CLOs

  • Lloyd's ILS platform unveiled

    Sector developments and company hires

    Lloyd’s ILS platform unveiled
    Lloyd's has established London Bridge Risk PCC, the first UK ILS structure to be approved by the PRA for use for multiple, market-wide transactions for Lloyd's members. Clifford Chance worked with Lloyd's and the regulators to devise a structure and set of market standard template documentation with flexibility to accommodate a range of individual investment models and .......

    Market Moves 14 January 2021

  • Ocwen, CFPB mediation unresolved

    Sector developments and company hires

    Ocwen, CFPB mediation unresolved
    Ocwen Financial Corporation has issued a statement expressing its disappointment that settlement discussions with the CFPB have not been resolved (SCI 21 April 2017). The move is in response to the mediator’s notice that the company’s court-ordered mediation with the bureau has concluded, after the parties were unable to reach a settlement.

    The company .......

    Market Moves 12 January 2021

  • Landmark Pan-Asian ILS launched

    Sector developments and company hires

    Landmark Pan-Asian ILS launched
    MS Amlin Underwriting has launched Phoenix 1 Re, the first locally issued ILS to provide capacity to a local cedant, solely focused on the Pan-Asia region. The special purpose reinsurance vehicle (SPRV) is domiciled in Singapore and provides US$42m of collateralised capacity to support MS Amlin Syndicate 2001’s Asia reinsurance portfolio through its Singapore-based underwriting platform.
    Phoenix .......

    Market Moves 11 January 2021

  • RFC issued on GSE living wills

    Sector developments and company hires

    RFC issued on GSE living wills
    The US FHFA is seeking comment on a notice of proposed rulemaking that would require Fannie Mae and Freddie Mac to develop resolution plans (or ‘living wills’) that would facilitate a rapid and orderly resolution, should the authority have to be appointed their receiver under the Housing and Economic Recovery Act of 2008. The .......

    Market Moves 24 December 2020

  • RBS settles RMBS claims

    Sector developments and company hires

    RBS settles RMBS claims
    The securities division of Maryland Attorney General Brian Frosh has entered into an US$18m settlement with RBS Financial Products, resolving claims that RBS misled investors in its issuance and underwriting of financial crisis-era RMBS. RBS offering documents for these transactions made representations that the underlying loans generally complied with the lender’s underwriting guidelines and applicable laws, .......

    Market Moves 23 December 2020

  • Romanian NPE deal sealed

    Sector developments and company hires

    Romanian NPE deal sealed
    National Bank of Greece (NBG) has entered into an agreement with Bain Capital Credit for the disposal of a Romanian-risk corporate non-performing loan portfolio. Dubbed Project Danube, the transaction has a total GBV of circa €174m (€102m of allocated collateral value).

    The deal is being implemented in the context of NBG’s NPE deleveraging strategy and .......

    Market Moves 22 December 2020

  • Secondary supply

    Euro ABS trading set to dominate

    European ABS secondary spreads have completed a three-quarter circle from their coronavirus-related spike in March, relative to their tightest levels observed in February. The market saw a notable rise in trading volumes, following the coronavirus shock, with secondary activity expected to dominate in the early part of 2021.

    “There has been significant BWIC activity in the last few .......

    News 22 December 2020

  • Issuance forecasts lowered on TFSME extension

    Sector developments and company hires

    Issuance forecasts lowered on TFSME extension
    The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.

    JPMorgan international ABS analysts expect eligible banks and .......

    Market Moves 18 December 2020

  • Margin call

    CLO equity arbitrage doubts raised

    CLO new issuance is once again flourishing as the arb continues to improve, but the pick-up in volumes could yet prove to be premature. New investment performance data suggests current criteria are underestimated and also reveal a disparity between European and US returns.

    “The market thinks a net collateral interest margin of 150bp (including management fees) is enough to make .......

    News Analysis 18 December 2020

  • CLO manager transfers accelerate overlap

    Sector developments and company hires

    CLO manager transfers accelerate overlap
    When managers acquire CLOs, the underlying portfolios become more like the existing portfolios of the acquiring manager, according to a new report from Fitch.

    During 2020, Fitch noted four CLO contract changes, two platform sales and two ownership changes. The contract sales this year were Crestline Denali’s sale of CLO management contracts to Ares .......

    Market Moves 16 December 2020

  • CLO liquidity complexity examined

    Sector developments and company hires

    CLO liquidity complexity examined
    CLO secondary market activity is booming across the board, but the underlying liquidity picture is a complex one, according to a new report by JPMorgan CLO research analysts.

    CLO BWIC trading volume has already reached an all-time annual high in 2020 at US$48.1bn for the US and €11.7bn for Europe, the JPMorgan report says. However, it adds .......

    Market Moves 11 December 2020

  • Disclosure charges settled

    Sector developments and company hires

    Disclosure charges settled
    BlueCrest Capital Management has agreed to pay US$170m to settle US SEC charges concerning inadequate disclosures, material misstatements and misleading omissions. These charges concern the firm’s transfer of top traders from its flagship client fund, BlueCrest Capital International (BCI), to BSMA Limited, a proprietary fund, and replacement of those traders with an underperforming algorithm. The SEC’s order .......

    Market Moves 9 December 2020

  • Real return

    Money managers unlikely to be able to resist CLOs

    The rapid Covid-driven blow-out in US CLOs, followed by an equally dramatic reverse, wrong-footed many real money managers and skewed their perception of the sector’s risk-reward profile. Consequently, some have been hesitant to return to the market. But, as 2021 approaches, many will re-join investment managers that didn’t step away, along with new investors all seeking the returns they .......

    News Analysis 9 December 2020

  • ADI securitisation review underway

    Sector developments and company hires

    ADI securitisation review underway
    The Australian Prudential Regulation Authority is undertaking a review of securitisation practices, having recently identified repurchased residential mortgage loans at some authorised deposit-taking institutions that were subject to repayment deferral from their securitisations. In APRA’s view, this represents implicit support, which is inconsistent with Prudential Standard APS 120 Securitisation. APS 120 requires ADIs to be clearly .......

    Market Moves 8 December 2020

  • CMBS value deficiencies compared

    Sector developments and company hires

    CMBS value deficiencies compared
    DBRS Morningstar has identified US$9.79bn in US CMBS loans transferred to special servicing since March, whose collateral was subsequently reappraised. Although updated appraisals on properties backing these loans suggest an average value decline of 24% since origination, only about 17% have a loan-to-value ratio of 100% or higher, resulting in a value deficiency. The analysis also .......

    Market Moves 7 December 2020

  • Leveraged finance: stepping into the void

    Contributed thought leadership by Ocorian

    As funds continue to reallocate capital to direct lending strategies, Sinead McIntosh, business development director at Ocorian, a global leader in corporate and fiduciary services, fund administration and capital markets, highlights the crucial role of independent loan service providers in streamlining fund loan portfolios

    In a continuation of the legacy of the 2007-2008 global financial crisis, large commercial banks .......

    Talking Point 7 December 2020

  • Pre-pandemic trends persist for US CLOs

    Sector developments and company hires

    Pre-pandemic trends persist for US CLOs
    Pre-pandemic trends in US leveraged lending - including high leverage, weak covenants and declining recoveries - resumed by 3Q20 and should continue into 2021, absent a renewed downturn, according to Moody’s. Consequently, the agency expects that in 2021 US CLOs will include structural features for maintaining loan workout and trading flexibility to help manage .......

    Market Moves 2 December 2020

  • Tech solution

    Peter Jasko, ceo at Semeris, answers SCI's questions

    Q: How and when did you become involved in the securitisation market?

    A: Semeris launched last month (SCI 4 November), but I started getting involved in securitisation and CLOs in particular in 2001. I had been involved in the credit derivatives market for a couple of years prior to that, looking at basket trades and cranking the .......

    The Structured Credit Interview 2 December 2020

  • NPL ABS capital treatment amended

    Sector developments and company hires

    NPL ABS capital treatment amended
    The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. The rule aims to close a gap in the Basel framework by setting out prudent and risk-sensitive capital requirements for NPL ABS.

    The Committee consulted publicly on the technical amendment during the summer (SCI 24 .......

    Market Moves 27 November 2020

  • Jumbo BDC merger agreed

    Sector developments and company hires

    Jumbo BDC merger agreed
    FS/KKR Advisor, a partnership between FS Investments and KKR Credit Advisors (US), has announced that FS KKR Capital Corp and FS KKR Capital Corp II - two publicly traded BDCs advised by FS/KKR - have entered into a definitive merger agreement. The merger will create one of the largest BDCs in the US, with US$14.9bn in .......

    Market Moves 26 November 2020

  • EBA SRT report released

    Sector developments and company hires

    EBA SRT report released
    The EBA has published its long-awaited report on significant risk transfer in securitisations, which includes a set of detailed recommendations to the European Commission on the harmonisation of practices and processes applicable to the SRT assessment. The EBA proposals aim to enhance the efficiency, consistency and predictability of the supervisory SRT assessment within the current securitisation .......

    Market Moves 23 November 2020
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