CLOs

  • Full-year securitisation league tables released

    SCI has released its latest league tables for bank arrangers in the European and US structured credit and ABS markets. The figures show that in December JP Morgan in Europe and Barclays Capital in the US held on to their top spots. The leaders participated in over €28bn and US$77bn worth of qualifying deals throughout 2010.

    The tables are intended .......

    News Round-up 24 January 2011

  • Boutique nabs CLO trader

    Reggie Fernandez has joined KGS Alpha as a CLO trader. Fernandez most recently worked at Sirona Advisors in the same role. Prior to this, he held positions at Mashreq Bank, Deutsche Bank and UBS.

    .......

    Job Swaps 19 January 2011

  • Balance sheet CLO mapping criteria explained

    Moody's has released its mapping methodology for bank balance sheet CLOs. The new criteria describe the steps involved in establishing correspondence between the agency's rating scale and the internal ratings of a regulated bank.

    Moody's emphasises that both quantitative and qualitative factors will form part of the rating committee decision. In particular, consideration will be given to the mapping statistical .......

    News Round-up 18 January 2011

  • CLOs given a range of performance outlooks

    Moody's 2011 performance outlook for US CLOs is positive, while European balance sheet CLOs and Japanese SME CLOs remain stable. Additionally, the performance outlooks for European SME ABS and SME CLOs have stable to negative outlooks.

    The agency notes that the global economic prospects generally brightened in 2010 following an unprecedented global contraction of 0.9% in 2009. With this uptick, .......

    News Round-up 14 January 2011

  • Hudson CLO transfer confirmed

    Pramerica Investment Management has confirmed that Aladdin Capital Management UK has assigned to the firm its rights and obligations under the collateral management agreement for Hudson CLO I (see SCI 23 December). In addition, two London-based Aladdin employees - Peter Allan and Richard Etheridge - will join Prudential's European leveraged finance team.

    In London, Prudential Fixed Income currently serves as .......

    Job Swaps 11 January 2011

  • CLO investors call for decisive regulatory action

    The new issue CLO market is expected to revive this year as regulations are finalised and arbitrage and liquidity return, according to CLO investors at a recent S&P roundtable. They also expect the investing community to be drawn to collateral managers with good track records and appropriate management styles, while they are divided on the seriousness of the pending maturity .......

    News Round-up 5 January 2011

  • Watch positive for raft of Euro CLOs

    Moody's has placed 53 tranches from 14 European CLOs under review for possible upgrade, impacting around €1.45bn of securities. The agency explains that there may be positive implications of improvement in deal collateral quality metrics since the deals were previously rated, including weighted average rating factor (WARF) and OC levels.

    Improved credit performance of the underlying collateral and favourable market .......

    News Round-up 24 December 2010

  • CLO manager merger announced

    Deerfield Capital (DFR) and Commercial Industrial Finance (CIFC) have merged. The firm will be headquartered in New York and maintain operations in Chicago. Subject to closing conditions, the merger is expected to close in the first part of 2011.

    DFR, through its subsidiaries, Deerfield Capital Management and Columbus Nova Credit Investments Management, is a Chicago-based investment manager with approximately US$9.4bn .......

    Job Swaps 22 December 2010

  • ICM in the frame for CLO transfer

    Resource Europe is proposing to assign all of its rights and responsibilities as collateral manager of Resource Europe CLO I to Intermediate Capital Managers. Consequently, it has requested that the holders of more than 50% of the aggregate of the principal amount outstanding of the notes consent to the proposed assignment by passing a written resolution by 13 December.

    .......

    News Round-up 6 December 2010

  • CLO manager replaced

    Mizuho Alternative Investments is set to assign its collateral management duties for Mountain Capital CLO III, IV, V and VI to Carlyle Investment Management as replacement collateral manager. Moody's has been informed that all requisite consents and approvals have been received and conditions to closing have been satisfied.

    The agency confirms that the current rating of any class of notes .......

    News Round-up 3 December 2010

  • Wood Street CLOs retranched

    The class A-1 notes of Wood Street CLO III (rated double-A plus by S&P) and IV (triple-A) have been retranched to form the triple-A rated Metropolis II €138.6m series 2010-10 and €241.6m series 2010-11 transactions respectively. The notes are supported by unrated €46.26m and €60.47m class B deferrable tranches respectively.

    .......

    News Round-up 3 December 2010

  • Moody's set to reduce CLO stress factors

    Given the improved corporate credit outlook and reduced macroeconomic uncertainty, Moody's is reviewing the level of stress it applies to its default probability assumptions when rating CLOs. The agency now expects to reduce the stress factor - currently set at 30% - upon the conclusion of its review. Additionally, adjustments to certain parameters in the CLO model will be made.

    News Round-up 3 December 2010

  • CypressTree sale closed

    Primus Guaranty has completed the sale of CypressTree Investment Management (SCI passim) - its third-party asset management subsidiary - to Commercial Industrial Finance (CIFC). Berkshire Capital Securities acted as advisor to Primus on the sale of the CLO business.

    Primus Guaranty's credit protection business - which consists of Primus Financial Products' US$11.8bn portfolio of credit default swaps - is not .......

    Job Swaps 2 December 2010

  • CLO vet joins investment manager

    Generation Investment Management has appointed Mike Ramsay as partner in its London office. Ramsay's role will include developing an investment platform and strategy to help clients with global credit investments.

    Ramsay was previously at The Carlyle Group, most recently as global head of leveraged finance. In his time at the company, he established and ran the firm's European leveraged finance .......

    Job Swaps 2 December 2010

  • Gresham CLO restructured

    The class A1 note of Gresham Capital CLO 1, which carried a double-A plus rating, has been retranched and renamed Metropolis II series 2010-8. S&P has assigned the new €50.6m class A notes a triple-A rating, while the new €12.65m class B deferrable notes are unrated. The new rating reflects the expected level of credit support in the form of .......

    News Round-up 29 November 2010

  • US CLOs on review for upgrade

    Moody's has placed the ratings of 225 tranches from 103 US CLOs under review for possible upgrade. The rating actions consider the positive implications of improvement in certain deal collateral quality metrics since the time of the previous rating actions, including WARF, OC levels and/or exposure to defaulted and Caa-rated assets.

    Moody's also took into account the improving fundamental corporate .......

    News Round-up 24 November 2010

  • Indian MFI CLO risks analysed

    Fitch has issued a report highlighting risks in Indian microfinance securitisations, providing an insight into the key risk factors in these transactions. In the absence of suitable mitigants to such risks, these deals are unlikely to receive the highest long- or short-term ratings, the agency says.

    Deep Mukherjee, Fitch director of structured finance, explains: "The intricate servicing arrangements, coupled with .......

    News Round-up 16 November 2010

  • US CLO concentrations trend higher

    The concentrations of corporate obligors in US cashflow CLOs rose slightly between the second and third quarters of 2010, according to S&P's latest CLO Exposure Report.

    "The top 100 corporate names accounted for 37% of the total balance of cashflow CLO collateral in the third quarter, up marginally from 36% in the second quarter," says S&P analyst Ramki Muthukrishnan. "The .......

    News Round-up 16 November 2010

  • Positive credit watch for US CLOs

    S&P has placed its ratings on 415 tranches from 146 US corporate CLO transactions on credit watch with positive implications. The affected tranches have a total issue amount of US$39.08bn.

    The performance of the speculative grade corporate credit environment has improved in recent quarters, S&P notes, which has consequently improved the collateral quality of US CLOs. With no leveraged loan .......

    News Round-up 9 November 2010

  • GSC auction completed

    Black Diamond Capital Management and its affiliate Black Diamond Commercial Finance (BDCF) have entered into a definitive agreement to acquire the investment management business and related assets of GSC Group. Subject to other required approvals, Black Diamond says it expects that the sale will be approved by the US Bankruptcy Court for the Southern District of New York at a .......

    Job Swaps 1 November 2010

  • CLO amendments to improve recoveries

    Noteholders have consented to a suite of amendments to the documentation in three Heat Mezzanine SME CLOs. Moody's expects the amendments to improve the recoveries on the underlying subordinated loans.

    Included in the amendments are proposals to: extend the legal maturities by a further four years; remove the need for trustee consent to restructure the subordinated loan agreements or commence .......

    News Round-up 1 November 2010
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