CLOs

  • No rush

    CLO investors have time on their side for resets and refis

    Post-Covid US CLO issuance is gathering pace for new deals, but refinancings and resets are few and far between so far. There are opportunities for both types of restructuring, but for the vast majority of deals, there is no rush for equity investors to initiate the process.

    There have only been two US CLO refinancings since the Covid .......

    News Analysis 17 July 2020

  • Euro CLO par burn rises

    Sector developments and company hires

    Euro CLO par burn rises
    After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built par in 2020 YTD by an average +19bp, while the remaining 30 managers burnt par by an average -41bp. .......

    Market Moves 16 July 2020

  • Conflict-free trading

    Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions

    Q: How and when did Meraki Global Advisors become involved in the securitisation market?
    A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outsourced trading and operations firm that was launched in April 2019.

    We identified a need among the more sophisticated multi-asset hedge fund community .......

    The Structured Credit Interview 16 July 2020

  • Structural changes

    New US CLO docs anticipating Volcker

    Most of the US CLOs currently marketing are already being structured to incorporate changes resulting from the revised Volcker rule (SCI 26 June). At the same time, new deal documentation is also enabling greater flexibility for managers to participate in restructurings.

    Despite the Volcker rule changes not being effective until 1 October, new deals are already being .......

    News Analysis 15 July 2020

  • LCX platform expanded

    Sector developments and company hires

    LCX platform expanded
    LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled the company to sell previously originated loans at, above or below par, from its balance sheet. For the first time, LendingClub .......

    Market Moves 13 July 2020

  • OC ratios examined

    Sector developments and company hires

    OC ratios examined
    Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P. It finds that average senior and junior OC cushions declined between February and May by 1% to remain healthy at over 8% and 3% respectively.

    However, S&P says: “We are seeing a wider dispersion of OC cushions across .......

    Market Moves 10 July 2020

  • Spanish CP vehicle formed

    Sector developments and company hires

    Spanish CP vehicle formed
    ODF Energía has registered on MARF the first issuance of commercial paper, sized at €30m, from its innovative new Spanish securitisation fund. Dubbed HT Suministros, the fund is a multi-compartment vehicle with a maximum issuance amount of €200m, secured by the successive purchase of credit rights belonging to different companies or private businesses groups.

    The .......

    Market Moves 9 July 2020

  • CQS portfolio refinanced

    Sector developments and company hires

    CQS portfolio refinanced
    AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m. Originated by a large Italian bank, these loans were initially securitised in 2016. In July 2019, AnaCap acquired the equity in the securitisation and in June 2020 it exercised its right to acquire the .......

    Market Moves 8 July 2020

  • Positive signs for CLOs

    Sector developments and company hires

    Positive signs for CLOs
    US CLO manager metrics have begun to improve or stabilise, according to JPMorgan’s Q2 report on the sector, published today. “In the very latest reported data, the percent of US CLOs failing the junior-most OC test (double- or single-B) dropped from 20% a few weeks ago to 16% - likely due to higher triple-C loan market values, .......

    Market Moves 7 July 2020

  • Volcker revision impact modest

    Sector developments and company hires

    Volcker revision impact modest
    The impact of the changes made to the Volcker Rule (SCI 26 June) will be relatively modest for the CLO market, according to S&P. The agency notes that nearly all current CLO documents prohibit investing in bonds, so will not see any changes unless they’re amended, which would require investor consent. However, a small number .......

    Market Moves 6 July 2020

  • Volcker changes finalised

    Sector developments and company hires

    Volcker changes finalised
    The CFTC, FDIC, OCC, SEC and US Fed have finalised a rule modifying the Volcker Rule's prohibition on banking entities investing in or sponsoring hedge funds or private equity funds – known as covered funds. The final rule is broadly similar to the proposed rule from January (SCI 31 January).

    Like the proposal, the final .......

    Market Moves 26 June 2020

  • Subprime auto performance eyed

    Sector developments and company hires

    Subprime auto performance eyed
    Davis & Gilbert’s latest Credit Chronometer subprime auto study indicates that Covid-era market participants generally believe that the most reliable indicator of a subprime auto securitisation’s success is its projected performance - and they hold this belief even more strongly than in the past. The survey suggests that since 2019, the importance of credit ratings as a .......

    Market Moves 25 June 2020

  • RFC issued on NPL ABS treatment

    Sector developments and company hires

    RFC on NPL ABS treatment
    The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. This proposal, which the Committee started developing before the onset of the Covid-19 pandemic, addresses a gap in the regulatory framework and sets out a prudent treatment for NPL ABS. The technical amendment establishes a 100% risk weight .......

    Market Moves 24 June 2020

  • Weathering the storm

    US CLO warehouses perform well

    US CLO warehouses have weathered the fall-out from Covid-19 reasonably well, according to a new report from Maples Group. While there have been some casualties, their numbers have been limited and the prospects going forward are good.

    The report analyses over 70 open warehouses administered by the Maples Group's fiduciary services team at the start of the pandemic. .......

    News 24 June 2020

  • QM price-based approach mooted

    Sector developments and company hires

    QM price-based approach mooted
    The CFPB has issued two notices of proposed rulemaking (NPRMs) to address the impending expiration of the GSE patch, which is scheduled to expire in January 2021 (or when the GSEs exit conservatorship, if that happens first). The bureau estimates that, absent regulatory action, approximately 957,000 mortgage loans would be affected by the expiration of the .......

    Market Moves 23 June 2020

  • Test case scenario?

    US bankruptcy dispute could provide a template for CLO managers

    US-based marketing firm Acosta's bankruptcy filing and resultant disagreement between its loan investors could prove to be a test case for how both CLO managers and distressed funds approach such situations. If nothing else, if defaults continue their expected rise as the Covid crisis plays out it should provide valuable lessons for all loan market participants.

    “Bankruptcy administration .......

    News Analysis 23 June 2020

  • MILN market set to reopen

    Sector developments and company hires

    MILN market set to reopen
    Arch has returned to the market with Bellemeade Re 2020-1, after it was pulled in March amid the Covid-19 fallout (SCI 29 May). Moody's has upgraded from A3 to A1 and from Baa3 to Baa1 the provisional ratings of the mortgage insurance credit risk transfer deal’s respective class M1A and M1B notes and assigned provisional .......

    Market Moves 22 June 2020

  • Time cut

    Post-crisis CLOs continue to feature short non-call/reinvestment periods

    New issue CLOs either side of the Atlantic have adapted to the post-pandemic world by introducing shorter time horizons. Equally, sizes and leverage in European deals have been cut.

    All three European CLOs that priced last week – BBAM European CLO I, OCP Euro CLO 2020-4 and GoldenTree Loan Management EUR CLO 4 – featured a short non-call/reinvestment .......

    News 22 June 2020

  • CMBS scores in first TALF window

    Sector developments and company hires

    CMBS scores in first TALF subscription
    Investors requested US$252m in loans under the first TALF 2.0 subscription window. Of this total, US$145m was for CMBS purchases, with the remainder almost evenly split between premium finance and small business deals. Wells Fargo CMBS analysts note that although wider spreads in the CMBS sector relative to the ABS sector may continue to .......

    Market Moves 18 June 2020

  • Structural hurdles

    US CLO managers face restructuring challenges

    Restructurings and workouts are an increasing focus for US CLO managers as credit deterioration continues and defaults rise. However, they face significant structural hurdles that restrict their involvement in the process.

    “There are two main issues standing in the way of CLO managers fully participating in restructurings and workouts,” says Craig Stein, partner at Schulte Roth & Zabel. .......

    News Analysis 18 June 2020

  • Next step

    Debut CLO part of platform roll-out

    BlueBay Asset Management priced its first CLO on Monday inside recent primary tights and despite the then stalled secondary market rally. The European deal is the next step in the roll-out of the firm’s long-term global structured credit strategy (SCI 31 January). 

    “The obviously challenging market conditions meant that we were especially pleased to so successfully execute .......

    News Analysis 17 June 2020
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