CLOs

  • Bespoke analysis needed for US retail

    Although some US retailers continue to underperform, investors should be wary of taking a wholly negative view on the sector, according to Morgan Stanley CLO analysts. They point out that with broadly strong US retail sales and growing personal income, problems lie only in certain subsectors within the segment.

    The Morgan Stanley analysts note that retail continues to play a .......

    News 22 March 2017

  • US CLOs solid

    The US CLO secondary market remains solid as momentum rebuilds following last week's interrupted activity.

    "It's still not incredibly busy, but it's an interesting market and bonds are trading," says one trader. "There are no truly big buyers right now, though there aren't any major concerns about fundamentals."

    Mezz remains the most active part of the stack, but price moves .......

    SCIWire 21 March 2017

  • Term curve dislocations 'provide opportunities'

    Carlyle recently priced what is believed to be the first post-crisis US CLO to feature a six-year reinvestment period - the US$612m Carlyle US CLO 2017-1. As the new issue CLO term curve evolves, JPMorgan CLO analysts suggest that investor market segmentation provides opportunities to add alpha when the term curve becomes mispriced.

    "In theory, bonds with longer reinvestment periods .......

    News 21 March 2017

  • Euro secondary ticks over

    The European securitisation secondary market continues to tick over.

    Activity remains patchy across the board with sporadic BWICs and light bilateral volumes. Further distraction has emerged with a handful of new ABS, CLO and RMBS deals now actively marketing, but overall tone is still positive and secondary spreads continue to hold in or tighten.

    The past couple of sessions remained centred .......

    SCIWire 21 March 2017

  • US CLOs resume

    Something approaching a normal service is resuming today in the US CLO secondary market after a snowstorm impacted start to the week.

    BWIC volumes have been slow to pick up this week, with the bulk of lists revolving around triple- and double-As. Today sees a return towards normality with five fairly sizeable auctions and focus firmly back on mezz.

    Despite the stop-start .......

    SCIWire 16 March 2017

  • Euro secondary trundles on

    The European securitisation secondary market trundles on seemingly unaffected by the ups and downs of broader markets this week.

    Market tone remains strong across the board, as demand easily outstrips limited supply. Consequently, secondary spreads continue to be flat to slightly tighter as each day passes.

    BWICs are still sporadic and are trading at or above talk as and when .......

    SCIWire 16 March 2017

  • Euro secondary strengthens

    Tone and levels if not volumes continue to strengthen across the European securitisation secondary market.

    The large CDO liquidation BWIC on Friday bolstered the market's already strong tone, as expected. End-user interest in the list affirmed the depth of the ongoing rally in most sectors and while the ultimate AON style trade meant the paper has stayed out of investor .......

    SCIWire 14 March 2017

  • Euro CLO equity outperforms

    European CLO equity spreads have experienced a notable turnaround, from a negative -10.5% price return in 2015 to an 8.8% price return in 2016. Indeed, based on a sample of 63 post-crisis deals, JPMorgan figures show that European CLO equity total returns average 32.21%.

    Every CLO in the sample shows a positive total return ranging from 54.3% to 10.1%. JPMorgan .......

    News 13 March 2017

  • Debut CRE CLO prepped

    Greystone is in the market with its debut US$366.6m CRE CLO. Dubbed Greystone Commercial Real Estate Notes 2017-FL1, the transaction securitises 27 floating-rate mortgages secured by 27 transitional multifamily properties.

    Moody's and DBRS have assigned provisional ratings to the deal of Aaa/AAA on the US$207.1m class A notes, Baa2/AA (low) on the US$25.66m class Bs and NR/BBB (low) on the .......

    News 9 March 2017

  • US CLO demand drives on

    Activity and demand are growing once more in the US CLO secondary market despite some challenges.

    "Overall buying demand is very, very strong even though there are cross-currents going on that make it difficult for some investors," says one trader. "For example, there are a lot of currently callable bonds going out on BWIC that will trade beyond par, which .......

    SCIWire 9 March 2017

  • Euro secondary simmers

    The European securitisation secondary market is still simmering without yet fully coming to the boil.

    Volumes have picked up a little this week as expected, but have not yet really taken off. Instead, familiar patterns are being maintained across the board - flows remain patchy and BWICs sporadic.

    At the same time, demand continues to outstrip supply amid strong market .......

    SCIWire 9 March 2017

  • Euro CLO warehouse ramping

    Barings has established a warehouse securitisation to ramp up leveraged loans and high yield bonds ahead of the issuance of its forthcoming Barings Euro CLO 2017-1. The transaction comprises a senior funding facility (SFF) and a mezzanine funding facility (MFF), provisionally rated single-A and triple-B (low) by DBRS, and is subject to collateral quality and portfolio profile tests.

    The SFF .......

    News 8 March 2017

  • US CLOs watchful

    US CLO secondary market participants are watching closely for any signs of potential widening despite continuing positive sentiment.

    "Market tone continues to be very positive and nothing came out of the Vegas conference to change that," says one trader. "So, of course, many are starting to get a little nervous and watching closely for signs of any change."

    The trader .......

    SCIWire 7 March 2017

  • 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
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