CLOs

  • CLO fallback language reviewed

    Sector developments and company hires

    CLO fallback language reviewed
    S&P has reviewed the indentures of the 870 CLOs it rates to assess Libor fallback language governing a transaction's liabilities. The majority (76%) of its rated CLO transactions closed between 2018 and 2020.

    ARRC-like fallback language can be found in 26% of the agency’s overall transactions, including 76% of the transactions that closed in 2020. .......

    Market Moves 22 March 2021

  • Manager maintenance

    CRE CLO credit quality maintained by manager strategies

    CRE CLOs have performed well through the pandemic, maintaining their OC cushions, largely as a result of their managers' actions. Those actions, including reinvestment loan workouts and credit risk exchanges, have been supported by the evolution to stronger structures in the sector since the financial crisis.

    Deryk Meherik, svp/manager at Moody’s, says: “I have seen how the product, .......

    News Analysis 22 March 2021

  • MPL acquisition to accelerate auto financing

    Sector developments and company hires

    MPL acquisition to accelerate auto financing
    Upstart Holdings is set to acquire Prodigy Software, a provider of cloud-based automotive retail software. Upstart says it is seeking to reduce the cost of auto financing by creating a modern multi-channel purchase experience. Auto retail is among the largest buy-now-pay-later opportunities, according to the firm, and together with Prodigy it aims to help .......

    Market Moves 19 March 2021

  • Chip shortages 'credit positive' for auto ABS

    Sector developments and company hires

    Chip shortages ‘credit positive’ for auto ABS
    Sizable auto production cuts due to semiconductor shortages in the US will provide support for used vehicle values, a credit positive for securitisations and captive auto finance companies, according to Moody’s. The rating agency notes that such shortages – which are expected to last at least into next quarter - could result in North .......

    Market Moves 18 March 2021

  • Bank boost

    US CLO triple-As see strong bank demand, but for how long?

    Significant support from US banks has contributed to the 2021 rally at the top of the stack. Inevitably, though, that level of support will be finite.

    Notwithstanding the slight wobble seen in the last few sessions, the primary-secondary basis in US triple-A spreads has compressed significantly in recent months and looks likely to continue at similar levels for a while .......

    News Analysis 16 March 2021

  • 'Unprecedented' Moroccan CRT closed

    Sector developments and company hires

    ‘Unprecedented’ Moroccan CRT closed
    Moroccan fertiliser giant OCP Group has subscribed to the notes issued by the first synthetic securitisation in Morocco. The transaction involved the establishment of a collective securitisation vehicle dubbed Fonds Damane Tamayouz, which has been structured to facilitate access to credit for the suppliers that make up OCP's industrial ecosystem.

    Clifford Chance, which advised on the deal, .......

    Market Moves 16 March 2021

  • Strategic expansion

    Capital Four ceo Sandro Naef and Capital Four US ceo Jim Wiant answer SCI's questions

    Q: How and when did Capital Four become involved in the structured credit market?
    A: We have been investing in CLO liabilities for more than a decade. In terms of managing CLOs ourselves, it was a natural evolution a couple of years ago to also start managing CLOs ourselves, as we have been managing senior loans and bonds a long .......

    The Structured Credit Interview 12 March 2021

  • BDC fair value assessed

    Sector developments and company hires

    BDC fair value assessed
    On the back of tightening BDC spreads and growing investor interest, JPMorgan CLO research analysts have published a report aiming to assess fair value in the sector. In addition, they compare BDCs to their closest relative – middle market CLOs.  

    “Differentiating between BDCs is a challenge; thus, we used attachment points as a reference point .......

    Market Moves 11 March 2021

  • Asset and liability origination tie-up agreed

    Sector developments and company hires

    Asset and liability origination tie-up agreed
    Apollo and Athene have entered into a definitive agreement to merge in an all-stock transaction that implies a total equity value of approximately US$11bn for Athene. Upon closing of the merger, current Apollo shareholders will own approximately 76% of the combined company on a fully diluted basis and Athene shareholders will own approximately 24%.

    Market Moves 9 March 2021

  • CLOs/CBOs solid

    US CLO primary rumbles on as CBOs perform strongly

    The US CLO refi/reset machine rolled on last week with primary spreads narrowing at the top of the stack. At the same time, the CBO sub-sector continues to perform well.

    The US CLO primary saw another bumper week last week, with 15 refis/resets and nine new issues pricing. Investment grade primary spreads tightened yet again on the week, .......

    News Analysis 9 March 2021

  • Libor announcements to 'accelerate' transition

    Sector developments and company hires

    Libor announcements to ‘accelerate’ transition
    The UK FCA has confirmed that all Libor settings will either cease to be provided by any administrator or no longer be representative immediately after 31 December 2021 - in the case of all sterling, euro, Swiss franc and Japanese yen settings, as well as the one-week and two-month US dollar settings – and immediately .......

    Market Moves 5 March 2021

  • General QM delay proposed

    Sector developments and company hires

    General QM delay proposed
    The CFPB has released a notice of proposed rulemaking (NPRM) to delay the mandatory compliance date of the General Qualified Mortgage (QM) final rule from 1 July 2021 to 1 October 2022 (SCI 24 February). The CFPB is proposing to extend the compliance date to ensure homeowners struggling with the financial impacts of the Covid-19 .......

    Market Moves 4 March 2021

  • Benchmark legislation

    Congress to rescue Libor-based contracts, but questions remain

    Federal Reserve chairman Powell’s endorsement last week of federal legislation to ease the transition to non-dollar Libor benchmarks has been hailed as a positive step for the structured finance industry. Powell was speaking in front of the House of Representatives Financial Services Committee and predicted that there will be a “hard tail” to the exit from Libor, to which .......

    News Analysis 3 March 2021

  • Ever-changing moves

    Euro CLOs remain fluid

    The European CLO market is in a far more fluid state than the headline refi/reset boom suggests. As such, investor vigilance over potential market changes is as important as ever. 

    “We’ve got upwards of 50 cleansing notices at the moment and with that kind of supply, you’ve got to consider what the demand is and whether we are going to .......

    News Analysis 1 March 2021

  • UKAR pair preplaced

    Sector developments and company hires

    UKAR pair preplaced
    Citi has preplaced a pair of UK non-conforming RMBS backed by a portfolio it acquired from UKAR. The transactions – the £2.898bn Jupiter Mortgage No. 1 and the £1.559bn Stratton Mortgage Funding 2021-2 - securitise a pool of first-lien owner-occupied and buy-to-let loans originated by NRAM, GMAC-RFC, Mortgage Express, Kensington, Keystone Property Finance, Bradford & Bingley, Legal .......

    Market Moves 26 February 2021

  • Injunction sought over Blue Owl combination

    Sector developments and company hires

    Injunction sought over Blue Owl combination
    Golub Capital Partners, one of 17 partner managers in the Dyal Capital Partners IV fund, has brought a lawsuit against the fund, Neuberger Berman Group (NBG) and NB Alternatives Advisers, seeking an injunction against the Blue Owl transaction (SCI 4 December 2020). Sixth Street previously filed a lawsuit against the Dyal Capital Partners .......

    Market Moves 25 February 2021

  • US CLOs stay strong

    Resets active as participants also address other issues

    Reset activity continues apace in the US CLO primary market. At the same time, other aspects of the market are regaining focus.

    Yesterday saw another US reset price – Dryden 75, with its triple-As coming in at 104bp over three-month Libor – alongside one new issue and a partial refinancing. This brings the total number of primary deals .......

    News Analysis 23 February 2021

  • Irish NPE portfolio offloaded

    Sector developments and company hires

    Irish NPE portfolio offloaded
    AIB Group is set to sell a non-performing loan portfolio in long-term default to Mars Capital Finance Ireland as part of a consortium arrangement with Mars and affiliates of Apollo Global Management. At completion, AIB will receive a cash consideration of approximately €400m.

    As at September 2020, the loan portfolio had a gross NPE value .......

    Market Moves 22 February 2021

  • Small balance UK CMBS prepped

    Sector developments and company hires

    Small balance UK CMBS prepped
    Together Commercial Financial Services is marketing an unusual securitisation backed by small balance commercial assets. Dubbed Together Asset Backed Securitisation 2021-CRE1 (TABS 2021-CRE1), the £328.8m transaction is backed by 1,482 loans provided to 1,399 borrowers.

    The average outstanding principal balance per borrower is £235,020 and approximately 41.9% of the underlying properties are either fully .......

    Market Moves 19 February 2021

  • 'Unique' CLN deal readied

    Sector developments and company hires

    ‘Unique’ CLN deal readied
    JPMorgan Chase Bank (JPMCB) is prepping the debut CLN issuance from the JPMorgan Wealth Management Mortgage (JPMWM) platform to transfer credit risk to noteholders through a hypothetical tranched CDS on a reference pool of mortgages. Dubbed JP Morgan Wealth Management Reference Notes Series 2021-CL1, principal payments on the notes are based on the performance of a US$2.36bn .......

    Market Moves 17 February 2021

  • Refi surge

    Spread compression drives wave of CLO refinancings

    European CLO refinancings and resets have been prominent this year, driven by strong spread compression. While such activity is expected to continue, capacity constraints could leave some deals incomplete.

    So far this year, the European market has seen 12 deals refi or reset, compared with seven new issues. Over 40 deals have already released cleansing notices, with the latest three .......

    News Analysis 17 February 2021
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