CLOs

  • Cross-asset movement

    Rising rates rearrange relative value

    Rising interest rates in the wake of the Fed's tapering proposal have profoundly affected cross-asset relative value. While investors may consequently choose to move down the capital structure within CLOs, interest in CMBS is also expected to increase.

    US CLO triple-A spreads have not moved much recently as three-month Libor has been largely steady. Movement has been much more dramatic .......

    News Analysis 26 July 2013

  • Italian SME default drivers analysed

    Italian SMEs most at risk of defaulting on their securitised secured and unsecured loans are those active in the construction and building sector, says Moody's in a new special comment. The report covers data on Italian SMEs between 2012-2013 and the default drivers that the agency identifies as rating neutral for Italian SME ABS transactions.

    Moody's analysis of default data .......

    News Round-up 25 July 2013

  • FATCA delay 'credit positive' for CLOs

    The US Internal Revenue Service's decision to delay FATCA implementation -scheduled to begin on 1 January 2014 - by six months is credit positive for CLOs with offshore issuers, according to Moody's in its latest Credit Outlook publication. The move is expected to save the administrative burden and expense of FATCA compliance during that time, extend applicability of FATCA's grandfathering .......

    News Round-up 24 July 2013

  • Volatility cited as biggest CLO concern

    CLO supply is predicted to reach US$34.5bn and €3.6bn in the second-half of the year, according to JPMorgan's latest client survey for the sector, implying a full-year global forecast of about US$87bn. End-2013 spread targets for US and European triple-A primary spreads are mainly concentrated around the Libor plus 110bp-120bp area, with a significant Libor plus 100bp population.

    Market volatility .......

    News Round-up 18 July 2013

  • Credit manager adds Goldman vet

    DFG Investment Advisers has appointed Philip Darivoff as chairman both of DFG and of parent company Vibrant Capital Partners. He previously spent 27 years at Goldman Sachs, most recently as a member of the firm's structured finance capital committee and director of the firm's office of alumni relations.

    Darivoff joined Goldman Sachs as an associate in the mortgage securities department. .......

    Job Swaps 18 July 2013

  • Markit appoints Japanese operations head

    Markit has named Matthew Serynek as md and head of operations in its Tokyo office. He will be responsible for developing the company's presence in Japan and fostering new relationships with customers. Serynek was most recently president of SunGard Japan.

    .......

    Job Swaps 18 July 2013

  • Sovereign downgrade hits French deals

    Fitch has downgraded three tranches related to three French structured finance transactions. The action follows the downgrade of France's long-term foreign currency issuer default rating (IDR) to double-A plus from triple-A.

    The deals affected by the downgrades are Eole Finance, House of Europe 1 and House of Europe 3. Given their significant exposure to the French sovereign, the affected notes .......

    News Round-up 17 July 2013

  • Sovereign downgrade hits Italian deals

    S&P has lowered its credit ratings on 118 tranches in 91 Italian securitisations. The rating actions follow the agency's 9 July lowering of its unsolicited long-term sovereign credit rating on Italy to triple-B from triple-B plus, due to the effects of further weakening growth on the country's economic structure and resilience, and its impaired monetary transmission mechanism.

    Specifically, S&P has .......

    News Round-up 17 July 2013

  • Loan prepays drive CLO upgrades

    Moody's has upgraded the ratings on 192 tranches in 95 US CLOs, totalling approximately US$4.5bn of outstanding rated balance. The magnitude of the upgrades range between one to three notches, with the ratings of all the affected tranches (except for those already upgraded to Aaa) remaining on review for upgrade. At the same time, the agency placed on review for .......

    News Round-up 16 July 2013

  • Euro CLO activity up

    European CLO market participants spent yesterday poring over an ABS CDO BWIC, which came out late in the day. Meanwhile, in the primary market the recently-priced Cadogan Square CLO V has sparked some debate.

    Yesterday's CDO bid-list traded well, according to one trader. It included names such as CAVSQ 1 A2, CAVSQ 1 B, CAVSQ 1 C, FAXT 2004-1X S .......

    Market Reports 12 July 2013

  • CLO growth underlined

    Appleby has released its inaugural 'CLO Insider' report, which provides data and analysis on the global CLO market, focusing on the first half of 2013. A total of 98 CLOs closed in the first half of 2013, a significant increase on the 39 deals that closed in the first six months of 2012.

    "With the value of the market growing .......

    News Round-up 12 July 2013

  • Secondary CLOs are all talk

    After a difficult June for the secondary US CLO sector, this month has begun with a couple of covers and DNTs. Market participants appeared to take a cautious approach yesterday, with SCI's PriceABS data showing plenty of talk but no trades.

    The sell-off in June saw generic US CLO secondary spreads widen by about 70bp month-over-month for legacy .......

    Market Reports 9 July 2013

  • Exclusive CLO portfolio advisor appointed

    Advantage Insurance Holdings has entered into a long-term agreement for GSO Capital Partners to serve as Advantage's exclusive portfolio advisor. GSO will be responsible for deploying the capital and surplus of Advantage's subsidiaries into CLOs and other investments.

    The Advantage portfolios will be managed by Mark Moffat at GSO's London-based affiliate, GSO Capital Partners International. Moffat is a senior md .......

    Job Swaps 9 July 2013

  • Changes in bank CLO holdings eyed

    Changes in the way US banks pay deposit insurance premiums to the FDIC may precipitate a shift in the composition of bank leveraged loans and CLOs in second-quarter financial statements, Fitch reports. The agency says that the changes have the potential to influence demand for triple-A rated CLO tranches, pushing banks into higher-risk pieces of recently issued securitisations, or force .......

    News Round-up 4 July 2013

  • Benchmarking style

    CLO analytics approaches discussed

    Representatives from Moody's Analytics and ING Investment Management discussed how to leverage the latest analytics and data for CLO portfolio management, valuations and benchmarking during a live webinar, hosted by SCI in May (view the webinar here). Topics included manager style, differences between CLO 1.0 and 2.0 deals, and which data points to look out for. This Q&A article .......

    Talking Point 3 July 2013

  • Chinese securitisation 'underdeveloped'

    Fitch believes that the Chinese securitisation market is underdeveloped, reflected in the small programme size of the third round of the credit asset securitisation (CAS) pilot programme launched in May 2012 at RMB50bn (US$8.2bn). The programme limit - accounting for less than 0.1% of the commercial banking system's assets in the country - is insufficient to fulfil the needs of .......

    News Round-up 3 July 2013

  • CLO BWIC participation broadening

    Recent BWIC activity suggests that real money investors upped their share of secondary US CLO buying for the third consecutive year, from 52% in 2012 to 63% year-to-date in 2013, according to JPMorgan figures. Next come hedge funds, accounting for 27% of volume, followed by banks with 10%.

    At the same time, decreased disparity is evident between real money (accounting .......

    News 3 July 2013

  • PFI CLOs on the cards?

    The UK government last week hosted an information session for prospective bidders to provide the senior financing - dubbed the aggregator - for about 90% of the cost of its Priority School Building Programme (PSBP) under the Project Finance 2 initiative. One of the funding options being considered draws on PFI CLO technology.

    Under the PSBP, the aggregator will be .......

    News Round-up 1 July 2013

  • Manager adds Asia relations director

    3i Debt Management has appointed Lisa Johnson as investor relations director in Asia, based in Singapore. Johnson previously held a similar role at Parker Global Strategies, where she was responsible for developing and maintaining strategic relationships with a variety of investors.

    .......

    Job Swaps 28 June 2013

  • Casting nets

    Hunt for relative value puts range of options on the table

    European primary issuance may have been patchy this year, but liquidity in the secondary market has generally increased. The hunt for relative value has become all the more pressing as spreads have tightened.

    Regulatory initiatives such as Solvency II and CRD IV weigh on investors' minds, but until regulations come into force it is always possible that their provisions will .......

    News Analysis 28 June 2013

  • CLO bonds in search of buyers

    SCI's PriceABS data shows more than three times as many US CLO tranches offered on BWICs that did not trade in yesterday's session as those that did. There was comparatively less activity in European CLOs, but again more tranches in this segment did not trade than did.

    The US DNTs include names from a range of vintages, with .......

    Market Reports 27 June 2013
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