CLOs
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Performance-related triggers RTS adopted
Market updates and sector developments
The European Commission has released a Commission Delegated Regulation supplementing the Securitisation Regulation with regard to regulatory technical standards (RTS) specifying performance-related triggers and the criteria for the calibration of those triggers in STS synthetic securitisations. The RTS specify the two mandatory triggers under point (a) of Article 26c(5) of the Securitisation Regulation, set out the additional mandatory backward-looking .......
Market Moves 18 December 2023
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Definition debate
Call to differentiate private credit CLOs
The private credit market is booming, encompassing US$1bn-plus mega-deals, as well as traditional direct lending in the middle market space. Against this backdrop, defining what a private credit CLO is would be helpful for investors.
“What’s interesting with private credit is that we don’t really have a uniform definition for it yet,” explains Arlene Shaw, md at Brightwood .......
News Analysis 15 December 2023
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Basel 3 'roadmap', reporting ITS published
Market updates and sector developments
The EBA has published its roadmap on the so-called Banking Package, which implements the final Basel 3 reforms in the EU. The roadmap aims to strengthen the prudential framework, as well as ensure an international level playing field. It also seeks to provide clarity on how it will develop the mandates implementing the legislation and finalise the most significant .......
Market Moves 14 December 2023
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Positioned for quality and liquidity
Kate Galustian, lead portfolio manager for BlackRock Senior...
Q: When you announced BlackRock Senior Securitised Fund (SCI 20 November), BlackRock stated that this new vehicle will predominantly invest across continental Europe and the UK. To what extent was that driven by current opportunities specific to that geographic market, and could you provide an outline as to what those are?
The Structured Credit Interview 30 November 2023
A: The fund was designed in collaboration with .......
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Rules of conflict
Final SEC "conflict of interest" ruling offers crumbs of comfort
The SEC’s final “conflict of interest” ruling, designated Rule 192 and released at the beginning of this week (SCI 29 November), waters down some of the most onerous restrictions but still represents a serious imposition for securitized markets participants, say those in the field.
The new rule prohibits so-called “securitization participants” from engaging in “conflicted transactions” during the life of an .......
News 30 November 2023
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SIFMA calls for STC framework
Market updates and sector developments
A new SIFMA blog highlights three actions that will mitigate what the association calls the “perverse incentives” created by the lack of appropriate risk-sensitivity of the SEC-SA framework, under the US Basel 3 Endgame (B3E) proposal. The blog describes the proposal as “the most restrictive approach to set capital requirements for banks’ securitisation exposures in the developed world”.
As .......
Market Moves 29 November 2023
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Global goals
Chris Whitcombe, head of European and US ABS at Challenger I...
Q: Challenger IM recently launched its first securitisation-only investment fund – the Challenger IM Global ABS Fund (SCI 1 November). What makes now the right time?
The Structured Credit Interview 20 November 2023
A: At Challenger IM, we manage assets for leading global and Australian institutions. We have been actively investing in ABS since 2005, including the private ABS market for the last decade. So, although .......
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BlackRock launches Article 8 ABS fund
Market updates and sector developments
BlackRock has launched the BlackRock Senior Securitised Fund (BSSF), its new flagship securitisation fund, in the existing BlackRock Specialist Strategies Fund range. The firm says that BSSF is designed to meet the strong demand for securitised assets from both institutional and wealth clients seeking to diversify their fixed income exposures. Clients have demonstrated a desire for the diversification benefits, .......
Market Moves 20 November 2023
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Value covered
LibreMax Capital cio Greg Lippmann and ABS head Kevin Tyler...
Q: How has the evolution of the banking system and regulatory environment over time shaped private credit markets?
The Structured Credit Interview 16 November 2023
GL: Before the global financial crisis (GFC), there were certain aggressive financial products which enabled consumers to become overleveraged, as well as light bank capital charges for investment bank holdings of structured products, which ultimately brought Lehman Brothers to default and spurred .......
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Scope sees ratings drift reverse in Q3
Market updates and sector developments
Ratings drift in structured finance instruments improved in the third quarter of 2023 for the first time in more than a year, Scope Ratings has revealed. The metric measures the ratio between upgrades minus downgrades and the total number of monitored ratings over the past year.
While the agency oversaw just 12% of 294 instruments upgraded against 17% .......
Market Moves 7 November 2023
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CLO ESG scores compared
Market updates and sector developments
Sustainable Fitch reports that European CLOs – with an average ESG Score of 50.4 - have noticeably higher ESG scores, environmental scores and social scores than North American CLOs, which demonstrate an average ESG Score of 47.9. Governance scores are broadly similar across the two regions, however.
These insights are based on an assessment of 317 European CLOs .......
Market Moves 2 November 2023
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PRA consults on CRR rules
Market updates and sector developments
The UK PRA has launched a consultation on draft rules to replace firm-facing requirements regarding securitisation under the CRR in 2H24. As such, it has published a discussion paper (DP) that raises certain key issues for feedback, in order to inform its approach - including the use of unfunded credit risk mitigation (CRM) in SRT transactions.
In particular, the .......
Market Moves 1 November 2023
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Top-tech
Private credit managers increasingly leveraging fintech
Top-tier CLO and private credit managers are increasingly leveraging fintech support to facilitate proactive management through recent issuance spikes. Siepe, for one, cites technology as the key to optimising portfolios and enabling trading into better quality credits – having closed on a milestone US$1.2bn in BSL CLOs and an additional US$500m in private credit transactions in Q3.
“By .......
News 30 October 2023
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Sculptor merger hit by litigation
Market updates and sector developments
Rithm Capital has responded to a complaint filed in the Delaware Court of Chancery by the Former EMD Group regarding the proposed merger between Rithm and Sculptor Capital Management (SCI 26 July). The group comprises the founding partners of Sculptor, including Daniel Och, Harold Kelly, Richard Lyon, James O’Connor and Zoltan Varga.
The lawsuit asks the Court .......
Market Moves 20 October 2023
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Job swaps weekly: Octagon elevates Lam to ceo
People moves and key promotions in securitisation
This week’s round-up of securitisation-related job swaps sees Octagon Credit Investors appointing senior portfolio manager Gretchen Lam as its new ceo. Elsewhere, structured finance lawyers Martin Bartlam and Elana Hahn have joined Xfinite Global and Fasken respectively.
The appointment of Lam as Octagon’s new ceo comes as the firm’s cofounder Andrew Gordon transitions into a new role as executive .......
Market Moves 20 October 2023
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US CLN market could reach US$220bn
Market updates and sector developments
JPMorgan securitised products research analysts estimate that the potential size of the US CLN market could amount to US$220bn, as banks become more comfortable with issuing the notes for capital relief purposes, following the Federal Reserve’s clarification of what defines a synthetic securitisation (SCI 29 September). Indeed, they suggest that the move may mark the beginning of a .......
Market Moves 16 October 2023
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Starting strong
Leland Hart, portfolio manager and cio of performing credit...
Q: Warwick Capital Partners closed its inaugural BSL CLO transaction – the US$400m Warwick Capital CLO 1 – last month. As a new entrant, how does Warwick’s strategy compare to that of existing managers in the market?
The Structured Credit Interview 16 October 2023
A: It’s a pretty seminal time in the CLO market – when risk retention reared its head in the US and Europe and .......
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Wake-up call
Collaboration needed for consistent CLO ESG practices
Consistency across ESG reporting is the next crucial step for sustainability disclosures in the CLO market, as transitional climate risks exert pressure across the entire value chain. ELFA’s recent CLO Carbon and Sustainability Reporting Paper underscores the necessity for collaboration to determine common practices.
Investor interest in ESG disclosures is surging throughout the structured finance industry (SCI .......
News 11 October 2023
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Rithm strengthens MSR capabilities
Market updates and sector developments
Rithm Capital has entered into a definitive agreement with Computershare to acquire Computershare Mortgage Services and certain affiliated companies, including Specialized Loan Servicing (SLS), for a purchase price of approximately US$720m. The acquisition includes approximately US$136bn in unpaid principal balance of mortgage servicing rights, of which US$85bn is third-party servicing, along with SLS’s origination services business. Following the close .......
Market Moves 6 October 2023
Roll with the changes
CLO rating upgrades on the cards
CLOs may see more rating upgrades, despite current macroeconomic challenges, as more transactions reach their amortisation periods (see SCI CLO Markets). With defaults rising across the credit universe, actively managed CLO transactions are an outlier as the collateral remains stable.
“Perhaps counterintuitively, we might see more CLO upgrades in the current environment,” stated Andrew South, S&P EMEA .......
News 4 October 2023
RRAM acquires second slate of CLOs
Market updates and sector developments
Redding Ridge Asset Management has acquired CLO management contracts totalling US$2.8bn in AUM from Gulf Stream Asset Management. With the close of the transaction, Redding Ridge will have more than US$26bn of AUM and expects a seamless integration of the contracts and to actively manage the new portfolios consistent with its disciplined CLO strategy.
Redding Ridge is an .......
Market Moves 3 October 2023