OC health check: second European 2.0 CLO reports junior OC breach
33 deals reported overcollateralisation (OC) breaches last week in a relatively quiet reporting period.  314 deals are now reporting OC breaches as of the latest report, according to CLO-i.

Pandemic underlines importance of the S in ESG as compliant companies outperform
For years, assessing environmental risks has been at the forefront of ESG (environmental, social, governance) investing, but there’s been a greater appreciation of the ‘S’ in ESG since the market sell-off in March

Moody's adds 234 European CLO tranches to downgrade review list
Moody's has put 234 European CLO tranches on review for downgrade, citing the economic shock resulting from the coronavirus pandemic in its decision

Euro CLO investors look to cash in as market confidence returns
A mixed b-wic comprised of €35 million European CLO tranches is on offer at 9.30am New York time Tuesday, with investors looking to capitalise on tightening spreads as confidence gradually returns to the market

Fitch takes action on eight European CLO tranches
Fitch Ratings has revised to negative the outlook on six sub-investment grade tranches from three European CLOs, placed one triple B rated tranche on negative rating watch and downgraded its double B-rated tranche

Some managers calculated their CLOs were passing OC tests, only to find them failing the next day
Corporate credit downgrade storms have been weathered before, but this one has come out of season

OC health check: some CLOs cure failures, but quarter of US deals still in breach
117 deals failed over-collateralisation tests in the last week, although only 46 of these were deals reporting breaches for the first time, according to the latest reports available on CLO-i

There will surely be jewels in the high yield dung heap, but the risk-reward is more compelling in IG
Whatever the long-term effects of the pandemic, one thing stays the same: IG looks attractive

Denominator effect expected to drive LP-led private debt secondaries
Institutional investors are expected to engage in rebalancing trades to counter the 'denonimator effect', a move that should lead to an increase in private debt secondary trades

Europe’s newcomers find ways to stand out
Last year’s new European CLO managers needed to provide something different for investors. In general, they’ve succeeded, with Capital Four having one of the smallest overlap figures in our data

Black Diamond multi-currency CLO looks to buy back senior debt at 98.75%
Black Diamond CLO 2015-1 is voluntarily offering to pay down its senior debt

Basis and capital structure strategies zing for Xaia as market anomalies multiply
April was another challenging month for most funds. But some managers were able to take advantage of relative value opportunities and growing investor appetite for this form of investment strategy

US and Europe diverge on credit spreads and more
US and European corporate credit performance has diverged since cities went into lockdown in March, with Europe tending to do better. But the CLO market gives a different picture, with 17 US transactions pricing to four in Europe since 1 April, and with tighter investment grade spreads

Negative cash deal becomes first European CLO to fail OC test since sell off
260 US CLOs have failed an over-collateralisation test in the last two months and the first European CLO has breached a junior over-collateralistion since the credit sell off in March

CLOs look at flipping frequency switch as corporates hold cash
European CLOs could be set to flick their ‘frequency switch mechanisms’ as a growing number of corporations go from paying quarterly to semi-annual coupons

Index equity tranches show resilience in face of default spike
Lower credit index volatility in May refocused investor minds on idiosyncratic risk, with some give-up by previously outperforming equity tranches

CLOs face trading restrictions as bankruptcies mount
CLO managers could be handcuffed in impending bankruptcies if tranche downgrades continue and restricted trading periods kick in

They said it: There will be a re-tiering of managers after this
"There will be a re-tiering of managers after this"

Libor fall weighs heavily on loan and CLO portfolios
Libor floors are set to return to prominence after three-month rates tumbled to 0.38% by 18 May, returning the loan market’s base rate to its lowest level since the oil and gas crisis of 2014-16

Cure contributions come into play in CLOs amid pandemic
Some CLO investors are triggering a mechanism in their deals that lets them inject additional equity into structures to prevent them from failing over-collateralisation or interest coverage tests

A different kind of crisis
Panellists on Creditflux’s US CLO webinar were positive about the robustness of CLO structures and the role of cure contributions. But they warned about zombie defaults and gaming tests

Fund performance: CLO tranches move up
April returns managed a partial bounce back after a tumultuous March. 82% of funds listed in the Creditflux database made positive returns, showing at least small signs of recovery after 90% of all funds listed posted negative returns in March

Ucits at a glance: Ucits begin recovery phase
April returns prove positive for Ucits funds as 85% of those listed in the Creditflux database have moved into the black after a rough March

Early March European CLO makes it through the sell off with 5.4% risk retention
One of the last European CLOs to price before the primary market shut down in March has disclosed the fair value of its notes post-closing, which shows that it has a reasonable 38 basis point cushion against risk retention deficiency

European CLO cushions fall with junior OC breaches expected soon, Fitch says
European CLOs have fared better against downgrades versus their US counterparts. But Fitch Ratings writes in a report that over-collateralisation (OC) cushions have been sharply declining with junior OC tests expected to be breached soon