CLOs

  • Tough times

    Recruitment quiet as markets squeezed

    The tone in structured finance recruitment on each side of the Atlantic is cautious at best. While hiring continues in both the US and Europe, it is limited and must be set against the backdrop of other large teams being closed down.

    Partially the issue is that markets are not providing the kind of opportunities that people had hoped for. .......

    News Analysis 20 June 2014

  • Growth pains

    European CLO market constraints examined

    European CLO issuance volume is expected to reach €10bn-€15bn across 30 transactions this year. Risk retention requirements and the availability of collateral continue to constrain the growth of the leveraged loan CLO market, while a number of hurdles are impeding the re-emergence of SME CLOs.

    European leveraged loan CLO structures are likely to remain standardised, with tranches rated Aaa to .......

    News Analysis 18 June 2014

  • FOIF lists

    GLI Finance says that it transferred two of its CLO investments to Fair Oaks Income Fund (FOIF) for US$20.4m in cash and 34,298,425 in FOIF shares at the issue price of US$1, subject to a two-year lock-in agreement. The move follows FOIF's share placement - which raised US$114.5m - and admission to trading on the LSE Specialist Fund Market yesterday .......

    News Round-up 13 June 2014

  • Discount bargains

    Early CLO refinancings provide investor opportunities

    New US CLO structures with senior tranches offered at both par and at a discount are creating opportunities for investors to capitalise on early refinancings. The discount bonds often appear to be undervalued compared to similar par bonds.

    A series of deals have recently been issued with a pair of pari passu floating-rate tranches. The tranches have been identical save .......

    News Analysis 11 June 2014

  • CLO portfolio overlap eyed

    Although European CLO issuance has gradually picked up over the last 18 months, CLO managers continue to face a shortage of assets. The lack of new supply and attractive secondary loans means that it is increasingly difficult for managers to build more diversified portfolios, which has led to significant portfolio overlap in post-credit crisis transactions, according to S&P.

    The agency .......

    News Round-up 10 June 2014

  • Analytics service enhanced

    Lewtan has released an enhanced version of its structuring and analytics platform, ABSNet Modeler, which is geared to all sectors of the new issue securitisation market. The enhancements consist of updated rating agency liability model criteria for CLOs (Moody's, Fitch and S&P), with the inclusion of multiple matrix point inputs.

    In addition, the deterministic loan and global level assumptions now .......

    News Round-up 9 June 2014

  • Spanish ceiling raised

    S&P has raised its credit ratings on 62 tranches in 48 Spanish securitisations. The move follows the lifting of its long- and short-term sovereign ratings on the Kingdom of Spain to BBB/A-2 (outlook stable) from BBB-/A-3, in light of improving economic conditions in the country.

    Specifically, S&P has raised by a notch its ratings on: 34 tranches in 27 RMBS; .......

    News Round-up 6 June 2014

  • Multicurrency CLOs to emerge?

    S&P has published a report examining some of the evolving structural features of European CLO 2.0 deals. The agency suggests that these features are a response to uncertain collateral conditions and the need for managers to meet equity investors' return expectations.

    For example, the report highlights that 2014 European CLOs are increasingly being structured with quarterly pay liabilities, instead of .......

    News Round-up 6 June 2014

  • SME CLOs 'economically unviable'

    Fitch has published its inaugural EMEA SME Securitisation Update newsletter, which replaces the SME CLO Performance Highlight report. This first edition outlines the improving economics of SME CLOs, but highlights that they remain economically unviable.

    For instance, while SME loan spreads in Italian securitisations have risen over the last two years by 1.5% and SME CLO margins for placed senior .......

    News Round-up 5 June 2014

  • Strong performance continues for Euro CLOs

    Fitch reports in its latest European Leveraged Loan CLO Tracker that CLOs continue to demonstrate stable ratings and strong performance. The average net loss across all transactions the agency monitors was -1.56% at end-April 2014, up from -1.49% at end-April 2013.

    The increase is due to the continued workout of defaulted or credit risk names. However, one of the most .......

    News Round-up 4 June 2014

  • Strong start for CLOs

    The week started with limited activity in the US ABS or MBS markets but an active session for the CLO secondary market. SCI's PriceABS data captured more than 30 unique US CLO tranches, with vintages ranging from 2005 up to 2014.

    VENTR 2005-1A A2 was one of the older names out for the bid. Price talk .......

    Market Reports 3 June 2014

  • Euro ABS policy options outlined

    The Bank of England and the ECB have published their joint discussion paper on the revitalisation of European securitisation, building on the report published last month (SCI 14 April). The paper discusses the reasons for the shortcomings and the opportunities for improvement of the ABS market, and is designed to stimulate discussion among stakeholders on the impediments identified and the .......

    News Round-up 30 May 2014

  • CLO mezz relative value highlighted

    CLO spreads are trading in the middle of their post-crisis range, in contrast to most other securitised products, where spreads are at or close to their 12-month tights. While triple-A and double-A CLO bonds do not compare as favourably on a current yield basis, Morgan Stanley CDO strategists note that mezzanine CLO bonds offer a relative value advantage.

    "CLO mezzanine .......

    News 23 May 2014

  • CLO hedging discussed

    FX risk is an established consideration for the CLO market - especially for European CLOs. JPMorgan CDO analysts note that perfect asset swaps (PAS) can act as a hedge for both assets and liabilities.

    The recent softness in US dollar loans has provided opportunities for European CLOs looking to source collateral. Meanwhile, the increasingly globalised investor base can make hedging .......

    News 20 May 2014

  • FOIF set to list

    Fair Oaks Income Fund (FOIF) has acquired GLI Finance's remaining two CLO investments, with a valuation of approximately US$55m, as at 8 May. The assets will be transferred by GLIF in consideration for a cash element and an issue of shares in FOIF, subject to a two-year lock-in agreement.

    Monies from the exit of the CLO portfolios will be deployed .......

    News Round-up 19 May 2014

  • Turning tide?

    ECB attitude shift provides securitisation lift

    The re-emergence of the European securitisation market has been helped by initiatives like the European DataWarehouse (SCI passim). This process could be set for greater impetus from the ECB, particularly if a high quality securitisation (HQS) label is introduced.

    The build-out of the European DataWarehouse (ED) has been a key development in the market post-financial crisis. Despite some initial scepticism, .......

    News Analysis 16 May 2014

  • EODs unlikely for CLO 2.0s

    Moody's reports in its latest CLO Interest publication that a review of 52 US broadly syndicated loan (BSL) CLO 2.0s has reinforced its opinion that such deals are even less likely to default than CLO 1.0 transactions due to a number of credit-positive structural features. In particular, CLO 2.0s limit the likelihood of an overcollateralisation-based EOD by establishing a substantial .......

    News Round-up 14 May 2014

  • Portuguese sovereign ceiling lifted

    Moody's has upgraded Portugal's government bond rating to Ba2 from Ba3 and placed the rating on review for possible further upgrade. Concurrently, it raised the country's local and foreign currency bond and deposit ceilings to Baa1 from Baa3 to reflect the country's reduced economic, legal and political risks.

    Consequently, the maximum achievable rating for Portuguese structured finance rated transactions has .......

    News Round-up 14 May 2014

  • Euro investors watching CLO equity

    European CLO investors are largely waiting on the sidelines and observing as secondary market activity has slowed considerably. CLO 2.0 equity paper - both secondary and new issue - is proving most popular with investors.

    "A few concerns continue to hang over the market and that has slowed activity down. For me, the largest worry is the arbitrage, but a .......

    Market Reports 9 May 2014

  • CLO performance prompts forecast rethink

    Despite the high level of uncertainty the CLO market has faced, JPMorgan has increased its issuance estimates for the US. Supply in 2013 was US$97.4bn, of which US$87.1bn came from the US and the remainder from Europe.

    Issuance trends so far this year have been stronger than expected and last month saw 26 CLOs price. It was the second-highest all-time .......

    News 8 May 2014

  • CLO research analyst added

    Citigroup has added Maggie Wang to its CLO research team in New York. She joins as a director and will start in June.

    Wang was most recently head of US CLO and CDO research at JPMorgan, where she also closely followed the ABS, CMBS and high yield markets. She has also worked for EMC and Siemens.

    .......

    Job Swaps 8 May 2014
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