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Opinion
March 2022 | Issue 243
Past returns
Ellington invents triple C-flex CLOs
Five years ago, Creditflux reported that Ellington Management was launching a US CLO business, with the firm taking a view that US risk retention rules could create an attractive entry point.
Three months later Ellington priced its first deal, pioneering triple C-flex CLOs by structuring it with a 50% bucket for triple C-rated assets. Ellington followed up with three similar CLOs, the last pricing in March 2019.
These CLOs have performed poorly and Ellington jettisoned plans to bring this approach to European CLOs. However, Z Capital and HPS have since tweaked the formula and priced similar deals.
Points up front
Price is right on trend with new CLO ticker game
The best ideas often come about when you’re knee-deep in CLO tickers. That’s the case for Prytania Solutions, which last month launched a CLO version of the popular word-guessing game Wordle.
Senior product manager Matt Price tells us that inspiration struck after a long day working on upcoming CLO total return indices. He says he wrote the code for a prototype in the middle of the night on a Thursday and WordleCLO was ready by Monday.
“I was working late, and I think from being immersed in looking at CLOs all day while working on TRI [total return index], the idea came to build a CLO version of Wordle using the five-letter deal tickers of US and European CLOs,” he says. “If nothing else, I thought it might be something fun to share with some of our friends in the industry.”
But the game, dubbed WordleCLO, has gone viral with Price indicating thousands of structured finance professionals across the world play.
Get back to work, the lot of you!
It’s work, I promise: Prytania’s CLO ticker game has thousands of players workers
CLO buyers get everywhere
Last month Bank of America research noted how US banks had made huge strides in buying triple A-rated CLO paper last year. However, the research was careful not to reveal the new buyers that had entered the market in size.
We suspect some may have been sitting very close to the report’s authors.
THEY SAID IT
“Whichever CSA number you use, it’s wrong”
PGIM’s co-head of securitised products, Edwin Wilches, says adding a credit spread adjustment to primary CLOs does not make sense. He is pleased it has become standard to absorb this adjustment into CLO spreads.
Global credit funds & CLO's
March 2022 | Issue 243
Published in London & New York.
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