CLOs

  • Italian SME data differs

    Significant differences exist between static vintage default data and empirical default rates used to validate internal rating models for Italian SME borrowers, says Fitch. The rating agency notes that vintage data typically understates default figures.

    Fitch noticed this trend recently when rating Multi Lease AS, Siena Lease 2016-2 and Claris SME 2015. The first is a securitisation of lease receivables .......

    News Round-up 26 February 2016

  • Negative cash balance 'adds risk'

    Negative trade date cash balances in European CLO 2.0 transactions could increase, says Fitch. The rating agency has observed an increasing number of deals reporting a negative trade date cash balance.

    Fitch has contacted several CLO managers and collateral administrators to discuss the feature and its risks. In the rating agency's view, over-investing portfolios may expose noteholders to operational and .......

    News Round-up 26 February 2016

  • Euro secondary slips

    Activity and pricing levels have slipped further in the European securitisation secondary market.

    Yesterday saw further weakness in Portuguese paper as the aftermath of the BCP tender pushed bonds out further during the session after they had opened wider on the previous day's close. Also in peripherals, yesterday's Spanish seniors BWIC only partially traded.

    Meanwhile in core assets spreads are .......

    SCIWire 26 February 2016

  • Euro CLO comeback?

    Increasing activity could be a sign of a return to form for the European CLO secondary market, but it is only early days.

    "There are signs that the market is coming back, but there's still a long way to go and real money is still sitting on the sidelines," says one trader. "There's been bit more two-way flow in the .......

    SCIWire 25 February 2016

  • Brexit implications weighed

    The UK will hold a referendum on 23 June to decide whether to stay within the EU. Uncertainty about a potential 'Brexit' is expected to cause technical weakness in UK securitisation markets in the meantime.

    JPMorgan European ABS analysts expect investors to demand increased risk premia to hold UK risk between now and June. Benchmark anchor markets are already pricing .......

    News 25 February 2016

  • Stabilisation sought

    CLO equity arb, risk retention remain challenging

    Signs of stabilisation in the US CLO market are emerging, after a volatile start to the year that brought spread widening and a halt to new issuance. However, equity arbitrage remains challenging and risk retention requirements still appear to be casting a shadow over the sector.

    "We're seeing more firmness in spreads, driven by a slew of new buyers entering .......

    News Analysis 25 February 2016

  • Antares recruits for SF push

    Antares Capital has brought in Vivek Mathew as md, head of structured products. He joins from JPMorgan, where he served as md and head of the bank's global primary CLO business. Prior to that, he was vp, structured finance at Deutsche Bank.

    "Vivek's experience in working with investors and ratings agencies will be important as our business considers the use .......

    Job Swaps 25 February 2016

  • CLO retention rules challenged

    The LSTA yesterday testified in front of the US House Committee on Financial Services' capital markets subcommittee to extol the virtues of a 'qualified CLO' (QCLO) proposal as an alternative to the currently agreed 5% retention requirement. The association has also continued legal proceedings against the US SEC and the US Fed to challenge the 5% requirement.

    The LSTA describes .......

    News 25 February 2016

  • US CLO spike

    The US CLO secondary market is seeing a spike in activity today.

    "Today is busier as month-end combines with sentiment being a bit better," says one trader. "We're seeing more bidders and better depth of trading, although liquidity is still thin, tiering is significant and the macro picture isn't great - CLOs rallied in line with high yield yesterday, but .......

    SCIWire 24 February 2016

  • Drifting out

    High-beta spread dislocation continues

    As markets sell off and become increasingly volatile, European high-beta securitised paper has widened considerably. This has been driven by several factors - not least regulation - and has concerning implications for liquidity and the future health of the market.

    Bank of America Merrill Lynch European ABS analysts note that the €888m Driver Espana Three auto ABS, which priced earlier .......

    News Analysis 24 February 2016

  • Euro secondary mixed

    The European securitisation secondary market continues to experience mixed fortunes.

    "Liquidity remains very thin overall," says one trader. "However, there is still demand in the prime area, particularly in Dutch paper and yesterday we also saw some for Italian bonds."

    At the same time, the trader adds: "Sterling sellers have started coming in. There wasn't a big incidence in UK .......

    SCIWire 24 February 2016

  • US CLOs steady

    The US CLO secondary market looks to have stabilised but remains fairly quiet.

    "It seems like things have stabilised since the January widening," says one trader. "However, it was very slow yesterday and looks like it will be slow again today and probably for the remainder of this week heading into ABS Vegas."

    The trader continues: "Everyone is now looking .......

    SCIWire 23 February 2016

  • FSC, RiverNorth unlock horns

    Fifth Street Finance Corp (FSC) has entered into an agreement with RiverNorth Capital Management under which RiverNorth will not contest FSC's slate of director nominees at its upcoming AGM. RiverNorth owns 8.7% of FSC's common stock and has previously criticised the way the firm is run (SCI 19 November 2015).

    RiverNorth has also agreed to withdraw its binding proposal to .......

    Job Swaps 23 February 2016

  • Euro secondary starts slowly

    It was a slow start to the week for the European securitisation secondary market, but today looks likely to see something of a pick-up.

    "Yesterday was for the most part pretty slow," says one trader. "Primarily there was a just a lot of chatter around Brexit and its broader implications including the potential for people to step away from sterling .......

    SCIWire 23 February 2016

  • Top CLO managers unveiled

    CIFC Asset Management remained the US leader in Moody's latest CLO manager league tables, managing 30 deals in 2H15. This follows a wider trend that saw little change from 1H15, with the major players across the US, Europe and globally still dominating the rankings.

    Although CIFC topped the US tables by number of deals, Credit Suisse led by AUM with .......

    News Round-up 22 February 2016

  • Euro secondary solid

    The European securitisation secondary market remained solid on Friday despite broader market weakness.

    Volumes remained generally low as the week closed out, but tone remained firm and most spreads ended the session unchanged. Off-BWIC activity once again revolved around prime assets and eligible peripherals. Meanwhile, BWICs generated a flurry of activity in the afternoon and the bulk of line items .......

    SCIWire 22 February 2016

  • Manager replacement sought

    IMC Asset Management tendered its resignation as investment manager for the Strawinsky I CLO by written notice to the issuer on 31 December 2015, recommending Dynamic Credit Partners Europe as successor manager. The collateral management agreement provides that a manager's resignation shall not be effective until a successor manager has been appointed.

    Consequently, the issuer has notified noteholders that it .......

    Job Swaps 19 February 2016

  • Euro secondary fades

    Levels and activity are fading in the European securitisation secondary market as the broader market rally runs out of steam.

    Activity remained patchy across the board yesterday, with prime assets once again leading the way, albeit in lower volumes than in previous sessions. Meanwhile, the appetite for Portuguese paper of recent days has faded somewhat and kept spreads slightly off .......

    SCIWire 19 February 2016

  • Euro CLOs stabilising

    The European CLO secondary market looks to at last be stabilising.

    "This week so far has been more or less the same as last week," says one trader. "Accounts have been selling via BWIC or away from them with dealers acting as liquidity providers - though this week has been less frantic than last there's still a ratio of 90% .......

    SCIWire 18 February 2016

  • US CLOs active

    Participants in the US CLO secondary market are keeping active despite the current lack of BWIC supply.

    "There's a lot of activity even though the volume of lists isn't high," says one trader. "A lot of energy being is expended on trying to figure out where prices are and should be, as well as in out of comp trading."

    The .......

    SCIWire 17 February 2016

  • Permanent chief named

    GLI Finance has appointed Andy Whelan permanent chief executive. He was previously interim ceo of the company and will combine the role with leading the growth of Sancus, which it acquired in November 2014. Together with Whelan, GLIF's executive team comprises Emma Stubbs (cfo), Marc Krombach (md) and Louise Beaumont (head of public affairs & marketing).

    .......

    Job Swaps 17 February 2016
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