CLOs

  • Rally drivers

    US ABS recovery subject to potential shocks

    The US ABS market rallied strongly in 2012, with CLO and CMBS issuance volumes in particular surprising many. A substantial recovery is anticipated in most areas next year, although this remains subject to potential fiscal and regulatory shocks.

    "Across the spectrum of securitised products, 2012 has turned out to be an impressive year for investors, with substantial double-digit returns - .......

    News Analysis 18 December 2012

  • Not giving in

    Solid 2013 anticipated for European securitisation

    The European securitisation market has been dominated by regulatory pressures, but - as participants become more comfortable with the changes being imposed - secondary market rallies have made primary issuance increasingly attractive. Supply in 2013 is expected to be broadly steady, with issuance anticipated right from the start of the year.

    Kevin Ingram, partner at Clifford Chance, believes that while .......

    News Analysis 18 December 2012

  • Aladdin settles SEC MAST charge

    The US SEC has charged Aladdin Capital Management with falsely telling clients it was co-investing alongside them in two CDOs. Aladdin actually made no such investments and its affiliated broker-dealer, Aladdin Capital, collected placement fees from the CDO underwriters.

    The co-investment representation was a key selling point for its multiple asset securitised tranche (MAST) advisory programme. Aladdin Capital Management and .......

    Job Swaps 18 December 2012

  • Strengthening performance forecast for US SF

    Strengthening performance and issuance tailwinds in most US structured finance sectors are likely to push growth further in 2013, according to Fitch. However, one key area to watch in the coming year will be the potential drag created by fiscal cliff-related issues.

    "Securitisation re-established its importance to the global capital markets in 2012 and we expect this positive trajectory to .......

    News Round-up 14 December 2012

  • Stable outlook for US CLOs

    The credit quality of new CLOs in the US in 2013 will be similar to that of CLOs originated in 2012 and remain stable in Asia (ex-Japan), according to Moody's. The agency expects credit quality to deteriorate in Europe, however.

    Moody's outlook for CLO collateral performance is stable for US CLOs and Asia (ex-Japan) balance sheet CLOs, but negative for .......

    News Round-up 14 December 2012

  • CDO trading themes emerge

    Last week saw US$3.8bn of US CLO issuance, after November posted the highest volume per month since August 2007 (US$8bn). The week witnessed heavy BWIC activity too, with US$2.5bn of CDO paper out for the bid.

    CDO strategists at JPMorgan point to a number of trading themes that are emerging as 2012 draws to a close. First is that the .......

    News 11 December 2012

  • Alpstar Capital to resign

    Alpstar Capital has notified Alpstar CLO 1 and 2 investors that it intends to resign as collateral manager on the transactions without cause. Further, it has proposed Chenavari Investment Managers as successor collateral adviser.

    The move follows a request for controlling noteholders to consent to the replacement of Alpstar by Chenavari (SCI 5 November), which was subsequently withdrawn on 22 .......

    Job Swaps 6 December 2012

  • Preps borrower disincentives mitigated

    Fitch says that potential disincentives on behalf of the borrowers in the Preps 2005-2, 2006-1 and 2007-1 mezz SME CLOs are mitigated, following noteholders consent to the issuers' proposal to revise the payment waterfall and pay expense reserves senior in the priority of payments. The expenses reserves will be capped at €2m each.

    Given their senior position in the waterfalls, .......

    News Round-up 6 December 2012

  • Increased clarity on LLD requirements

    The latest amendments to the ECB's collateral eligibility framework include information on loan level data (LLD) requirements for posted securitisations and the European DataWarehouse (ED). Data will have to be reported to the ED at least on a quarterly basis, no later than one month after the IPD. If data is not provided within one month of the IPD, repo .......

    News Round-up 6 December 2012

  • RBC in further CDO recruitment

    Ming Tang has joined RBC Capital Markets as CDO and CLO trader, continuing the firm's expansion into the CDO space. He is based in New York and reports to Allen Fu, who joined as head of CDO trading two months ago (SCI 10 October).

    Tang joins from StormHarbour Securities. Prior to that he was md at DFG Investment Advisers and .......

    Job Swaps 6 December 2012

  • Alternative investment transition due

    Recent investor notices for the Duane Street CLO I to IV transactions provide an insight into how the Volcker Rule is impacting bank investment management arms.

    The notices state that certain Citigroup Alternative Investments (CAI) businesses - including the Duane Street CLOs - are being transitioned to a newly formed employee-owned asset management company (dubbed Newco) controlled by the current .......

    Job Swaps 5 December 2012

  • Manager transfers agreed

    Halcyon Neptuno II Management has assumed from Bankia investment management responsibilities for Neptuno CLO II. Moody's has confirmed that the move won't cause the current ratings of the notes to be reduced or withdrawn.

    Separately, Dock Street Capital Management has added another ABS CDO to its roster. The firm has been named successor collateral manager for Mercury CDO III, which .......

    Job Swaps 5 December 2012

  • Reg cap concerns underlined

    Bond investors remain cautious on taking exposure to European corporate risk via SME CLOs, Fitch reports. This is due partly to regulatory capital treatment, since SME leasing transactions are still being placed with investors, which suggests there is appetite for securitised SME corporate risk but only for deals with short tenors that attract less punitive capital charges.

    A handful of .......

    News Round-up 5 December 2012

  • SCI conference line-up unveiled

    Final panellist line-ups have been announced for SCI's 6th Annual Pricing, Trading & Risk Management Seminar, which is taking place on 7 December in London. The event is being held at Reed Smith's offices at 20 Primrose Street, EC2A 2RS.

    This conference will focus on risk management and pricing/valuation issues, as well as trading and secondary market strategies. The programme .......

    News Round-up 5 December 2012

  • Bumper session for CLO secondary

    Supply stepped up in the US CLO and CDO secondary space yesterday. SCI's PriceABS data shows 162 CLO line items and 84 CDO line items for the session, with CLO sub and Trups paper out in force.

    The number of CLO BWIC line items displayed by PriceABS for yesterday's session is only one fewer than for the two previous .......

    Market Reports 30 November 2012

  • Euro A2E activity tracked

    Fitch says in its new European leveraged loan CLO tracker report that up to 40% of the CLO portfolio has been subject to amend-and-extend activity in the past two years.

    "While refinancing opportunities for highly leveraged borrowers remain scarce, the maturity wall has been extended and smoothed," says Laurent Chane-Kon, director in Fitch's European structured finance team.

    The cumulative default .......

    News Round-up 29 November 2012

  • Fund settles over fair value charge

    The US SEC has charged three executives at KCAP Financial for overstating its assets during the financial crisis. KCAP, a publically traded fund regulated as a BDC, had an asset portfolio consisting mainly of corporate debt securities and CLO investments.

    The SEC says KCAP did not account for certain market activity in determining the fair value of its debt securities .......

    Job Swaps 29 November 2012

  • Loan-level reporting timelines lengthened

    The ECB has adjusted its timeline for the start of loan-level data reporting requirements as part of the Eurosystem's collateral framework, to allow for the smooth implementation of what it deems as necessary amendments to Guideline ECB/2011/14 at the national level.

    For RMBS and SME transactions, the reporting requirements will now be mandatory as of 3 January 2013. For CMBS, .......

    News Round-up 27 November 2012

  • Cov-lite comeback analysed

    US covenant-lite loans have made a significant comeback in the leveraged finance market, reflecting investor willingness to take on more risk in exchange for higher yields, according to Fitch. Cov-lite loan issuance totals US$49bn year-to-date.

    Cov-lite issuance represented 31% of institutional loan issuance in October alone, the highest percentage since the end of the financial crisis. The growth of both .......

    News Round-up 27 November 2012

  • OAT-linked deals downgraded

    Moody's has downgraded the ratings of three structured finance securities that are linked to France's government bond rating. At the same time, the agency placed on review for downgrade the ratings of 12 CLO combination notes with a partial exposure to French treasuries.

    The rating action was prompted by the weakening of the French government's credit profile, as captured by .......

    News Round-up 26 November 2012

  • New CLO managers reviewed

    Moody's reports in its latest CLO Interest publication that it has assigned ratings to nine CLOs from eight new managers year-to-date through 30 September. CLOs from new managers accounted for over 10% of the deals it rated during this period.

    "This level of new manager activity is the highest since the flurry of new entries into the CLO management business .......

    News Round-up 23 November 2012
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