Banks report billions in unrealised CLO losses
Some of the world's largest bank buyers of CLO tranches reported billions of dollars of gross unrealised losses in their their latest quarterly reports

Investcorp launches Italian NPL fund
Investcorp has raised €340 million for an Italian non-performing loan (NPL) fund, following a similar strategy to a 2017 fund

Fitch takes action on 29 European CLO tranches
Fitch Ratings took action on 29 European CLO tranches yesterday, placing the majority of these on rating watch negative

Fair Oaks spends on junior European CLO debt after raising funds
Fair Oaks Capital has invested $92 million in junior CLO debt tranches since the start of April after putting to work fresh commitments to CLO investment fund Fair Oaks Limited

Lupus Alpha CLO funds enter April top 10 after cutting triple B exposure in January
Lupus Alpha CLO High Grade Invest Fund, a Ucits fund managed by Lupus Alpha, topped the Creditflux April hedge fund rankings with 12.05% returns. The Frankfurt-based manager also has two other funds in the top 10 rankings: Lupus Alpha CLO High Quality Invest (9.88%) and Lupus Alpha CLO Opportunity Notes I (8.94%)

CLOs seek ways to work around warf restrictions
Corporate downgrades leading to par haircuts in CLOs have been a primary focus for CLO investors since the start of the coronavirus-induced crisis. But one of the side effects of rating actions has been a rise in weighted average rating factor test failures

Apollo and Barings defer equity payments on long-dated CLOs
Apollo Global Management and Barings have joined PGIM in deferring their scheduled April payment dates for a handful of European CLOs, according to the latest payment reports on CLO-i. Apollo also deferred payments on several of its US CLOs.

Listed CLO fund rebounds in April with 5.7% gain
US and European CLO equity tranches brought in gains of 10% in April for the fund, US CLO debt 12.1%, ABS 0.6% and bank balance sheet transactions 0.3%

Listed CLO fund declares May dividend after equity avoids cashflow diversion
Axa Investment Management has declared an interim dividend on its listed CLO fund, Volta Finance, after cancelling its April dividend citing the uncertainty of cash flow payments

PGIM defers April European CLO equity payments
PGIM has deferred scheduled April payments to equity investors of its European CLOs, the first European CLO manager to defer a payment date during the coronavirus pandemic

Beneath the triple C: April showers send buckets overboard
Downgrade waves rocked the CLO market in April as Moody's and Standard & Poor's downgraded 135 corporate borrowers to triple C or below, from ratings above that level. The downgrades put CLOs in rough waters as $41.6 billion of such loans are prevalent in US CLOs while €5.64 are moored in European CLO portfolios – affecting 5.92% of the US market and 4.37% of the European market

Where are the gloating I-told-you-so columnists who claimed CLOs would bring global destruction?
We have seen a measured response to the coronavirus crisis: fund managers aren’t collapsing and investors are not shunning CLOs

Sculptor doubles global credit exposure in master fund amid dislocation
Sculptor Capital Management has doubled its global credit exposure in its Master Fund during the covid-19 volatility, according to the firm’s Q1 earnings call

CSOs are hurting but will emerge stronger, say sources
It is unsurprising that bespoke synthetic tranches have suffered during the covid-19 crisis, as they are backed largely by real money investors that have gone outright long credit risk. But more noteworthy and reassuring, say sources, is that most have held firm in their positions and look set to stick with the asset class — in contrast to the 2008 global financial crisis exodus

Waiting game pays off for European pension fund
Finnish pension fund Ilmarinen has been investing more in European CLO tranches after valuations dipped to their lowest levels in a decade, thanks to a distressed CLO fund strategy it put in place two years ago.

KKR takes covid-19 hit on flagship credit funds and lev fin
KKR took a 16% hit to returns on its alternative credit flagship funds amid the first quarter coronavirus downturn and a 13% loss on leveraged credit, taking these into negative territory for the last 12 months. The firm's private equity portfolio also slumped by 12%

Creditflux announces finalists for online CLO awards
Creditflux is pleased to announce the finalists for a new-look manager awards event, which will be hosted online for the first time.

Past returns: Death by triple Cs? A step too far
15 months ago in Creditflux we reported that corporate credit downgrades, rather than defaults, were the biggest problem facing CLO portfolio managers

Skew trades bloom in winter for credit
March fund returns submitted to Creditflux in April were poor, but one manager distinguished itself in the covid-19 dislocation using a synthetic strategy rarely seen since the 2008 financial

Managers vie for trophies at new-look awards event
The 2020 Creditflux Manager Awards will take on a fresh complexion as we transition to a virtual event. But some things will never change: our finalists have been assessed using data alone
 

Credit pickers need luck to avoid OC trap
We know what you’re thinking: is my CLO failing its OC test? The truth is, in all this volatility, it can be hard to keep track, unless your deal has high quality liquid loans

 

Credit hedge fund returns: March 2020 stats
Monthly performance across credit hedge funds

Fund performance: Index tranche investors make it work from home
March brought a drastic drop in return figures as covid-19 swept across the globe, as Orchard tops the Creditflux performance tables

Ucits at a glance: Long-short credit capitalises on coronavirus
Ucits funds were not spared from the crash in mid-March, but Pictet outperforms

Covid-19 'perfect storm' for European CLOs, but they're 'showing strength', says S&P
S&P Ratings has described European CLOs as 'showing strength' amid the covid-19 pandemic