CLOs

  • US RMBS slows further

    Activity in the US non-agency RMBS secondary market has slowed still further after last week's dip in volume.

    "As is the case with other sectors, it's been very slow this week and today there is barely over $300m current face in for the bid - extremely low for a Thursday," says one trader. "It seems we've hit full summer a .......

    SCIWire 25 June 2015

  • Euro CLOs weaken

    European CLO secondary market activity and prices are weakening.

    "The market has become illiquid as we run in to half-year end," says one trader. "Plus obviously the volatile headlines surrounding Greece haven't helped."

    The illiquidity has softened prices across vintages, the trader says. "We've seen a weakness in client activity and interest across the capital structure in 1.0 paper. At .......

    SCIWire 25 June 2015

  • CDO Monitor guidance released

    A new S&P report provides guidance on how to form an example spreadsheet that incorporates the formulas used in its new non-model CDO Monitor approach. The non-model CDO Monitor is used by CLO collateral managers and trustees to provide an indication as to whether portfolio changes are generally consistent with the parameters the agency assumes when initially assigning ratings to .......

    News Round-up 25 June 2015

  • Euro CLO calls gather pace

    European CLO calls are gathering pace (SCI 30 April), with five redemption notices issued in the last month alone, including the first for a CLO 2.0 deal. This brings 2015 redemptions to €1.9bn across 13 transactions, compared to 14 redemptions seen in 2013 and 2014 combined, according to Deutsche Bank figures.

    So far in June, redemption notices have been issued .......

    News Round-up 25 June 2015

  • US CLOs improve

    Sentiment in the US CLO secondary market looks to be improving.

    "Yesterday the tone was a little better, though 50% of the mezz in for the bid DNT'd," says one trader. "BWICs keep coming but we're not seeing anything significant to raise the flag that forced selling is underway. In fact, the lists that are trading are not from fast .......

    SCIWire 24 June 2015

  • Rates impact 'largely credit neutral'

    Moody's expects rising short-term interest rates in the US to have varied credit effects on new and existing mortgage-backed, asset-backed and other securitisations. The agency suggests that rising rates will be credit negative for CMBS and largely credit neutral for most consumer and commercial ABS sectors, RMBS and CLOs.

    For newly originated loans backing CMBS deals, rising interest rates are .......

    News Round-up 24 June 2015

  • Opportunity knocks

    ECB presence expanding ABS investor mandates

    The ECB's ABSPP was a hot topic at IMN's 2015 Global ABS Conference, as it continues to exert downward pressure on European securitisation spreads. Panellists noted an expanding mandate among many investors, with relative value opportunities shifting towards the UK non-conforming RMBS and European CLO sectors.

    Jefferies md Craig Tipping pointed to a shift in investor mandate when he admitted .......

    News Analysis 24 June 2015

  • US CLOs still soft

    Tone in the US CLO secondary market has remained soft into this morning's open, but that could change later today as the BWIC calendar cranks up once more.

    "There has been a degree of illiquidity and it's hard to say where it's coming from - it could be Greece, it could be the Fed," says one trader. "There is no .......

    SCIWire 23 June 2015

  • Spanish SME CLOs scrutinised

    Scope Ratings has published a research report that compares and contrasts a pair of Spanish SME CLOs it recently rated - FTA PYMES SANTANDER 10 and FTA PYMES SANTANDER 11. In particular, PYMES 11 is backed by weaker obligors than PYMES 10, yet has been assigned a lower mean lifetime default rate.

    In terms of Santander's internal probabilities of default, .......

    News Round-up 23 June 2015

  • Default rate hits post-crisis low

    The default rate for global structured finance securities rated by S&P fell for the third successive year to 4.2% in 2014, the lowest level since 2008. The downgrade rate also declined to an eight-year low of 10% in 2014, while the upgrade rate increased to 8.4%.

    "Overall global structured finance credit quality declined again in 2014, with the number of .......

    News Round-up 23 June 2015

  • Euro secondary turns positive

    The European securitisation secondary markets are taking a positive turn albeit at a statelier pace than broader markets.

    "Sentiment is a little bit better though our markets are slower to come back than others," says one trader. "Spreads haven't moved much this week so far, but are slightly tighter since Barcelona and there's definitely more liquidity around."

    Activity remains patchy, .......

    SCIWire 23 June 2015

  • US CLOs ease back in

    The US CLO secondary market looks to be easing its way into this week.

    After a surprisingly active week last week in terms of the number of bonds in for the bid despite significant absences due to Barcelona, the start of this week appears more circumspect. Last week's high proportion of DNTs and weakening tone proved little other than the .......

    SCIWire 22 June 2015

  • CLO investment disclosed

    Fair Oaks Income Fund has entered into binding contracts to acquire in the primary market US$26.4m notional of equity notes of Neuberger Berman CLO XIX. The purchase represents 75% of the transaction's total equity.

    The CLO's current target portfolio has a principal value of US$400m across an expected 160 unique bank loan issuers, with an expected weighted average exposure per issuer .......

    Job Swaps 22 June 2015

  • CLO structurer brought in

    A former GreensLedge director has moved to Deutsche Bank to take up a CLO structuring role in London. Nikunj Gupta replaces Peter Melichar, who left to join Jefferies (SCI 5 June).

    Gupta spent more than two years at GreensLedge, where his key focus was CLO structuring. He has also worked for UBS and Bank of America Merrill Lynch in indices .......

    Job Swaps 19 June 2015

  • US CLOs ticking over again

    After yesterday's pause the US CLO secondary market is ticking over again today with the auction schedule picking up once more.

    Yesterday saw two US CLO BWICs where nine line items out of 15 did not trade. Of the lines that did trade one had no colour released but the others all traded at or around talk, albeit with current .......

    SCIWire 18 June 2015

  • Anchorage closes 'unique' deal

    Anchorage Capital Group's newest deal - Anchorage Credit Funding 1 - has a number of unique structural features, notes Moody's. These are largely included to mitigate the additional risk brought by its ability to buy a significant amount of non-first lien senior secured loan assets.

    Anchorage Credit Funding 1, which closed last week, must buy a minimum of only 35% .......

    News Round-up 18 June 2015

  • US CLOs take a pause

    After a flurry of BWICS over the past two days the US CLO secondary market now looks to be taking something of a pause until participants return from Barcelona.

    "We're at last seeing a pause in the BWIC frenzy of the past few weeks with the large number of sellers putting real pressure on buyers," says one trader. "As a result spreads .......

    SCIWire 17 June 2015

  • Euro CLO retail exposure 'positive'

    The selective retail exposure of European CLO 2.0 deals is credit positive, says Moody's. While European CLO 2.0 exposure to retail is only 4.63% of collateral, two-thirds of that is exposure to UK, German or Dutch retail.

    The rating agency includes the non-durable consumer goods sector in the retail category. A preference for retail credits in more economically stable countries .......

    News Round-up 17 June 2015

  • CLO recovery rates compared

    S&P has published a case study on recovery rates in European CLOs, following the incorporation of additional information on loan recoveries into its analysis of CLO transactions (SCI 4 August 2014). In the analysis, the agency considered the top 100 publicly-rated obligors with the highest exposure in 25 European CLO 2.0 deals it rates.

    S&P found similarities between the weighted-average .......

    News Round-up 17 June 2015

  • Successful ED project 'requires support'

    While the European DataWarehouse (ED) has continued to make strides over the last 12 months, data shortcomings in the market which are beyond the ED's power to address threaten to derail further progress. For this reason, it may be necessary for the ED's mandate to be expanded.

    The ED tracks loan-level data for 890 deals, backed by more than 40 .......

    News 16 June 2015

  • Trustee enhances online platform

    US Bank Global Corporate Trust Services has enhanced its online platform, Pivot, by expanding access to CLO managers that outsource middle office services. The platform will attempt to help these clients gain cost efficiencies and improve the process of managing their loan portfolios.

    US Bank's middle office group expects to grow its presence as a result of this upgrade. The .......

    News Round-up 16 June 2015
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