CLOs

  • CMOA structure prepped

    Acis Capital, an affiliate of Highland Capital, is prepping an innovative US$372m CLO. Dubbed ACIS CLO 2017-7, the transaction utilises a capitalised majority-owned affiliate (CMOA) risk retention strategy.

    A CMOA structure involves a combination of the capitalised manager vehicle (CMV) and the majority owned affiliate (MOA) approaches and seeks to solve problems associated with each. Hunter Covitz, md at Highland .......

    News Analysis 7 March 2017

  • Euro secondary supply spikes

    This week is scheduled to see a spike in the volume of paper in for the bid across the European securitisation secondary market.

    Last week was once again very quiet, exacerbated by the Vegas conference and month-end, and yesterday's session was similarly slow. However, flows could be kick-started by the growing BWIC schedule for this week headlined by a very .......

    SCIWire 7 March 2017

  • Risk transfer round-up - 3 March

    Intesa Sanpaolo Group has completed a €2.5bn synthetic SME securitisation through its GARC SPV, marking the programme's fifth issuance. The transaction was arranged by Banca IMI.

    Sources expect more Italian issuers to tap the risk transfer market over the next nine months. They indicate that the market is likely to be dominated by "the usual suspects", including Intesa Sanpaolo and .......

    News 3 March 2017

  • Proposed retention metric assessed

    Risk retention regulations in Europe and the US are severely flawed with respect to their key intention of imposing a strict loss retention requirement, argues a Sustainable Architecture for Finance in Europe (SAFE) white paper published last month. A new risk retention metric (RM) measuring an issuer's level of retention relative to the expected loss of a given securitisation is .......

    News 1 March 2017

  • US CLO arbitrage favours refis

    US CLO refinancings began in earnest late last year and have grown apace in 2017, dwarfing new issuance. Extremely tight arbitrage between leveraged loan spreads and CLO liability costs has further constrained primary volumes, suggesting refis will dominate issuance for the foreseeable future.

    As of the end of last week, US CLO issuance for the year so far has consisted .......

    News Analysis 28 February 2017

  • Trading expansion underlines optimism

    INTL FCStone's broker-dealer rates group has expanded its trading remit into US agency CMBS and a wider spectrum of ABS, following the formation of a new securitised products group. Alongside its existing involvement in other securitised mortgage products, the move signals the firm's optimism about the value structured products will bring in 2017 and beyond.

    Rob Laforte, senior md, head .......

    News 28 February 2017

  • Crossover opportunities touted

    Although the investor community tends to remain 'monogamous' with regard to CLO and CMBS exposures, the asset classes can offer returns and opportunities for crossover investors. A new JPMorgan study suggests that while US CLOs are cheap at the top of the stack, CMBS offers value in comparably rated tranches at the triple-B level, but CLO double-Bs offer value for .......

    News 28 February 2017

  • Investment differentiation

    SCI's profile questions are answered by Triphonas Kyriakis, md for analytics at MSCI; Raghu Suryanarayanan, executive director of MSCI's risk research group; and Thomas Ta, who directs the company's development of risk management analytics.

    Q: How and when did MSCI's analytics business become involved in the securitisation market?
    TT:     MSCI has been helping investors analyse securitised products for over a decade, .......

    Provider Profile 24 February 2017

  • Slow start to year 'not concerning' for Euro ABS

    The European securitisation market started the year with its traditional quiet January, but issuance has picked up through February and there are large, innovative deals on the horizon. However, the future of the ECB's ABSPP already appears to be weighing on the market.

    "January issuance was about €3bn this year. It was €6bn in 2016, but only €3.2bn the year .......

    News Analysis 23 February 2017

  • US CLOs subdued but strong

    Activity in the US CLO secondary market is subdued but demand is still strong.

    "Things are on the slower side this week," says one trader. "However, there is no particular softness anywhere."

    The trader continues: "Generally, there's a scarcity of opportunity in secondary at the moment and relatively little new issuance with the focus still on refinancings. So any paper out .......

    SCIWire 23 February 2017

  • GSO/Blackstone tops global CLO AUM

    The top 10 US CLO managers once again accounted for around 29% of AUM in 2016 (SCI 22 February 2016), while the top 10 European managers accounted for 59%, according to Moody's latest CLO manager league tables. However, there were a few changes to the composition of the rankings over the year.

    The most notable changes in the US top .......

    News 22 February 2017

  • Ratings expansion outlined

    KBRA has named Jim Nadler ceo, with co-founder Jules Kroll stepping down from the position. The move coincides with the rating agency's plans to expand into rating European securitisations and CLOs.

    Nadler will retain the title of president, which he has held since KBRA was established in 2010, while Kroll will remain chairman. Kroll intends to spend more time on .......

    News 22 February 2017

  • Euro CLO retention strategies weighed

    Two European CLOs have priced since the US risk retention rules came into effect on 24 December (excluding refinancings) and both are structured to enable the manager to satisfy both European and US risk retention requirements. Several deals structured before the risk retention deadline and some refinanced deals priced recently have also been dual compliant.

    European transactions can remain exempt .......

    News 21 February 2017

  • Euro secondary quiet

    It was a quiet start to the week across the European securitisation secondary market thanks primarily to the US public holiday.

    As a result, little has changed - sentiment remains positive, the demand for paper is still strong and sellers are few and far between as the belief continues that it is not yet the time for extensive profit-taking. Overall, .......

    SCIWire 21 February 2017

  • US CLOs ease up

    Activity in the US CLO secondary market looks to be easing up ahead of the President's day weekend.

    In a strong start to the week in BWIC volume terms, the bottom of the stack saw some stepping off as the percentage of DNTs for equity and weaker mezz names picked up on Tuesday. However, yesterday saw a return to the .......

    SCIWire 16 February 2017

  • Refi wave puts WAS under stress

    US CLO portfolio weighted average spread (WAS) is decreasing due to the ongoing wave of refinancings across the sector. The number of CLOs failing WAS tests is rising as a result.

    If a loan held by a CLO is repriced and then the CLO rolls into the new loan, the WAS should theoretically drop. JPMorgan CLO analysts note, however, that .......

    News 15 February 2017

  • Risk retention trends emerging

    Different retention strategies have emerged for US CLOs and CMBS leading up to and since the implementation of risk retention rules on 24 December 2016, with varying benefits also arising, such as a perception of increased quality in such deals. For the broader ABS market, however, approaches are still taking shape.

    There are five main strategies for risk retention: a .......

    News Analysis 9 February 2017

  • US CLOs focus on equity

    The bottom of the stack has been the main focus for US CLO secondary market this week.

    "It's a snow day in New York today, so it could be pretty quiet with a few lists being cancelled," says one trader. "But so far this week we've seen a lot more equity than anything else - it has accounted for about .......

    SCIWire 9 February 2017

  • Euro secondary patchy

    Activity in the European securitisation secondary market continues to be patchy.

    Friday saw a relatively quiet session after a pick-up over the previous two days, but yesterday saw a flurry of activity and a couple of BWICs that traded strongly. Focus in ABS/MBS continues to surround peripheral paper, while CLOs remain most interested in lower mezz. Overall, sentiment is still .......

    SCIWire 7 February 2017

  • Healthcare reforms spur CLO concerns

    Healthcare reforms in the US could have a dramatic effect on US CLO valuations, prompting some investors to reduce their exposure to healthcare names across their CLO investments. The healthcare sector is the second largest within US CLOs, accounting for an average 11.8% exposure in post-crisis deals, meaning that President Trump's intention to replace the Affordable Healthcare Act (ACA) and .......

    News 6 February 2017

  • First Euro CLO brings innovation

    The first new issue European CLO of the year, St Paul's CLO VII, has priced. The €414m deal was arranged by Deutsche Bank for ICG, with the bank noting that a structural novelty in certain tranches enables investors to take a rates view.

    The class B3 and C2 notes of the CLO do not have Euribor floor protection to begin .......

    News Round-up 3 February 2017
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