Are we ready for another crisis?
Credit managers must brace themselves for stress in 2023, as rates rise and the number of poor performing assets increases. But most CLOs look well-placed and can rely on plump OC cushions 

We can cope with downgrades again

You seem familiar
The overlap between European CLOs has risen to 51.6%, but the largest issuers are only slightly more aligned to their peers at 55.19% — so bonds are proving to be an important differentiator

HY fund is exception to rule of CLOs
CLO funds have had back-to-back years of outperformance versus credit, proving the asset class is a great place to invest, rain or shine. But a Wasserstein HY fund was the star performer in 2021  

2020 CLOs find redemption is sweet
The believers have been vindicated with 2020 CLOs among the best-performing of all time by IRR. Even those that have been reset have been a success with par flushes making for huge equity distributions.

New issues keep managers busy in summer season
New issue loans made up 74.1% of volumes in August, supporting US CLO managers looking to ramp up. Spreads tightened to 368bp, but managers can’t complain — it’s much better than in Q1

Leading fund: Lupus Alpha CLO Opportunity Notes I
Single-B CLO trades boost Lupus Alpha asset Management

Pharmaceuticals: Pass the scalpel for ailing Valeant
Struggling drugmaker Valeant needs more than just expensive medicine to survive. It needs rapid surgery.

Gold mining: All that’s gold does not glitter
The price of gold has fallen 40% since 2011 and heavily indebted mining credits have lost their lustre

An end to bump and reval
Adjoint algorithmic differentiation can slash the computational time for valuation by three orders of magnitude. Luca Capriotti and Jacky Lee show how it can be applied to credit

GSO Capital stretches CLO lead
GSO may be cementing its position at the top of our ranking of CLO managers by total assets under management, but beneath it the list is in constant flux

Spotlight on shipping: leaving the storms behind
Some large container shipping lines are returning to profitability. But many tanker credits are still in danger of being lost at sea

Tweaking Archimedes to find tail risk
Natalia Puzanova describes a new way of constructing hierarchical Archimedean copulas which ensures that sampling is straightforward and that tail risk is not underestimated

In defence of the Gaussian copula
It’s been called the model that killed Wall Street, but Jean-David Fermanian argues that the structured credit market’s Gaussian copula model has been unfairly maligned

Opportunities to get close to a hedge fund
Many a CLO manager wants to be a hot-shot hedge fund manager. Credit opportunity funds offer a way to build a track record