June 2021 | Issue 235
Past returns
Having a whale of a time in tranches
In Creditflux 10 years ago we reported on JP Morgan’s “little known prop book” making waves in index tranches.
JP Morgan was selling protection on seven-year CDX HY equity after having built a short position in this tranche. This caused the tranche to sell off on 17 May 2011 while other parts of the CDX HY equity curve were largely unmoved.
We reported that Bruno Iksil was overseeing correlation trading for JP Morgan’s CIO. About a year later, the bank announced trading losses of $6.2 billion, with Iksil dubbed the ‘London whale’.
Iksil left JP Morgan in 2012 and has maintained that he warned officials at the bank about the growing risk attached to its credit derivatives portfolio.
Points up front
Waterway to name and brand your CLO
When taking over a CLO launched by another firm, CLO managers face a dilemma: how do you re-brand it so it’s clear it’s one of your CLOs, but not so much that it fudges your personal track record? Well, HPS Investment Partners has found a neat balance.
The firm has acquired Bardin Hill Investment Partners’ European CLO platform, which includes six self-named CLOs. HPS, which used to be part of Highbridge Capital Management, styles its European CLOs under the Aqueduct banner, because the High Bridge in New York, was originally an aqueduct.
In keeping with this it has decided to rename the former Bardin Hill CLOs as Segovia CLOs. Segovia in Spain has a famous Roman aqueduct.
But Welshcake wonders why Pont­cysyllte Aqueduct in Llangollen, Wales didn’t come under consideration. They think it rolls off the tongue rather well.
Highly liquid: the Segovia aqueduct carried water into the city for almost 2,000 years
CLO Initiative For Change
Well done CIFC Asset Management and other counterparties to a new US CLO, which donated $145,000 to Black Girls Code, an organisation mentoring young girls of colour. This donation was made under a new programme, CLO Initiative for Change, which shortens to CIFC.
Coincidence or not, it is a noble cause to stand for (and sounds better than the business-like Commercial Industrial Financial Corporation).
“The board announces the discovery of a website purporting to represent Volta”
Axa Investment Managers’ listed fund Volta Finance says there is a website falsely claiming to represent it.
Global credit funds & CLO's
June 2021 | Issue 235
Published in London & New York.
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