CLO managers in the mix for first US credit event auction since 2020
CDS contracts referencing Talen Energy Supply will be settled by credit event auction next month. And Talen's recovery levels will have relevance for a number of CLO managers that have held onto the company's debt - in some cases having bought more very recently

Talen triggers first index-hitting credit event since Europcar
Talen Energy Supply has triggered a bankruptcy credit event, the Americas Credit Derivatives Determinations Committee has ruled, making this the first default to hit US high yield index CDX HY since September 2020 and the first to hit a CDS index since January last year

CDX HY faces first constituent default since 2020
The Americas Credit Derivatives Determinations Committee has accepted a request to rule on a CDX HY index constituent default - the first it has faced in the US since mid-2020

Russia auction prep on pause after last minute scramble
The Credit Derivatives Determinations Committee has put on pause its preparation for a credit event auction to settle Russian Federation CDS, amid reports the country has made good on sovereign debt payments right at the wire

Russia looks to avoid default as deliverable list points to 27-cent recovery
The Credit Derivatives Determinations Committee has published a preliminary list of bonds it deems deliverable into Russian Federation CDS contracts, even though reports suggest Russia may have avoided default with just one day left on the country's grace period for overdue international bond payments

Prep work begins for Russia credit event auction
The Credit Derivatives Determinations Committee has started preparing for a credit event auction to settle CDS referencing the Russian Federation, which stands on the brink of triggering sovereign contracts

Potential failure to pay has occurred on Russian CDS, says Determinations Committee
The Russian Federation is moving closer to triggering a credit event on foreign debt, with the Credit Derivatives Determinations Committee having ruled a potential failure to pay has occurred

RusRail no-auction vote means CDS holders must track down bonds
Russian Railways CDS contracts will not be settled via auction despite the borrower having triggered a failure-to-pay credit event, the Credit Derivatives Determinations Committee has ruled

DC meets to consider next steps on Russia and RusRail CDS
The Emea Determinations Committee is meeting today, having accepted a request to rule on whether a potential failure to pay has occurred on Russian Federation CDS contracts

Russian sovereign posed to DC as 'potential failure to pay'
The Russian Federation has again been referred to the Credit Derivatives Determinations Committee for the second time in a month, this time with the questioner asking if a potential failure to pay has occurred

Sovereign in scope as Russian Railways triggers first Ukraine-linked credit event
Russian Railways had triggered a failure-to-pay credit event, the Credit Derivatives Determinations Committee has ruled, making this the first sanctions-related credit event since Russia's invasion of Ukraine in February

Hidden loan tail risks and mounting single B exposure could pose problem for CLOs: Barclays
A solid rally for leveraged loans this week - against returning weakness in bonds - has put focus back on the market, which seemingly has little tail risk priced in. But short term support factors and a dwindling triple C bucket mask the quality skew, warn Barclays strategists in a note today - which could spell downgrades for single-B minus rated loans

Russia returns to default pricing as railway co awaits credit event vote
Russian credit spreads are once again under intense pressure and sanctions-related credit events are back under the spotlight as the country's state-owned railway company faces the scrutiny of the Emea Credit Derivatives Determinations Committee

Russia extends rally as DC rules against repudiation / moratorium
Russian Federation CDS contracts rallied strongly for a second day on Thursday, after the Credit Derivatives Determinations Committee ruled a repudiation / moratorium had not occurred on the country's sovereign debt

Russia CDS won't be orphaned in credit event but could pay big, say investors
Contrary to a flurry of recent media reports, Russian Federation CDS contracts are highly likely to have deliverable bonds in the event the country triggers a credit event - and this could come soon with high pay outs for protection holders

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?  

Fitch cuts US leveraged loan default rate projection
US leveraged loan default rate is anticipated to be just 1.5% by year-end 2022, according to a new report from Fitch Ratings. That’s down from the rating agencies’ original 2.5%-3.5% projection

Fitch lowers US loan default rates for 2021 and 2022
The rating agency has $200.9 billion of ‘market concern loans’ on its radar, saying these have declined in volume for the 12^th month straight but are still up 16% from pre-pandemic.

S&P lowers default rate forecast for US loan index
S&P Global Ratings has revised down its leveraged loan default rate forecast for the end of the year, based on the S&P/LSTA Leveraged Loan Index, from 3.5% to 2.75%

Beneath the triple C: resurfacing credits surpass divers as tide turns for CLOs
Upgrades above triple C overtook downgrades to that rating or below in February. Moody's or Standard & Poor's cut six corporate debt issuers to triple C or below in February, out of which just four can be found in CLO portfolios

US private credit default rate drops to 3.6% in Q4: Proskauer
US private credit default rates dropped to 3.6% in the fourth quarter, according to law firm Prokskauer’s Private Credit Default Index

Europcar sets course for high recovery in 2021's first credit event auction
An auction to settle CDS referencing Europcar Mobility Group has generated an initial market midpoint of 73.5 cents, implying the pay-out to protection buyers could be only 26.5 cents - much lower than five-year CDS contracts had implied

US private credit Q3 default rate halves to 4.2%: Proskauer
US private credit default rates fell in the third quarter to 4.2%, half of the 8.1% recorded in Q2, according to law firm Proskauer’ Private Credit Default Index

Selecta splashes CLOs with bankruptcy credit event
Selecta Group has triggered a bankruptcy credit event, the Emea Determinations Committee has ruled

Mallinckrodt takes chapter 11 prescription as CLOs hold $650 million
CLO managers hold around $657.8 million debt of Mallinckrodt, a Dublin-headquartered biopharmaceutical company that has filed for chapter 11 protection in the US Bankruptcy Court for the District of Delaware