A fresh approach to loss distribution
Considering how cash balances change over time, loss distribution models can look very different to conventional thinking. So is your CLO’s pricing based on incorrect assumptions?  

Marathon sees value in Sofr CLO tranche over fixed-rate option
Marathon Asset Management stole a march on other CLO issuers by including a Sofr tranche as part of a new issue transaction on 10 November via Bank of America. Officials at the company say the Sofr tranche makes a compelling alternative to a fixed-rate tranche

Credit hedge funds (January 2022)
Credit hedge fund returns

Ucits at a glance: Robus and Altana dip but stay at the top
In October, Ucits funds continued a slide that had begun the previous month with 60% of them in the red

Credit funds at a glance (January 2022)
A round up of fundraising and people moves in credit

CLOs prove resistant to omicron in boost for new issue market
The CLO market has withstood the impact of the omicron coronavirus variant with barely a dent on CLO liability pricing

Market ponders Sofr spread adjustment amid investor lag
The CLO market is waving goodbye to Libor as a benchmark rate and transitioning to alternatives for the first time in the history of the asset class. But there is no consensus as to what the Sofr spread adjustment should be, and some of the largest buyers are said to be slow to consider the impact of a benchmark transition

"In 2022, being slow will not be such a bad thing"
St David losing its place as the UK’s smallest city would be a travesty. Replacing Libor might be worse

LP round up: CLO fund included in whopping $13 billion of credit allocations in November
Credit took centre stage in November as investors allocated over $13 billion to credit funds in the month, with one pension allocating $50 million for a European CLO risk retention fund 

Lev loan index rule change proposed to meet Sofr switch
Leveraged loan index stakeholders are being asked for feedback on a proposal that would allow the inclusion of loans linked to Sofr and scrap a minimum spread rule

CLO lower cap stack will outperform with $175bn new issuance in 2022: JP Morgan
Equity and lower rated tranche investors will do best as $175 billion of global new CLO issuance arrives in 2022, predict JP Morgan strategists in their annual outlook, taking market size to $1.2 trillion

Ex-Citi structured products co-head launches crypto investment firm
Citi's former structured products trading co-head has launched a venture investment firm for crypto companies, digital assets and blockchain protocols with an inaugural $1.5 billion multi-strategy venture

Loans will be winners in bearish year for credit: BNP Paribas
Floating rate loans are best positioned for a year of widening credit spreads, but high yield bonds will outperform investment grade and EM credit is set for losses, says BNP Paribas in its 2022 outlook

CLO resets drive equity returns to highest in five years: JP Morgan
Equity investors in US CLOs are earning, on average, the biggest returns of the past five years, finds JP Morgan – with deals reset this year having done most to raise the numbers

Amherst Pierpont takes total return approach as it builds CLO analytics platform
Amherst Pierpont is making CLO analysis the focal point of a push into the asset class, with the brokerage creating a platform that looks at the alpha and beta generated by a CLO manager, as well as their pricing on CLO liabilities.

Sofr transition timing puts CLO debt and equity at odds, says BNP Paribas
CLO investors look to have tough conversations ahead on the structure implications of the transition from Libor to Sofr, with BNP Paribas strategists noting CLO debt will benefit from an early move while equity tranches would do better to wait

Credit hedge funds (November 2021)
Credit hedge fund returns

Ucits at a glance: Robus and Altana enter the final sprint neck and neck
A downward turn hit Ucits funds as 65% of them made positive returns in September,

"CLO equity investors have long accepted basis risk… but an off-market adjustment does not work"
The 26bp adjustment is disrupting the transition away from Libor — but market forces will prevail

Axa IM launches multi-strat fund for pensions
Axa Investment Managers’ ‘alternatives’ business has launched an open-ended strategy for pension funds

Bennett Goodman's Hunter Point buys stake in MidOcean
Hunter Point, which was launched by Blackstone Credit’s co-founder Bennett Goodman alongside Avi Kalichstein in 2020, has made its first investment and bought a minority stake in mid-market specialist MidOcean

T Rowe Price to buy Oak Hill for up to $4.2 billion
Oak Hill is set to become T Rowe Price’s private markets platform, led by Oak Hill’s chief executive officer Glenn August

Nomura closes in on Sofr CLO milestone with 15bp emerging as standard for spread adjustment
Nomura is close to a major breakthrough by arranging the first CLO transaction with a Sofr pricing component

Barrow Hanley makes first move in CLOs
Barrow Hanley Global Investors has unveiled plans to launch its first 'CLO fund' in the coming weeks, with suggestions that CLO issuance will follow 

Aquarian takes over Gallatin CLO platform
New York-based Aquarian Holdings has bought Gallatin Loan Management's CLO management business