CLOs

  • US CLOs keep busy

    The US CLO secondary market looks set for another busy week after last week's uptick in activity.

    Last week saw an increase in secondary activity with focus primarily around 2.0 triple-As, double-Bs and triple-Bs. With macro concerns and quarter-end causing a volatility spike, price transparency evaporated and kept some investors on the sidelines.

    Consequently 2.0 spreads across the stack moved .......

    SCIWire 5 October 2015

  • Negative returns for post-crisis CLOIE

    The total amount of CLOs paid down in JPMorgan's Collateralised Loan Obligation Index (CLOIE) since the August rebalance through 30 September was US$1.45bn in par outstanding, US$1.37bn of which comprises pre-crisis bonds. The post-crisis CLOIE added US$7.4bn across 85 tranches at the August rebalance.

    The post-crisis index suffered negative total returns in each category during the month, especially at the .......

    News Round-up 5 October 2015

  • Euro secondary mixed

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

    For the most part ABS/MBS is still being hampered by very thin liquidity and prices are softening across the board. Prime assets continue to benefit from a buying bias albeit only in pockets. Unsurprisingly autos remain the main focus and are seeing reasonably healthy two-way flows, though spreads continue .......

    SCIWire 5 October 2015

  • Capital clarity

    CMU securitisation package receives market approval

    The release of the European Commission's Capital Market Union (CMU) action plan has been hailed for reducing capital requirements and outlining a succinct and centralised definition for simple, transparent and standardised (STS) securitisation. However, key concerns remain over Solvency 2 capital recalibrations.

    The action plan introduces amendments to the Capital Requirements Regulation and a new overall securitisation legislation. The latter .......

    News Analysis 2 October 2015

  • ESMA reports on rating agencies

    ESMA has published two sets of technical advice and a report on the regulation of credit rating agencies in the EU. These papers consider measures to provide stronger controls around credit ratings for structured finance instruments and to reduce reliance on credit ratings.

    The report finds that regulation has improved the governance and operation of rating agencies but that it .......

    News Round-up 2 October 2015

  • Euro CLO growth continues

    European CLO issuance continues to show strong growth, with Fitch counting 38 new transactions in the 12 months to July 2015. This is 36% higher than the same period a year earlier and includes 10 new post-crisis managers, with manager strategies varying.

    Loan supply has been 47% lower so far in 2015 than it was in the same period last .......

    News Round-up 2 October 2015

  • Agency seeks above-currency comments

    S&P is requesting comments on proposed changes to its methodology for assigning ratings above the foreign currency ratings on the sovereigns in a multijurisdictional structured finance transaction. The proposed criteria would constitute a global framework.

    Few rating changes are expected if the proposed criteria are adopted. From a test on CDOs, CMBS, ABS and covered bonds, the rating agency expects .......

    News Round-up 2 October 2015

  • SCI conference line-up unveiled

    Panellists have been confirmed for SCI's 8th Annual Securitisation Pricing, Trading and Risk Seminar, which is being held on 7 October in New York. The event is being held at Bank of America's offices at 250 Vesey Street (formerly Four World Trade Center).

    The conference programme consists of a series of roundtables and panel debates focusing on issues affecting the .......

    News Round-up 1 October 2015

  • New fund targets SF investment

    Franklin Templeton Investments has launched the Franklin K2 Long Short Credit Fund, which will invest in a variety of credit strategies. It aims to provide investors with access to a select group of hedge fund managers in a single diversified portfolio, while providing daily liquidity.

    Franklin Templeton acquired hedge fund solutions provider K2 Advisors in 2012. The new fund aims .......

    News Round-up 1 October 2015

  • Agency proposes new rating type

    S&P has issued a request for comment on its proposed criteria for assigning a new rating type. It would be specific to the financial obligations which structured finance special-purpose entities enter into with banks or other entities on the issuer's credit risk under a contract such as a swap or liquidity facility.

    The new counterparty instrument rating (CIR) would address an .......

    News Round-up 1 October 2015

  • Euro secondary improves

    Tone in the European securitisation secondary market is improving in line with broader market sentiment, but activity remains limited away from VW.

    "Yesterday was very quiet again, but that is typical of quarter-end," says one trader. "However we did start to see bids back in VW ABS and it had stabilised at its wides by the close. This morning it .......

    SCIWire 1 October 2015

  • US CLOs stay tough

    Times are still tough in the US CLO secondary market.

    "The focus has primarily been on double- and triple-Bs, but even there liquidity has been very thin," says one trader. "In particular, it's been really tough for double-Bs across 2.0, but 1.0s have held up relatively well."

    Nevertheless, the trader adds: "Overall, we're wider across the board in double- and .......

    SCIWire 30 September 2015

  • Euro secondary drifts

    European securitisation secondary spreads are continuing to drift wider.

    "Yesterday was very quiet and today looks to be the same," says one trader. "Clients are definitely sidelined as market sentiment weakens."

    The trader continues: "There are a number of factors impacting sentiment both internal and external to ABS - there's the broader macro picture obviously, combined with our US equivalent .......

    SCIWire 30 September 2015

  • US CLOs still searching

    Amid broader market volatility and commodity concerns the US CLO secondary market is still searching for some price transparency.

    "There's a lot of focus on deals with a lot of commodity exposure for obvious reasons," says one trader. "Consequently buyers are shying away from CLOs with metals and mining exposure, but stuff without appears to be trading fairly realistically."

    As .......

    SCIWire 29 September 2015

  • Fund liquidity proposals weighed

    Last week, the US SEC voted to propose tighter liquidity rules for open-end funds, including mutual funds and ETFs. While the rules would lead to several changes, the most significant one for CLO investors could be regarding liquidity buckets.

    The SEC's proposed rules would formalise the 15% limit on illiquid assets which currently serves as a guideline, classify assets into .......

    News 29 September 2015

  • Loan ratings, CLO defaults correlated

    Default rates for leveraged loans in US CLO portfolios from 2007 to 2012 varied considerably across major CLO managers, though they did reflect the ratings of those loans, Moody's reports. Pro forma default rates came in somewhat higher than realised default rates during the same period, while the US speculative grade corporate default rate came in between the pro forma .......

    News Round-up 29 September 2015

  • Euro secondary weakens

    The European securitisation secondary market has weakened further on the back of broader market sell-offs and continuing VW concerns.

    "Equity and credit markets are weaker and so are we," says one trader. "In particular the weakness in VW ABS has filtered through into the whole of the low beta space and with that weak it's extremely difficult to get anything .......

    SCIWire 29 September 2015

  • US CLOs put to the test

    Continuing seller-heavy activity is testing the US CLO secondary market.

    "We're approaching month- and quarter-end so the flurry of lists of the past few days is continuing," says one trader. "Broad market volatility is of course a factor, but it's more about sellers testing the market and re-pricing risk."

    The trader continues: "A lot of the lists circulating today are .......

    SCIWire 28 September 2015

  • Euro secondary stays thin

    Liquidity remains thin in the European securitisation secondary market.

    Last week ended as anticipated with many players staying on the sidelines as a selling bias prevailed and bid-offers moved ever wider. Even flows in CLOs diminished as the relatively hectic BWIC schedule saw a flurry of DNTs. Overall, away from prime assets, secondary spreads have edged out further.

    Today currently .......

    SCIWire 28 September 2015

  • Euro CLO activity surges

    The European CLO secondary market is seeing a surge in activity this week.

    "It's been a busy week this week primarily driven by BWICs," says one trader. "It's mostly been about selling, but there are still some buyers left in the market."

    The majority of sellers are either hedge funds or asset managers, the trader notes. "So, I'd say most .......

    SCIWire 25 September 2015

  • Euro secondary still selective

    The European securitisation secondary market continues to see trading across the board, but only on selected names.

    Secondary spreads closed unchanged yesterday on, once again, patchy activity on- and off-BWIC. Most sectors saw some action, but prime assets remain the strongest performer. Autos were much quieter than the previous session with only the German programmes edging wider.

    There are currently .......

    SCIWire 24 September 2015
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