What matters is what you do with it
CLO managers yearn for flexibility so they can take advantage when credit sells off. But it isn’t enough on its own: triple C-flex CLOs saw portfolios erode this year, while CBOs outperformed

We can cope with downgrades again

Can someone call the triple A? We’ve stalled
CLO issuers are in need of AAA roadside assistance. Despite the emergence of new buyers, a lack of senior CLO investors — particularly US banks — has brought the primary market to a halt  

Healthcare providers: Heading for the emergency room
Donald Trump’s pledge to scrap the Affordable Care Act has hit a big high yield sector hard

Measuring portfolio counterparty risk
Swaps referencing large credit portfolios present a particular problem when firms attempt to measure their counterparty risk. Agostino Capponi presents a model that could help

In search of a grand unifying theory
Tomasz Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson describe the construction of a model that aims to make credit correlation work bottom-up and top-down

European CLOs take on the wall
Many European CLOs will exit their reinvestment periods within a year and will be vulnerable to rising default rates. Peter Melichar looks at the likelihood of this leading to tranche losses

Re-thinking recovery
Loss-given-default presents an even bigger modelling challenge than default probability. A re-sampling casts light on the best approach

Credit spotlight - Lean, mean driving machines
After paring down fleets and cutting costs in 2008, car rental companies have recently posted strong earnings and most could now make profits even in a recession

Cracking the coco pricing conundrum
By drawing paralells between cocos and credit derivatives, it is possible to put a rough price on cocos – and a limit on coco issuance

Katonah woes put focus on public credit vehicles
Katonah Capital’s row with Deloitte, its auditor, and its restatement of the fair values of its assets, highlight the difficulty permacaps face in valuing illiquid assets

It’s about leverage
For GSC’s US loan team, liquidity is nice. But what really matters is choosing low levered loans and working with the borrowers

Looking for the local angle
After a year of double digit growth, investors in emerging markets local currency debt will have to work harder for returns

Super senior surge brings record synthetic CDO notionals
Super senior surge brings record synthetic CDO notionals