CLOs

  • Mind the gap

    CLO equity price and NAV data examined

    From now on SCI will be publishing regular case studies and reports on the CLO market in addition to our usual news stories on the sector. Here, we examine how CLO equity prices have fared so far over this most tumultuous of years and their relationship to their underlying NAVs.

    While this first article is available to .......

    News 28 October 2020

  • Environmental risk score rolled out

    Sector developments and company hires

    CMBS environmental risk score rolled out
    Trepp has implemented a new data integration with Risk Management Solutions (RMS) that aims to help evaluate and manage global risk from natural and man-made catastrophes. The solution provides an environmental risk score for properties backing CMBS loans, ranging from one to five, that measure the likelihood of property damage and business interruption from .......

    Market Moves 23 October 2020

  • JAAA launched

    New triple-A CLO ETF well received

    The Janus Henderson AAA CLO ETF (JAAA) launched on Monday, 19 October, amid positive investor feedback. The ETF seeks to provide capital preservation and current income by investing at least 90% of its net assets in CLOs of any maturity that are rated triple-A or equivalent at the time of purchase.

    “We came to market with seed capital from six .......

    News Analysis 21 October 2020

  • Leasing ABS inked

    Sector developments and company hires

    Leasing ABS inked
    The EIB and the EIF have provided Alba Leasing with €490m via an SME securitisation financing operation. Alba Leasing has undertaken to double this, increasing the total amount available to €980m for projects across all economic sectors, with a particular focus on environmental investments (for which 20% of the resources have been reserved).

    The EIB Group has subscribed .......

    Market Moves 20 October 2020

  • Restructuring capacity

    LMLs introduced to European CLOs

    Recently issued Deer Park CLO was the first European deal to provide for loss mitigation loans (LMLs) and enable its manager to invest outside of eligibility criteria during restructuring events, according to a new report from Fitch.

    “This concept, alongside the existing corporate rescue loan mechanism, bolsters the transaction's ability to play an active role in restructurings, while .......

    News 20 October 2020

  • CLO structures reviewed

    Sector developments and company hires

    CLO structures reviewed
    Post-Covid crisis US BSL CLO structures differ in a range of ways from their predecessors, beyond shorter reinvestment periods, according to a new report from S&P.

    “We reviewed a sample of almost 40 US BSL CLOs that closed in Q2 and Q3, and compared their portfolio metrics (as of the start of Q4) to the statistics .......

    Market Moves 19 October 2020

  • Collateralised loan overlap

    Sector developments and company hires

    Collateralised loan overlap
    Diversification risk across the US CLO market has increased this year, due to the 18% decline in US leveraged loan net supply over 2019 versus 79 different managers issuing deals in 2020. Consequently, JPMorgan CLO research analysts have published a new report looking at US CLO asset inter-overlap (to other managers), intra-overlap (across portfolios of the same .......

    Market Moves 16 October 2020

  • First EGF guarantee inked

    Sector developments and company hires

    First EGF guarantee inked
    The EIB has approved €5.1bn of new financing to support investment by companies most impacted by Covid-19, alongside backing clean energy, water, sustainable transport and urban development. This includes up to €2.66bn of support – comprising €1bn of EIB-linked risk-sharing products and €1.66bn EIF guarantee and equity products - backed by the new European Guarantee Fund, .......

    Market Moves 14 October 2020

  • MPL platform ends note programme

    Sector developments and company hires

    MPL platform ends note programme
    LendingClub is winding down its retail note programme and has ceased accepting new accounts. The platform says it is no longer ‘economically practical’ to continue offering notes as it moves towards becoming a full-spectrum fintech bank. PeerIQ notes that the move is unsurprising, given that the programme exposed LendingClub to potential conflicts of interest and .......

    Market Moves 12 October 2020

  • US CLO recovery continues

    Sector developments and company hires

    US CLO recovery continues
    US CLO OC cushions are continuing to recover, according to the latest quarterly US manager report from JPMorgan CLO research.

    It says: “In the upcoming final quarterly October payment (majority of CLOs), we estimate as much as circa 92% equity will pay a cashflow compared to circa 89% in July and circa 40% during the GFC. .......

    Market Moves 9 October 2020

  • Capital preservation

    Sharif Anbar-Colas, head of structured credit at Kartesia, answers SCI's questions

    Q: How and when did Kartesia become involved in the securitisation market?
    A: Kartesia has been involved in the securitisation market for more than 10 years and made investments in securitised products from the first fund raised in 2010. This involvement came from an appreciation of how the securitised tranches of portfolios were trading at a discount to the actual .......

    The Structured Credit Interview 9 October 2020

  • Litigation finance fund formed

    Sector developments and company hires

    Litigation finance fund formed
    Tetragon and its diversified alternative asset management business TFG Asset Management have entered into an agreement with Brandon Baer to invest in his newly-created company, Contingency Capital. The company – which is expected to formally launch on 1 November - is a multi-product global asset management business that will sponsor and manage litigation finance-related investment funds.

    Baer .......

    Market Moves 8 October 2020

  • Structured finance solutions

    Contributed thought leadership by Ocorian

    Sonal Patel, md, head of sales - Americas, Bermuda and Caribbean, and Sinead McIntosh, business development director at Ocorian, a global leader in corporate and fiduciary services, fund administration and capital markets, highlight how structured finance solutions are coming to the fore across securitisation markets

    Q: How is the securitisation industry responding to the Covid-19 fallout and .......

    Talking Point 7 October 2020

  • 'Quick fix' draft legislation published

    Sector developments and company hires

    ‘Quick fix’ draft legislation published
    The European Parliament has published draft legislative resolutions on amendments to the Securitisation Regulation and CRR in connection with STS synthetics and non-performing exposures.

    Among the proposals is a tightening of the definition of an NPE securitisation and the introduction of stricter language on risk retention, according to Rabobank credit analysts. The regulatory treatment .......

    Market Moves 6 October 2020

  • Range of moratoria take-up 'stark'

    Sector developments and company hires

    Range of moratoria take-up ‘stark’
    With payment holiday concentrations having fallen over the past few remittance periods, the range of payment holiday take-up across UK RMBS is stark, according to JPMorgan’s latest Covid-19 Payment Holiday Tracker. Reflecting data reported primarily through September and August, the report identifies zero percent (in the case of the MORTI 2020-1 deal) and 0.6% (TWIN .......

    Market Moves 5 October 2020

  • New IMA inked

    Sector developments and company hires

    New IMA inked
    Pollen Street Secured Lending (PSSL) has appointed Waterfall Asset Management as its investment manager, replacing PSC. An investment management agreement has also been signed with a new AIFM, Mirabella Financial Services. PSSL has agreed to pay PSC a sum representing the approximate balance of the unpaid base management fee, including the unexpired notice period. The PSSL board believes that .......

    Market Moves 2 October 2020

  • Repayments rated

    CLO debt repayment rates could act as a manager differentiator

    Manager differentiation has become ever more important as the Covid-crisis and its resultant CLO market impact continues to play out. Real repayment rates could become the latest tool in the manager selection process as well as an important pricing input.

    "Examining how quickly CLO rated debt is being paid down post reinvestment end date on a deal by deal basis .......

    News Analysis 1 October 2020

  • 'Dual-track' approach touted for SRT

    Sector developments and company hires

    ‘Dual-track’ approach touted for SRT
    The EBA is finalising its report on significant risk transfer and hopes to be able to publish it by year-end, according to Pablo Sinausia, policy expert at the authority. He disclosed during a TSI Congress 2020 panel today that the report builds on the EBA’s recent report on STS synthetics and will address structural features that .......

    Market Moves 1 October 2020

  • SME ABS debut for Italian fintech

    Sector developments and company hires

    SME ABS debut for Italian fintech
    Banca Valsabbina has supported fintech BorsadelCredito.it as arranger, account bank and subscriber - together with other institutional investors – of ABS notes in a €100m securitisation backed by trade receivables granted to SMEs and guaranteed by the Central Guarantee Fund for SMEs. This is the first unrated securitisation operation listed on Borsa Italiana’s ExtraMOT-PRO .......

    Market Moves 30 September 2020

  • Double-B disparity

    US CLO lower mezz misses out

    Last week saw high levels of activity across the bulk of the US CLO primary and secondary markets. However, new and very recent double-B paper has missed out.

    “The majority of the new issue debt stack has been very actively bid, but double-B spreads have not been moving as tighter as expected,” says one trader. “In the secondary, .......

    News Analysis 30 September 2020

  • Mezz CLO fund closed

    Sector developments and company hires

    Mezz CLO fund closed
    Pearl Diver Capital has completed the final closing of its eighth closed-end CLO investment fund, PDC Opportunities VIII, at US$400m. Launched with a target raise of US$300m, the fund hit its hard cap, with LPs represented by public pension systems, corporate pension plans, high net-worth family offices and endowments. The fund is designed to invest opportunistically .......

    Market Moves 29 September 2020
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