CLOs

  • Analytics portal strengthened

    Moody's Analytics is expanding the coverage of its Structured Finance Portal to include auto, credit card and student loan ABS. The service offers innovative content and analytics, delivered in real-time in an easy-to-use web-based format.

    Initially focused on CLOs, the portal includes loan-level data to show which deals and managers are most exposed to a loan and who has been .......

    News Round-up 23 September 2014

  • Quiet start to the week for BWICs

    After last week's high levels of list-based activity this week's BWIC schedule looks very light. However, auction volume is expected to rise after the close the ABS East conference on Wednesday.

    There are no BWICs currently scheduled for today and just two European MBS lists for tomorrow. CLOs on either side of the Atlantic are not slated to return until .......

    SCIWire 22 September 2014

  • Euro 'chips off the table'

    Both the primary and secondary European markets have been busy recently as the market continues to benefit from the ECB bounce. However, there has also been an increase in the number of DNTs on BWICs as an element of caution creeps into the market.

    "Since the ECB's announcement the European market has really picked up. What we have seen over .......

    Market Reports 19 September 2014

  • Equity tranches do not trade

    Yesterday there were two euro CLO equity tranches catching traders' attention (SCIWire 18 September). The first was a €1m piece of DUCHS IV-X F and the second was a €950,000 piece of EUROC V-X SUB.

    While the €1m piece of the DUCHS tranche came back as a DNT, a smaller €150,000 piece was successfully covered in the very high-20s. Price .......

    SCIWire 19 September 2014

  • CLO principal losses to stay low

    The cumulative number of CLO tranches which have incurred principal losses has remained low since 2012 and should continue to remain low, says Moody's in its latest CLO Interest publication. In 2012 Moody's found 59 tranches in 31 CLOs which had incurred or were likely to incur principal losses. In the time since then there have been a further four .......

    News Round-up 19 September 2014

  • BlackRock adds PM

    Aly Hirji has joined BlackRock in London as a portfolio manager, working on leveraged loans. He was previously a partner at New Amsterdam Capital and has also worked at JPMorgan.

    .......

    Job Swaps 19 September 2014

  • Dim Sum ABS mooted

    Moody's notes in its China Securitisation Compendium that, with the majority of recent Chinese issuance being CLOs and auto ABS, market participants are considering other asset types for securitisation. These include credit card and equipment receivables - both big ticket items (such as leases backed by aircraft and large machinery) and small ticket items (such as small equipment and auto .......

    News Round-up 18 September 2014

  • Barr Bill back in contention?

    The US House of Representatives has passed a bill which includes the Barr Bill and three others. The Barr Bill was originally passed in April (SCI 30 April), yet while its reintroduction demonstrates continued support for it, the Senate is still not expected to agree to pass the bill.

    The Barr Bill would provide some Volcker Rule relief for CLOs. .......

    News Round-up 18 September 2014

  • Mixed CLO BWICs

    Yesterday's triple-A CLO BWIC lists traded well either side of the Atlantic, but elsewhere results were more mixed with plenty of DNTs, notably none of the dollar equity tranches on offer traded. Nevertheless there is heavy supply again today with ten euro and US CLO lists scheduled.

    Those lists cover a broad mix of CLOS from all parts of the .......

    SCIWire 18 September 2014

  • Regulatory requirement

    Call for scrutiny under risk retention originator route

    European CLO and RMBS issuers are increasingly adopting the originator route under the Capital Requirements Regulation to satisfy risk retention rules. While the flexibility provided by this approach appears to be attracting external capital to the market, scrutiny of both the owner and substance of risk retention is recommended to ensure sufficient alignment of interest between sponsors and investors.

    The .......

    News Analysis 18 September 2014

  • No demand for eclectic list

    The 40 line €185m eclectic BWIC list of ABS, CDOs, CFOs, SME CLOs, CMBS and RMBS failed to find investor demand this afternoon with 32 of the bonds on offer not trading.

    A further six bonds were only revealed to have traded - BBVAR 2007-2 A2, BCJA 5,CSTNA 2007-1 A, DEKAE II-X E, EMERM 4 B and SANFI 2006-1 E. .......

    SCIWire 17 September 2014

  • Triple-A days

    The past week has seen healthy demand in triple-A CLOs in Europe, particularly as a result of the ABSPP announcement, but high grade paper has also been trading strongly in the US. To feed that demand there is one triple-A CLO list out for bid later today and four scheduled for tomorrow.

    At 13:00 New York time today, as part .......

    SCIWire 16 September 2014

  • Eclectic euro list circulating

    The market's continuing appetite for all things European seemingly irrespective of deal type could meet its match tomorrow with a large eclectic BWIC list currently circulating. The 40 line €185m list due for trade at 14:00 London time includes ABS, CDOs (including ABS CDOs, CBOs and Trups CDOs), CFOs, SME CLOs, CMBS and RMBS.

    Talk appears to be thin on .......

    SCIWire 16 September 2014

  • Negative correlation offers diversification

    US consumer ABS spreads are wider and more volatile in the post-crisis period. However, a recent Wells Fargo study of the distribution of correlation coefficients indicates a less correlated and more diversified market than in the past.

    ABS strategists at the bank calculated correlation coefficients for a variety of ABS sector pairs. For the 2004-2007 period, 90% of the correlation .......

    News 16 September 2014

  • Euro CLOs enjoy ECB boost

    The 'ECB effect' is pulling European CLO spreads tighter, with BWICs last week trading very well. Further bid-lists are scheduled to trade today and tomorrow, with good execution expected again.

    "Last week really exceeded expectations because bid-lists were trading at very good levels. Significant tightening was seen on the back of the ECB's recent purchase programme announcement," says one European .......

    Market Reports 16 September 2014

  • Peripheral mezz list circulating

    With European peripheral and mezzanine paper in demand it was only a matter of time before a BWIC capitalising on both aspects would appear. There is now a nine line peripheral mezzanine list doing the rounds for trade tomorrow at 15:00 London.

    The €25.2m list contains two CLOs and seven RMBS most of which are rarely seen bonds - only .......

    SCIWire 15 September 2014

  • European CLO demand continues

    European CLOs continued to attract strong bids today as the demand for paper seen all week carried over into this morning.

    That appetite was evident with the market's sole BWIC today at 10:00 London. The six line €9.75m list covered at or above talk except for CELL 2006-1X C, which was only shown as 'traded' with no price colour.

    There .......

    SCIWire 12 September 2014

  • Strong trading in European CLOs

    As expected, the three European CLO BWICs due today all traded strongly. However, bilateral trading doesn't appear to have been completely overshadowed by the BWIC activity.

    All bar one item on the three BWIC lists, JUBIL IV-X D1, traded. The single line AVOCA VII-X A3 list and the majority of the other bonds traded at or above talk levels.

    At .......

    SCIWire 11 September 2014

  • Increase in WARR 'fairly consistent'

    A recent Morgan Stanley study suggests that investment grade CLO tranches could benefit from an average uplift in weighted average recovery rate (WARR) of over 3.3%, following S&P's incorporation of additional information on loan recoveries into its analysis of CLOs (SCI 4 August). The average uplift for double-B rated bonds is 2.7%, but remains unchanged for the single-B and triple-C .......

    News Round-up 11 September 2014

  • Testing time for US CLOs

    The US CLO BWIC machine grinds on today with five lists scheduled so far. However, with almost a third of the bonds that covered on PriceABS yesterday not trading, today will be a test of market appetite or at the very least seller expectations.

    The five lists cover tranches from across the capital structure totalling just over $128m in 13 .......

    SCIWire 11 September 2014

  • CLO equity distributions to increase?

    On average, 2011-2013 vintage US CLOs have paid dividends of 5.1%-5.6% since inception, according to Wells Fargo figures. Equity distributions have generally trended downwards since 2011, as loan spreads tightened in 2012 and 2013, but are expected to stabilise or possibly increase over the next few quarters due to the recent loan market sell-off.

    The Wells Fargo data shows that .......

    News Round-up 11 September 2014
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