CLOs

  • Refinancing promises big savings

    Up to US$30bn of US CLO 2.0 deals could be candidates for refinancing this year, with refinancing or repricing potentially saving equity holders 20bp-50bp in liability costs. However, the pace of such activity will depend on factors such as upfront cost and secondary CLO paper providing competition for buyers.

    Individual tranche refinancing or repricing options began with the arrival of .......

    News 12 March 2014

  • Mapping approach reviewed

    S&P is reviewing the methodology it uses when establishing a correspondence table - or mapping - of a third-party institution's internal credit scores to its global rating scale. The objective of the criteria review is to promote transparency on how institutions' internal credit scoring systems can be mapped to the agency's global rating scale.

    The correspondence table is used to .......

    News Round-up 10 March 2014

  • Euro CLO equity performance positive

    European CLO equity cashflows have lagged their US cousins for several reasons, but their prospects continue to improve as credit conditions strengthen in Europe. Average returns increased last year and the broader economic recovery is yet to be fully factored in.

    JPMorgan CLO strategists analysed 213 European CLO equity tranches issued from 1999 to 2011, representing around €10.9bn in original .......

    News 6 March 2014

  • Wake-up call

    Euro CLO idiosyncratic risks emerging

    Vivarte's decision to suspend payments on its debt (SCI 18 February) has served as a wake-up call regarding tail risk in European CLO portfolios. While further spread tightening is anticipated across the 2.0 capital structure (notwithstanding current macro concerns), investors are likely to be more selective in 1.0 paper, given emerging idiosyncratic risks.

    Daniel Leiter, an executive director in fixed .......

    News Analysis 5 March 2014

  • Euro CLO 2.0s becoming effective

    Fitch's latest CLO Tracker report includes five European CLO 2.0 transactions with over €1.8bn in assets under management, indicating that the process of new issuance replacing older transactions as they exit their reinvestment period is underway. Of the Fitch-rated CLO 1.0 universe, 70% are now through their respective reinvestment periods and the average senior note factor has decreased to 68% .......

    News Round-up 4 March 2014

  • CLO equity continues excelling

    US CLO equity is one of the few remaining fixed income products offering high carry. The segment posted an average cashflow return of 25% last year across 463 deals.

    Based on a cashflow study and prices of US equity tranches, JPMorgan CLO analysts note that average total return last year was 8.2% for US 1.0 equity and 16.1% for 2.0 .......

    News 28 February 2014

  • CLO tail risk approach unveiled

    Moody's has updated its approach to assessing tail-end risk in CLOs that hold long-dated assets. The update - which the agency proposed in a request for comment on 11 December 2013 - will not affect any current CLO ratings.

    Under the new approach, Moody's will consider in its analysis capping ratings at certain time horizons before the maturity of a .......

    News Round-up 28 February 2014

  • Novel BWIC for Euro CLOs

    Yesterday proved to be a busy session for the European CLO secondary market. Amidst the strong supply was what is believed to be the first CLO 2.0 single-B BWIC.

    That 2.0 original single-B list included tranches from Dryden 29 Euro CLO 2013, Richmond Park CLO and St Paul's CLO III, all of which were issued towards the end of last .......

    Market Reports 27 February 2014

  • CLO modelling tool enhanced

    Codean has released Codean CLO Analytics version 4.0, which includes the firm's structuring and rating analyser module SaRA. The service aims to provide investment banks, asset managers and others arranging new CLO transactions with the analytical tools to do so.

    SaRA is a deal modelling tool with over 700 existing CLO deal models as templates to start from. This is .......

    News Round-up 27 February 2014

  • Secondary markets leader joins

    Stream Capital has appointed Fabrice Toledano as director for structured credit in Geneva. He will lead the secondary markets team and focus on CLOs, CDOs and leveraged loans as well credit-linked notes and performance swaps.

    Toledano was most recently responsible for global macro hedge fund investments at Unigestion. He has also worked as a structurer and trader in credit and .......

    Job Swaps 27 February 2014

  • CLO relief in sight?

    The US House Committee on Financial Services held a hearing yesterday on the impact of the Dodd-Frank Act on ABS. Witnesses included representatives from the LSTA, Georgetown University Law Center, Center for Capital Markets Competitiveness, CRE Finance Council and SFIG.

    Testimony addressed Representative Barr's draft legislation on CLOs and Volcker - which calls for grandfathering of all CLOs issued before .......

    News Round-up 27 February 2014

  • CVC hires for middle-market

    CVC Credit Partners has appointed Neale Broadhead as md and portfolio manager in London. He will focus on the origination and execution of European middle-market lending opportunities and report to Tom Newberry.

    Broadhead was most recently at Lloyds, where he helped to establish the mid-market origination team. He has also worked for BNP Paribas and The Industrial Bank of Japan .......

    Job Swaps 27 February 2014

  • Strong portfolio management required

    Approximately US$148bn of CLOs was issued across 93 different managers during a very stable credit environment from January 2010 through December 2013. Fitch notes that credit surveillance and portfolio optimisation are key to sustaining performance if the credit environment worsens, causing an increased default rate for leveraged loans.

    "A changing credit and regulatory environment increases the need of strong portfolio .......

    News Round-up 26 February 2014

  • Spanish sovereign ceiling lifted

    Moody's has raised the maximum achievable rating for Spanish structured finance transactions to A1 from A3, following the upgrade of Spain's government bond rating to Baa2 from Baa3 and its local and foreign currency bond and deposit ceilings to A1 from A3. The move reflects improvements in institutional strength and reduced susceptibility to event risk, the agency says.

    Moody's is .......

    News Round-up 26 February 2014

  • CLO vet joins broker

    Mario Verna has joined Guggenheim Partners in New York as an md in CLO banking. He was previously at Krypton Advisors, where he sourced investors for banks to hedge their loan portfolios through securitisations and risk participations.

    Verna has also worked at Deutsche Bank, where he ran the bank's global securitisation programme, and at Chase and JPMorgan in CLO roles. .......

    Job Swaps 25 February 2014

  • TRACE reprieve for CDOs, CMBS

    FINRA will exclude CDOs, CBOs, CLOs and non-agency CMBS from its proposal to expand TRACE's coverage of securitised products (SCI 5 November 2013). The move comes after SIFMA submitted a comment letter on the proposal to the SEC (SCI 9 January).

    Specifically, CDOs, CBOs, CLOs and non-agency CMBS will not be classified as 'asset-backed securities' (as defined in proposed FINRA .......

    News Round-up 25 February 2014

  • Data transparency offered

    Moody's Analytics has launched a new Structured Finance Portal that is designed to provide enhanced content, increased data transparency and innovative analytics. Initially focusing on CLOs, the service aims to deliver greater operational efficiency by removing the manual process typically associated with normalising and aggregating data.

    "With our new Structured Finance Portal, users will have a clear view into the .......

    News Round-up 24 February 2014

  • Key man replacements made

    Investec Bank has issued key person replacement notices for the Gresham Capital CLO I, II, III, IV and V deals. James Cuby, Steve Torr and Richard Swift join Henrik Malmer as the key persons on the five transactions.

    .......

    Job Swaps 20 February 2014

  • Euro CLO equity in demand

    European CLO investors are becoming increasingly competitive in their search for yield. Equity pieces are particularly well bid at present, as investors reassess default assumptions to acquire paper.

    "Anything with a high yield is very well bid right now. Last week, for example, we saw good equity pieces of bonds such as CONTE 2007-1X and OHECP 2006-1X in the market. .......

    Market Reports 19 February 2014

  • MSHDA case to set precedent?

    The Lehman bankruptcy court in December applied the US Bankruptcy Code's safe harbour for swaps in determining that the provisions of a swap agreement Lehman was a party to with the Michigan State Housing Development Authority (MSHDA), which addressed the calculation of settlement amounts upon termination of the swap, when liquidation provisions fall within the safe harbour. Moody's notes that .......

    News Round-up 18 February 2014

  • CLO refinancing options examined

    Moody's notes in its latest CLO Interest publication that more refinancing options have become available for recent CLO 2.0 transactions. The agency says that the ability to refinance liabilities, either partially or in whole, is credit positive because refinancing enhances the available credit support and offsets the negative effects of loan re-pricings.

    As the non-call periods of most 2011-2012 vintage .......

    News Round-up 18 February 2014
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