership in legacy covered funds - .......

    News Round-up 11 July 2016

  • Brexit ratings outlook 'unchanged'

    Fitch has reassured the market that no more UK structured finance rating actions are expected in the near term following the country's vote to leave the EU. However, terms of the exit could present tail risks, including mortgages and leveraged loans experiencing longer-term underperformance.

    Fitch says that the elevation in risk premiums following the UK vote to leave the EU will weaken private .......

    News Round-up 8 July 2016

  • Global issuance trends diverging

    S&P reports that that there is a clear divide in recent structured finance issuance trends, with the US, Europe and Australia all seeing recent declines and countries such as Brazil, Argentina, China and Canada witnessing increases. The agency attributes declines in the former group to both broader volatility and a host of recent regulations governing capital charges and liquidity ratios.

    Amid strong underlying .......

    News Round-up 8 July 2016

  • CPT metric provides CLO insight

    DFG Investment Advisers had the highest collateral portfolio turnover (CPT) among US CLO managers in 2015. According to the new portfolio turnover metric from Moody's, American Money Management Corp had the lowest rate.

    Managers' CPT rates vary by month, but are largely consistent over longer periods. Moody's believes that CPT data can reveal important insights about CLO manager performance, particularly .......

    News Round-up 8 July 2016

  • Manager options outlined

    If Brexit concludes with the UK outside of the EU passporting regime, UK entities may be limited in acting as managers of and risk-retention holders for European CLOs (SCI 30 June). An informal survey of presale documents undertaken by Wells Fargo structured products analysts indicates that of the 84 outstanding 'sponsor retention' European CLOs, 51 have UK-based managers, 24 do .......

    News 6 July 2016

  • CLO equity distributions dropping

    Equity distributions for US CLOs continued their decline in 1H16, a trend that started in 2013 for 1.0 vintages. S&P says that this is due to higher funding costs and a drop in the spread of the assets held in the transactions.

    Loan prepayment levels were high in 2013, and 2014 saw a steady stream too. Because these deals are .......

    News Round-up 6 July 2016

  • Secondary markets advisors sought

    ESMA has published a call for candidates to form a consultative working group (CWG) for its secondary markets standing committee (SMSC). The two-year term of the existing CWG will expire shortly.

    The CWG mainly advises and assists the SMSC on technical standards to be submitted to the European Commission and on guidelines, Q&As and other guidance in relation to relevant .......

    Job Swaps 5 July 2016

  • CLO pay-downs drop

    The number of CLOs paid down in JPMorgan's CLO index (CLOIE) since the May rebalance through 30 June was US$1.45bn in par outstanding, down from US$3.83bn the previous month. This was split between US$790m and US$650m of pre-crisis and post-crisis CLOs respectively.

    The post-crisis CLOIE saw US$6.1bn added across 100 tranches from 18 deals at the June rebalance. However, CLOIE .......

    News Round-up 4 July 2016

  • UK CLO exposure examined

    Morgan Stanley figures show that UK exposures account for 13.7% of European CLO 2.0 collateral. Variation among portfolios and managers is apparent, with the 25th-percentile deal exposure to the UK at 10.3% and the 75th-percentile deal exposure at 16.4%.

    A Brexit-related recession would increase the risk of performance deterioration across the sector, although any negative impacts should be mitigated by .......

    News 1 July 2016

  • Rating agency increases reach

    Scope Corporation is set to acquire FERI EuroRating Services, effective from the start of August. The firm intends to establish itself as the European alternative to the US rating agencies.

    Scope Group intends to spread its business across three areas under Scope Corporation. Scope Ratings will be responsible for all credit rating activities; Scope Analysis will be in charge of .......

    Job Swaps 30 June 2016

  • US CLOs rebounding

    The US CLO secondary market has begun rebounding in the past few sessions after the caution seen immediately following the UK referendum result.

    "The vote brought with it a lot of unknowns obviously, but we have seen some good volume over the last couple of days," says one trader. "Double-Bs had a couple of good names in for the bid .......

    SCIWire 30 June 2016

  • Settlement reinvestment options weighed

    Current holders of non-agency RMBS from 512 Countrywide deals have finally received almost US$8bn in cash payments, five years after the original settlement (SCI passim). As investors look to put the cash back to work, Morgan Stanley analysts believe other securitised products would make a natural destination for reinvestment.

    The Countrywide settlement covers breaches of certain representations and warranties as .......

    News 29 June 2016

  • US CLOs silenced

    The US CLO secondary market has been largely silent in the immediate aftermath of the UK's vote to the leave the EU.

    "The issue was that a lot of people came into their desks on Friday morning with little information", says one trader. "The UK's decision to leave is an unprecedented move, so the market was left in unchartered territory .......

    SCIWire 28 June 2016

  • SF upgrades keep momentum

    The global structured finance upgrade rate reached a record high in 2015, according to S&P. Although the downgrade rate was still higher at 11.2% last year, the upgrade rate increased to an all-time high of 9.8% in 2015 and a jump from 8.4% in 2014.

    Downgrades were up from 10% in 2014, but still presented a slow-down in growth for all but .......

    News Round-up 28 June 2016

  • Euro secondary sidelined

    Most participants are waiting on the sidelines in the European securitisation secondary market amid broad market volatility.

    Two sessions on from the Brexit vote and liquidity remains thin across the board, but there is yet to be any sign of the tailspin seen in wider markets. Dealers in every sector widened their bids on Friday but other than some opportunistic .......

    SCIWire 28 June 2016

  • CLO trading head hired

    Nirjhar Jain is set to join Guggenheim Securities' structured products group as an md, based in New York. He will serve as head of CLO trading, reporting to structured products co-heads Scott Levy and Eric Voelker.

    Jain moves from TIG Securitized Asset Fund, where he was the senior portfolio manager focusing on CLOs. Previously, he served as managing partner at .......

    Job Swaps 27 June 2016

  • Agency recruits trio

    Morningstar Credit Ratings has made a trio of new hires in New York, including Lea Overby as md, leading structured finance research. This position is a newly created role for the agency, which will see Overby head up structured finance initiatives and support its analytical team in MBS, ABS and CLOs.

    Prior to moving, her most recent role was as executive .......

    Job Swaps 24 June 2016

  • Anchor investment proposed

    The IFC has disclosed that it is considering becoming an anchor investor in United Asia Loan Funding, the Asia-Pacific CLO co-managed by UOB Asset Management and SC Lowy Asset Management (SCI 2 March). The transaction will securitise primarily Asian emerging market loans that were originated by both global and regional banks.

    United Asia Loan Funding is expected to be sized .......

    News Round-up 23 June 2016

  • Marathon bolstered

    Blackstone Strategic Capital Holdings Fund has acquired a passive, minority interest in Marathon Asset Management. Concurrent with this transaction, Marathon partner and coo Andrew Rabinowitz has been elevated to president and coo.

    Additionally, Marathon senior md Vijay Srinivasan has assumed responsibility for overseeing global credit research. This position was formerly held by Richard Ronzetti, who has announced his retirement.

    Marathon .......

    Job Swaps 23 June 2016

  • Euro secondary settles down

    After a flurry of activity over the past two sessions the European securitisation secondary market has settled down today to await news from the UK EU referendum.

    Following a quiet Monday volumes picked over the next two days sparked by the increase in BWIC activity noted on Tuesday and continuing improvement in wider markets. Flows were relatively healthy yesterday too .......

    SCIWire 23 June 2016

  • US CLOs cautious

    The US CLO secondary market is in cautious mood ahead of the UK EU referendum.

    "There's been a number of investors pulling out or showing some hesitancy until they see the decision of the vote," says one trader. "Things should pick up a little bit afterwards though."

    The market is also still experiencing tiering, the trader adds. "There's a more .......

    SCIWire 21 June 2016
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