OC health check: CLO managers drop their breaches
114 CLOs reported overcollateralisation breaches last week, but only three deals reported breaches for the first time

HPS CLO warehouse hit by downgrade as it reaches 8.34% triple C assets
CLO warehouses have been hit with an increasing number of triple C assets in their portfolio. And those in one CLO warehouse managed by HPS increased from 0.5% in March to 8.34% by May

OC health check: slowing of downgrades offers some reprieve for CLOs stuck in breach
89 deals reported overcollateralisation breaches last week, but only seven of these deals were breaching any OC test for the first time, according to the latest reports available on CLO-i

OC health check: US CLOs show improvement as first euro CLOs breach multiple tests
15 deals reported a breach in an overcollateralisation test last week according to the latest reports available on CLO-i, including one European CLO and 14 US broadly syndicated loan CLOs.

Beneath the triple C: downgrade rate slows as $8 billion of CLO loans tumble
May offered some respite to CLO portfolios as corporate downgrades to triple C were reduced heavily - affecting just $6.67 billion of US CLO paper and €1.09 billion of European CLO portfolios

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.

Global CLO league tables - May 2020 YTD
Global CLO league tables - May 2020 YTD

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

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

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

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%)

OC health check: eight CLOs report second month of test failures
20 CLOs reported overcollateralisation test failures last week, of which 12 were new breaches while eight were deals were failing for a second reporting period in a row

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

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

 

Global CLO league tables - April 2020 YTD
Global CLO league tables - April 2020 YTD

Global CLO b-wic round-up: equity makes a return as investors search for price levels
Three European CLO equity bonds have traded with colour attached in the last two weeks in the secondary market

US and European CLO triple Bs hit secondary market as downgrade fear sets in
Downgrade risk is being priced into triple B-rated CLO tranches, according to market sources, after a wave of mezzanine and junior CLO debt tranches swept onto b-wics yesterday

Global CLO b-wic round-up: spreads tighten across the board as bond-flex CLOs trade well
Price levels have tightened and, more importantly, stabilised across the secondary CLO market over the last two weeks, but the Easter break led to a drop off in CLO b-wic supply

OC health check: another two CLOs fail senior OC tests
Two senior overcollateralisation test failures number among 26 deals joining the list this week of CLOs breaching their OC tests in April, according to the latest trustee reports on CLO-i.

Global CLO b-wic round-up: $8 billion of US CLOs listed in record-breaking March
Last week brought an end to the busiest month in both the US and European CLO secondary markets since at least 2014. $7.7 billion of US CLO paper was on sale in March with a further €1.8 billion of European CLO bonds available, bringing the total listed in Q1 to $13.9 billion and €3.6 billion

Who's got the moves Europe: TV producer's loans rally most as recovery begins
The S&P/LSTA European Leverage Loan Index ended the week at 82.98 on 3 April – recovering 4.06 points from 78.92 on 24 March which was the lowest point for the index since the 2008 financial crisis.

Fair Oaks suspends dividends from listed CLO fund citing covid-19 uncertainty
Fair Oaks Capital has suspended dividends on its listed CLO fund “in light of the ongoing uncertainty in economies and markets caused by covid-19 pandemic”, according to an update to investors in the $315 million fund

Global CLO b-wic round-up: CLO triple As recover but mezz left behind
The CLO secondary market was a tale of two halves last week. 100% of all bonds listed in b-wics on Monday and Tuesday had no covers released (either traded or did not trade), but the end of the week was a different story for both markets

Global CLO b-wic round-up: triple A volumes hit nine-year highs, but equity valuations could be "single digits"
Over $2.5 billion of US CLO paper listed in b-wics in last week's manic trading, with a further €435 million of European CLO bonds also on sale. CLO buyers and sellers turned to the safest part of the capital structure – the triple A rated notes – and away from its most illiquid asset class, with no equity bonds listed in either market

Beneath the triple C: mighty CLO buckets from Akorns grow
Rating agencies went on a downgrading spree in February, with Moody’s and Standard & Poor’s cutting 20 corporate names to triple C or below – affecting $2.78 billion of paper in US CLOs and €316.6 million in European CLOs.