CLOs

  • CLO team formed

    Lupus Alpha has expanded its team with the addition of four members from Main First Asset Management. Norbert Adam, Klaus Ripper, Michael Hombach and Stamatia Hagenstein will form a specialised fund management team in January, focused on CLOs. Lupus Alpha intends to issue several CLO strategies for institutional investors, as well as policy-compliant mutual funds.

    .......

    Job Swaps 21 November 2014

  • Eclectic list fails to trade again

    A large proportion of the re-issued large eclectic BWIC of European assets from a bad bank (SCIWire passim) has failed to trade.

    The 37 line €276.502m auction was due at 14:00 London time today. However, 29 lines did not trade, including all of the SME CLOs on the list and all bar one of the CDOs.

    The bonds that did .......

    SCIWire 19 November 2014

  • Strong forecast for Asia

    Credit quality across the Asian securitisation and covered bond markets will remain strong overall in 2015, says Moody's. This is due to relatively healthy economic growth levels and falling corporate default rates in the region.

    Chinese auto loan ABS default and delinquency rates are expected to rise from 7.3% in 2014 to 7% in 2015, due to projected slower GDP .......

    News Round-up 19 November 2014

  • US CLOs get ahead

    US CLO market participants are looking to capitalise on this week's healthy BWIC volumes in advance of the usual Thanksgiving lull.

    "Everyone is looking to get ahead of the likely holiday slowdown next week," says one trader. "Volumes are strong if not at recent highs, but there is activity and interest across the board."

    In particular, the trader cites investor .......

    SCIWire 19 November 2014

  • Quiet CLO market looks ahead

    The European CLO market has remained quiet over the last week. A sizable list due to trade on Wednesday could liven it up.

    "It has been really quiet again," says one trader. "We have been looking increasingly at US paper because the supply in Europe has been weak."

    A lot of the reduced activity in Europe's markets has been attributed .......

    Market Reports 17 November 2014

  • ECB wait continues

    While most of the market is waiting for the ECB, a European CLO list of non-eligible paper has been announced for the middle of the week. "That is a mixed bag from a legacy seller; it is not the kind of paper we normally look at, but it could be interesting," says one trader.

    Beyond that, the trader suggests BWIC .......

    SCIWire 17 November 2014

  • Europe stays patchy

    European core and peripheral bonds across deal types continue to trade well where they do trade, but activity remains patchy and looks set to carry on that way.

    "It's very quiet and I think it's more than just people waiting on the ECB," says one trader. "A lot of trading desks have essentially closed for the year and are not .......

    SCIWire 14 November 2014

  • European eclectic list circulating again

    A 37 line €276.502m BWIC is circulating for trade next Wednesday at14:00 London time. The list incorporates a wide range of assets - ABS, CDOs (including Trups and CFO deals), CLOs, CMBS and RMBS - many of which appeared on an eclectic list where most items failed to trade on 17 September.

    There are two ABS deals on the list .......

    SCIWire 13 November 2014

  • Euro CLO overlap examined

    Morgan Stanley structured credit strategists have analysed European CLO 2.0 collateral, focusing on issuer overlap and tail risks across portfolios. They find that although European managers are more constrained than their US counterparts in sourcing collateral, the overall quality of CLO portfolios is stronger than the broader loan market.

    The analysis suggests that the average overlap for European deals is .......

    News Round-up 13 November 2014

  • CLOs transferred in-house

    BNP Paribas has assigned its investment manager obligations for the Kintyre CLO I and Gillespie CLO transactions to BNP Paribas Asset Management. The novation deeds received the consent of 100% of the noteholders. Moody's has confirmed that the move will not affect the current ratings of the notes.

    For information on other recent CDO manager transfers, see SCI's Job Swaps 13 November 2014

  • More of the same for European ABS/MBS

    The European secondary markets remain fixated with the ABSPP and so expectations are for the same trading patterns to continue until the buying starts.

    Yesterday saw a more active day than of late in European ABS/MBS but the end result was once again spread tightening in ECB-eligible paper. Today looks to be slightly busier still, but little else is expected .......

    SCIWire 13 November 2014

  • US CLO equity robust

    It's been a strong morning for the US CLO market with equity pieces in particular trading robustly.

    Traders report that equity slices offered on BWIC today so have primarily traded well. "The generic optionality trade for 1.0 equity in particular is there," says one trader. "Such pieces are actively being sought after and people are bidding aggressively."

    Consequently, the equity .......

    SCIWire 12 November 2014

  • Business development exec hired

    Highland Capital Management has hired Felicia Smith as md. Smith joins Highland's business development team and will be responsible for identifying and developing new relationships with institutional clients. In particular, she will focus on raising assets for the company's CLO and credit platforms.

    Smith arrives from Santander Consumer USA (SCUSA), where she served as vp of capital markets. In this .......

    Job Swaps 12 November 2014

  • Europe shaking off its slumber?

    European secondary markets are attempting to shake off their pre-ABSPP slumber this morning with activity and interest being seen across asset classes.

    After a quiet couple of days, traders report increased investor buying interest in both core and peripheral CMBS and RMBS. "Everything feels a bit more pro-active today and we've moved a bit tighter as a result," says one.

    SCIWire 12 November 2014

  • Trade date strategies examined

    A number of CLO 2.0 deals are reporting a negative principal cash balance to reflect the purchases that CLO managers have entered, but have not yet settled. Morgan Stanley CLO strategists note that this is possible because many transactions are managed on a trade date basis, whereby acquisitions of loans are recorded on the date when the trade is entered, .......

    News Round-up 12 November 2014

  • CLOs get under way

    The week gets fully under way in the CLO space today with eight BWICs already scheduled either side of the Atlantic.

    Today's auctions see 42 line items totalling 243.9m in original face. Tranches from all areas of the capital structure are represented, so it is perhaps fitting that the day begins with a triple-A list and ends with some equity pieces .......

    SCIWire 12 November 2014

  • Manager variation emerging

    Aggregate performance of US CLOs remained stable last quarter, though differences are starting to emerge across individual deals and how they are being managed, according to Fitch's latest quarterly index for the sector. Roughly two-thirds of CLOs included in the index in Q2 either built or maintained par over the previous quarter, with the remainder seeing a par loss over .......

    News Round-up 7 November 2014

  • Triple-As today

    Amid a reasonably busy day for CLO BWICs either side of the Atlantic today, two triple-A European CLO auctions due this afternoon are currently dominating traders' attention.

    A ten line €20.9m list is due at 13:00 London time. It consists of: CRNCL 2006-1X A2, DUCHS VII-X A1, EGRET I-X A, EUROC VI-X AT, GSCP I-RX A1, HYDEP 1A A1, HYDEP .......

    SCIWire 6 November 2014

  • US CLO buyers hold sway

    The US CLO market is being driven by buyers rather than sellers so far today.

    "We're seeing a few small sellers, but it's very light volume today," says one trader. "Instead it's mainly about buyers and they are looking for 1.0 deals with a high coupon and coming with a strong bid. Holders appear to be happy to sell into .......

    SCIWire 5 November 2014

  • Euro CLO schedule picks up again

    After a relatively quiet couple of days this week, the European CLO BWIC schedule picks up again today with 21 line items across five lists due so far.

    First up at 14:00 London are six euro-denominated tranches totalling €35m - ALPST 2A A2, ALPST 2X E, HARVT II-X C1, NWEST IX II, NWEST IX IVB and QNST 2007-1X D. None .......

    SCIWire 5 November 2014

  • Eurozone deflation would have mixed impact

    A deflationary eurozone environment would have a moderate overall impact on EMEA structured finance, with weaker borrowers under earnings pressure and those facing refinancing risk most exposed, according to Fitch. CMBS could face the greatest downgrade pressure under deflation, with falling nominal rents combining with a spike in maturities in 2015/2016 under this scenario. However, accommodative monetary policy should mitigate .......

    News Round-up 4 November 2014
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