CDOs

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.

Managing a loan portfolio these days may feel like a roller coaster ride with no seatbelt. In the past six weeks, the car has been inching up the incline, along with secondary loan prices and the number of repayments. However, market participants believe the loan market is about to take another plunge.

PF2 Securities Evaluations, a provider of CDO security evaluations and analytics, hired Ilona Roze as a legal associate.

Financial advisory firm Capital Market Risk Advisors (CMRA) hired Peter Niculescu as partner and head of fixed income.

Departing from its usual spot in Las Vegas, the American Securitization Forum will be holding its annual 2010 conference in Washington, D.C.

Fitch Ratings has observed a larger number of asset managers removing credit impaired assets at prices below par, resulting in realized loss to CDO collateral.

This is the second of two parts of an article examining the dilemma confronting CLO mangers who wish to improve their portfolios by trading rapidly deteriorating loans for better-performing so-called "deep discount" loans. This portion focuses on the industry's call for reform and suggests solutions to this problem.

Credit organizations, including Moody's, have been increasing measures aimed at diligently and continually evaluating the limitations of financial models and the assumptions and data behind them, especially with regard to structured securities. These steps can bolster the assessment of analytical uncertainties.

Standard & Poor's lowered its ratings on 247 classes from 195 corporate-backed

Fitch Ratings withdrew the 'CAM2' CDO asset manager rating assigned to Cohen & Co. Financial Management as a manager of CDOs backed by trust preferred securities or TruPS.

In recent months, portfolio managers of cash flow CLO vehicles have been faced with the unenviable task of keeping their CLOs afloat in an environment in which bank loan prices in the global loan markets have declined to unprecedented levels. This task has become increasingly difficult, due in large part to certain provisions in the underlying CLO documentation that, in today's illiquid market, no longer operate as intended. At a time when it is more important than ever for managers to actively manage the credit risk in their CLO portfolios, CLO managers have suddenly found their hands tied by provisions that, while initially conceived to safeguard the credit quality of CLO portfolios, now serve as a disincentive for managers to replace credit impaired loans with stronger ones. This article will examine the dilemma confronting CLO managers who wish to improve their portfolios by trading rapidly deteriorating loans for better-performing so-called "deep discount" loans.