Collateralised loan obligations (CLOs)
Applying scenario analysis to climate risk
Matthew Lightwood, director, risk solutions at Conning, discusses the application of stochastic modelling with scenario analysis to quantify climate risk in a portfolio
Insurers’ favourite credit rating becomes more expensive
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
Even Covid couldn’t stop insurers buying risky CLO tranches
NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings
Navigating UMR with the right partnership
The importance of uncleared margin rules (UMR) was brought sharply into view by the collapse of Archegos Capital Management at the end of March, resulting in more than $10 billion in losses at several prime brokers. IHS Markit considers how partnerships…
Botched fallbacks leave CLOs facing early Libor switch
Nearly two-thirds of CRE securitisations issued since 2019 have already triggered fallback clauses
Citi-led consortium plans multibank CLO trading platform
‘Project Octopus’ aims to fend off independent platforms eyeing a push into CLOs
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
Top insurers mark down CLO holdings following Covid-19 tumult
MetLife discloses $773 million unrealised loss
Banks reject SOFR in Fed’s Covid lending schemes
Emergency loans to businesses get caught up in Libor transition
Luxembourg regulator probes loan investments by Ucits
Lawyers say CSSF has already told a number of funds to prepare to sell their holdings
Asian investors primed to buy more CLOs, experts say
Liquidity and diversification are drivers for demand, after US loan market’s recovery from blip
Leveraged loan risks concentrated in handful of banks – FSB
US lenders make up 55% of exposures among global banks
UK banks could withstand leveraged loan crisis
Losses projected to hit overall CET1 capital ratios by 40 basis points
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
Hedge fund of the year: Hildene Capital Management
Risk Awards 2020: A high-return hedge fund weathers the storm in structured credit
Fed underscores run risk of corporate bond funds
Total AUM of junk bond and bank loan funds was around $350 billion in Q2 2019
EU alternative funds hold €17bn of CLOs
Over 50% of AIF exposures concentrated in top 20 funds
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
Credit derivatives house of the year: Societe Generale
Asia Risk Awards 2019