CLOs

  • Scenario analysis

    Elena Rinaldi, portfolio assistant at TwentyFour Asset Manag...

    ABS is an asset class that lends itself well to detailed underwriting, from onsite due diligence through to cashflow and risk modelling. Specifically within the CLO sector, once TwentyFour Asset Management has reviewed the manager and the collateral, we focus on stress testing and sensitivity analysis. The hypothetical question "what if?" plays a fundamental role in assessing the resilience of .......

    Talking Point 12 January 2018

  • Euro 2.0 CLO programme debuts

    Natixis has closed its first European managed cashflow CLO 2.0 deal. Dubbed Purple Finance CLO 1, the €308.4m transaction is managed by Natixis Investment Managers affiliate Natixis Asset Management and is backed by primarily senior secured euro-denominated leveraged loans and bonds issued by European borrowers.

    Moody's and S&P have assigned Aaa/AAA ratings to the CLO's €173.70m class A notes (which .......

    News 11 January 2018

  • CRE servicing composition tracked

    Dwindling CMBS and CRE CDO issuance posed a significant challenge for commercial mortgage servicers over the past decade. As such, servicers have sought greater exposure to loans from non-CMBS investors - including life insurance companies and the GSEs - to maintain portfolio volumes.

    US CMBS and CRE CDO loans made up 61% of the unpaid principal balance of the portfolios .......

    News 8 January 2018

  • CRTs coming to America?

    Capital relief trades (CRTs) have become an established feature of the European securitisation market, with multi-billion euro deals frequently issued to achieve regulatory capital relief (see SCI's capital relief trades database). Although these transactions have not yet been embraced by US banks, that is expected to change.
     
    Rumours of US CRTs in the offing continue to circulate. Sources suggest .......

    News Analysis 8 January 2018

  • Market moves - 5 January

    Acquisitions/Investments
    SoftBank Group Corp     has acquired Fortress Investment Group for US$3.3bn in cash and now – along with its subsidiaries – owns all outstanding Fortress shares. Fortress shareholders approved the transaction last summer and all necessary regulatory approvals have now also been received. As a result of the acquisition, each outstanding Fortress class A share has been converted into the right to .......

    Market Moves 5 January 2018

  • Job swaps round-up - 22 December

    CDS options clearing

    LCH's CDSClear has become the first platform to clear credit index options, with post-trade services for both dealer-to-dealer and dealer-to-client flows provided by MarkitSERV. The service is expected to benefit members and clients in a number of ways, including full cross-margining of options with indices and single-name CDS, multilateral netting from facing a single counterparty (LCH) and .......

    Job Swaps 22 December 2017

  • Project finance risk transfer completed

    Santander has completed a synthetic risk transfer securitisation, transferring risk on a €2.3bn portfolio of loans originated in Spain and other EU countries. Scope Ratings has rated the transaction triple-A.

    The synthetic project finance CLO references a portfolio of 241 loans originated by Banco Santander. The deed was executed yesterday, 21 December.

    Scope has rated the €1.514m A tranche at .......

    News 22 December 2017

  • Embracing a tactical approach

    David Moffitt, head of tactical investment opportunities at LibreMax Capital, answers SCI's questions

    Q: How and when did LibreMax Capital become involved in the securitisation market?
    A: LibreMax Capital was established in October 2010 by founding cio Greg Lippmann and founding president Fred Brettschneider, who previously worked at Deutsche Bank and Credit Suisse together. The firm - which focuses exclusively on .......

    The Structured Credit Interview 22 December 2017

  • IFRS 9 volatility persists

    The Bank of England did not disclose any data on the capital impact of IFRS 9, following the recent PRA stress tests, as had initially been expected - although subsequent statements by the central bank signal no overall impact for stress-based capital requirements. However, sources in the capital relief trade market note that the need for managing IFRS 9 volatility .......

    News Analysis 20 December 2017

  • Broad-based recovery underlined

    The global securitisation markets continued their broad-based recovery in 2017, with total issuance reaching about US$850bn-equivalent through November, an increase of 27% over the approximately US$667bn-equivalent recorded in full-year 2016. Volumes have been supported by economic growth and more market participants embracing securitised products in order to diversify funding sources and add yield.

    The US recorded US$478bn in new issue securitisation volume .......

    News Analysis 20 December 2017

  • Risk transfer round-up - 15 December

    Barclays has returned to the capital relief trade market with another Colonnade transaction. Colonnade UK 2017-1 financial guarantee references a £2.6bn corporate portfolio. Under the senior guarantee, Barclays will buy protection for both principal and interest, which is a typical feature of Colonnade transactions (SCI 8 September).

    The deal follows rumours of another corporate risk transfer transaction from Italian lender .......

    News 15 December 2017

  • Job swaps round-up - 15 December

    North America

    Angelo, Gordon has promoted Josh Baumgarten and Adam Schwartz to the roles of co-cio, active 1 January, 2018. Baumgarten is currently deputy cio at the firm while Schwartz is currently head of the company's real estate group in the US and Europe. Michael Gordon will continue in his role of ceo and co-cio.

    Lee Shaiman has been hired as .......

    Job Swaps 15 December 2017

  • Job swaps round-up - 8 December

    EMEA

    Clayton Euro Risk has announced that Tony Ward, ceo and president, and Simon Collingridge, client solutions and strategic delivery director, are leaving the company to pursue other business opportunities.

    CMS has hired Neil Hamilton as partner to its capital markets and derivatives team in London. He joins from Jones Day where he was also partner and boosts the team to .......

    Job Swaps 8 December 2017

  • New investment era embedded

    It has been a banner year for US CLOs, with new issue volumes already topping US$100bn, plus resets and refinancings accounting for a further US$140bn. Not only have risk retention requirements embedded successfully, despite initial concerns regarding their implementation, they have also created new investment opportunities.

    Neil Weidner, partner at Cadwalader, notes that 2017 marks the first year post-crisis in .......

    News Analysis 8 December 2017

  • MMCF CLO debuts

    TCG BDC, formerly Carlyle GMS Finance, has teamed up with Credit Partners USA, a subsidiary of Canadian pension firm PSP, in a US$400m CLO. MMCF CLO 2017-1 is a static middle-market CLO and the first to be serviced by Middle Market Credit Fund (MMCF).

    Fitch and S&P have assigned ratings of triple-A on the US$231.70m class A1 notes, which have a .......

    News 7 December 2017

  • Record post-crisis CRE CLO prepped

    Blackstone Mortgage Trust (BXMT), a Blackstone-owned REIT, is marketing an inaugural US$1bn CRE CLO. Dubbed BXMT 2017-FL1, the transaction is the largest CRE CLO since the crisis and will initially be backed by 31 equally-sized non-controlling interests that are collateralised by 71 properties.

    Moody's and KBRA have assigned provisional ratings of Aaa/AAA to the US$530m class A notes. Only KBRA .......

    News 6 December 2017

  • Job swaps round-up - 1 December

    EMEA

    CBRE has hired Paul Coates as executive director and head of debt and structured finance EMEA. He will report to Richard Dakin, md of CBRE Capital Advisors. Coates was previously md, head of UK real estate finance at RBS.

    North America

    THL Credit co-ceo Christopher Flynn has been named sole ceo of the firm, following the resignation of co-ceo .......

    Job Swaps 1 December 2017

  • US CLOs rising

    US CLO secondary market volumes and pricing levels are once again rising.

    "Overall November has been an up month for CLOs across the board," says one trader. "Secondary spreads remain firm to slightly tighter despite high BWIC volumes."

    The trader continues: "We've seen less auction activity in triple-As but volumes are strong elsewhere, particularly in mezz. With few broader credit .......

    SCIWire 30 November 2017

  • Euro CLOs soften

    Spreads are softening in the European CLO secondary market as liquidity dissipates ahead of year-end.

    "Secondary liquidity has now gone and we're seeing that in new issue too," says one trader. "The market has got weaker over the month, which is primarily due to seasonal factors combined with a bit of high yield nervousness permeating into the CLO space."

    The .......

    SCIWire 30 November 2017

  • Supply/demand imbalance to support spreads

    JPMorgan's latest international ABS investor survey suggests that the current supply/demand imbalance in European securitisation will persist in 2018. Indeed, sentiment appears somewhat surprisingly bullish, despite the significant spread compression seen throughout 2017 and the investment challenges presented by a combination of stretched valuations and limited scalability.

    The JPMorgan ABS Investor Confidence Index - which attempts to quantify survey participants' .......

    News 29 November 2017

  • Job swaps round-up - 24 November

    EMEA

    Alvin Wong has been hired as director at United Overseas Bank (UOB). Previously he was svp at DBS bank where he was involved in structured finance and securitisation transactions.

    North America

    Ally Financial has hired Josh Wilsusen as md for public policy and government affairs. Wilsusen was previously at Morgan Stanley where he was executive director of government relations and .......

    Job Swaps 24 November 2017
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