CDOs

The CLO rally is not just explained by increased risk appetite but also by what has become a less threatening outlook for the sector than originally anticipated, Citigroup Global Markets analysts said in a report this week.

H. David Sherman, a Northeastern University accounting professor who wrote a book on fair-value accounting published earlier this year, is already at work on an expanded edition. He has much to expand on, given all the pronouncements, proposals and debates on the fair-value issue that have cropped up in recent months.

Barclays has repackaged part of a $1 billion CLO portfolio that was downgraded two months ago into new triple-A-rated securities. The CLO is managed by Highland Capital Management.

Standard & Poor's took credit rating actions on 453 European synthetic CDO tranches.

CLO managers are starting to see the positive side affects of the recent rally in the leveraged loan market, as various CLO fundamentals improve. A somewhat surprising phenomenon, considering the market continues to face rising defaults and a still sluggish economy.

MBIA Capital Management Corp looks set to replace Vertical Capital, LLC as asset manager for Vertical CRE CDO 2006-1 Ltd.

KBC Bank reported a surprise profit that was attributed to boosted CDO value from narrowing credit spreads, published reports said.

Deerfield Capital Corp. entered into three supplemental indentures on July 31 with the holders of the trust preferred securities issued by each of Deerfield Capital Trust I, Deerfield Capital Trust II and Deerfield Capital Trust III.

If the leverage finance market has a Mickey Rourke - the actor who wrestled his way back on top - it would probably be the CLO manager. CLOs have experienced a comeback recently, mainly because secondary prices have improved since the first quarter. But market participants believe that CLOs are still on the ropes, and will be for the rest of the year.

Maxim Group expanded its fixed-income team with three additions, the New York-based investment bank announced today. The three new executives will all serve as traders.

KKR Financial Holdings has delevered four of its CLOs to boost liquidity, and the company projects a quarterly profit, it said Tuesday.

Ambac Assurance Corp. (AAC) released its estimated credit derivative impairment and loss as well as loss expenses for the second quarter, Ambac Financial Group said today.

After announcing it had downgraded approximately 500 tranches of 93 U.S and European CLOs, Moody’s Investors Service said Monday that the majority of top-rated CLO tranches are in danger of losing their triple-A rating.

CLO managers are finding creative ways to restructure their portfolios. Following Morgan Stanley’s announcement last week that it would repackage downgraded CDO tranches backed by leveraged loans into new triple-A-rated securities—the first strategy of its kind — Egret Capital has also come up with a new restructuring tactic.

The Committee of European Securities Regulators (CESR) will today publish its final report and feedback statement on the transparency of corporate bond, structured finance product and credit derivatives markets.

When the average person hears the words deep discount, a smile is likely to appear. But when a CLO manager hears those words, it can cause them to shiver. That’s because so-called deep-discounted loan substitutions are a huge problem for CLO managers, though some firms and industry organizations have been working to change that by raising awareness on the issue. And they now say they are making progress.

New York-based Primus Asset Management has acquired CypressTree Investment Management, a Boston-based investment management firm focused leveraged loans and high yield bonds.

Morgan Stanley plans to repackage a downgraded collateralized debt obligation backed by leveraged loans into new securities with AAA ratings.

Moody’s Investors Service published a report today called V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector.

Clients plan to serve Belgian bank KBC with papers stating it didn’t properly warn consumers of risks involved with CDOs, according to published reports.