SF Research Reports

Moody's Analytics offers articles and whitepapers on relevant and timely issues in the structured finance market. Coverage includes CLOs, RMBS, ABS and CMBS.


   
 Insight Icons White paper

Structured Finance Investments – Key Considerations and Challenges for Classification and Measurement

The classification implications of IFRS 9 register how and where the performance of a financial asset is recorded in the financial statements. It is essential to consider whether cash flows generated from the securities are ‘Solely for Payments of Principal and Interest’ (SPPI) and the business model of the investment book.This report shows the CLO Exposures for Linn Energy, Breitburn Energy, Exco Resources, and Penn Virginia. The holdings total only $23 million across 15 CLO and 6 CLO managers. Interestingly, most of the positions are bonds rather than loans.

Authors: Miten Amin, Vainius Glinskis, Dimitri Kaltsas, David Kurnov
Date: June 13th, 2016

   
Insight Icons White paper  Minimal CLO Exposure to Recent Defaults/Stress
This report shows the CLO Exposures for Linn Energy, Breitburn Energy, Exco Resources, and Penn Virginia. The holdings total only $23 million across 15 CLO and 6 CLO managers. Interestingly, most of the positions are bonds rather than loans.

Author: Peter Sallerson
Date: May 18, 2016
   
Insight Icons White paper 
FMSA Holdings CLO Exposure
This report shows the exposure across CLO’s as of the latest available monthly surveillance report on May 9, 2016. Holdings total $652 million across all CLO’s with 262 investments by 47 CLO managers in 233 CLO’s. Highland has both the highest exposure by Manager and one of the highest maximum exposures by CLO.

Author: Peter Sallerson
Date: May 9, 2016
   
Insight Icons White paper  IFRS 9 Analytical and Reporting Solutions for Structured Finance
With the release of IFRS 9 Financial Instruments, the International Accounting Standards Board set out new requirements for the accounting of financial assets, financial liabilities, and some other contracts to buy or sell non-financial assets. This paper explains the specific challenges facing structured finance investors and outlines how to effectively address these challenges.

Author: Miten Amin, Stephen Clarke, Gus Harris
Date: April 27, 2016 
   
Insight Icons White paper  Valeant Pharmaceuticals Updated International CLO Exposure
Valeant continues to make headlines. This report show its exposure across CLO’s as of the latest available monthly surveillance reports on March 29, 2015.

Author: Peter Sallerson
Date: April 1, 2016
   
Insight Icons White paper Southcross Holdings CLO Exposure
This report shows the exposure across CLO’s as of the latest available monthly surveillance report on March 28, 2016. Holdings total $511 million across all CLO’s with 315 investments by 46 CLO managers in 226 CLO’s which is only a small reduction from the first exposure report in January 2016.

Author: Peter Sallerson
Date: March 28, 2016
   
Insight Icons White paper  Templar Energy CLO Exposure
Templar Energy is a stressed credit. This report shows its exposure across CLO’s as of the latest available monthly surveillance report on March 23, 2016.

Author: Peter Sallerson
Date: March 24, 2016
   
Insight Icons White paper  Peabody Energy Corporation Updated CLO Exposure
Peabody Energy is a stressed credit. This report shows its exposure across CLO’s as of the latest available monthly surveillance report on March 15, 2016. Holdings total $353 million across all CLO’s with almost 125 investments by 34 CLO managers in 123 CLO’s.

Author: Peter Sallerson
Date: March 17, 2016  
   
Insight Icons White paper  Metals & Mining Across the US & Euro CLO Market
This report’s focus is on the Moody’s Industry - Metals & Mining. Both the number of defaults is rising and the credit stress (as indicated by the marks) on the remaining names have increased.

Authors: Peter Sallerson, Helen Yi
Date: March 11, 2016
   
Insight Icons White paper  Noranda Aluminum Corp CLO Exposure
This report shows the exposure across CLO’s as of the latest available monthly surveillance report as of Feb 8, 2016. Holdings total $228 million across all CLO’s with 99 investments by 15 CLO managers in 92 CLO’s.

Author: Peter Sallerson
Date: February 9, 2016
   
Insight Icons White paper  Verso Corp CLO Exposure (Updated)
This report shows the exposure across CLO’s as of the latest available monthly surveillance report as of Jan 26, 2016. Holdings total $112 million across all CLO’s with 48 investments by 14 CLO managers in 47 CLO’s.

Author: Peter Sallerson
Date: February 1, 2016
   
Insight Icons White paper  Moody’s Analytics Equity Score Report CDO Deal Summary Performance, December 2015
Summary of vintage by vintage ranking of the equity returns for CDOs across multiple asset classes (CDOs, BSL CLOs, Emerging market CLOs, SME CLOs, TrUPs, as of December 2015.

Author: Peter Sallerson
Date: January 26, 2016 
   
Insight Icons White paper  Paragon BC (Paragon Offshore) CLO Exposure
This report shows the exposure across CLO’s as of the latest available monthly surveillance report on Jan 21, 2016. Holdings total $256 million across all CLO’s with 179 investments by 33 CLO managers in 126 CLO’s.

Author: Peter Sallerson
Date: January 26, 2016
   
 Insight Icons White paper Southcross Holdings CLO Exposure
This report shows the exposure across CLO’s as of the latest available monthly surveillance report on Jan 21, 2016. Holdings total $517 million across all CLO’s with 319 investments by 47 CLO managers in 231 CLO’s.

Author: Peter Sallerson
Date: January 22, 2016 
   
Insight Icons White paper  Seventy Seven Energy CLO Exposure
Seventy Seven Energy’s loans are under stress. This report shows its exposure across CLOs as of Jan 22, 2016. Holdings total almost $222 million across all CLOs with almost 124 investments by 34 CLO managers.

Author: Peter Sallerson
Date: January 22, 2016
   
Insight Icons White paper  Change in Arch Coal CLO Exposure
Arch Coal’s recently defaulted. This report shows its exposure across CLOs as of January 20, 2016. Holdings total almost $330 million across all CLOs with 129 investments by 30 CLO managers.

Author: Peter Sallerson
Date: January 21, 2016
   
Insight Icons White paper  Inconsistent Industry Designation in CLO Monthly Surveillance Reports
There is industry classification unanimity among collateral managers for less than 1/2 of the issuers as shown on the monthly surveillance reports. On average, there is 83% agreement on the industry for each issuer. The remaining 17% of the industry classifications are often spread across many different industries. Certain industries are more prone to being inconsistently selected. The reason for this inconsistency is likely issuer/CLO manager dependent.

Author: Peter Sallerson
Date: January 6, 2016
   
Insight Icons White paper  EPE Holdings CLO Exposure
This report shows the exposure across CLO’s for EPE Holdings as of the latest available monthly surveillance report on Dec 8, 2015.

Author: Peter Sallerson
Date: December 9, 2015
   
Insight Icons White paper  Chesapeake Energy CLO Exposure
This report shows the exposure across CLO’s as of the latest available monthly surveillance report on Dec 8, 2015 for Chesapeake Energy CLO.

Author: Peter Sallerson
Date: December 9, 2015
   
Insight Icons White paper  Breakdown of CLO Collateral Marked 75 or Below
In this paper, the Moody’s Analytics SF Portal was used to analyze loan collateral marked at 75 or below in the deal currency. Separate analysis was done for the US and European markets.

Author: Peter Sallerson
Date: November 10, 2015
   
Insight Icons White paper  Sabine Oil & Gas CLO Exposure
This report shows Sabine Oil & Gas' exposure across CLO’s as of the latest available monthly surveillance report on Nov 9, 2015. Holdings total $44.4 million across all CLO’s with 32 investments by 6 CLO managers in 32 CLO’s.

Author: Peter Sallerson
Date: November 10, 2015
   
Insight Icons White paper  Patriot Coal CLO Exposure
Patriot Coal is under stress. This report shows its exposure across CLO’s as of the latest available monthly surveillance report on Nov 3, 2015.

Author: Peter Sallerson
Date: November 4, 2015 
   
Insight Icons White paper  Walter Energy CLO Exposure
Walter Energy is under stress. This report shows its exposure across CLO’s as of the latest available monthly surveillance report on Nov 3, 2015.

Author: Peter Sallerson
Date: November 4, 2015 
   
Insight Icons White paper  Peabody Energy Corporation CLO Exposure
Peabody Energy is under stress. This report shows its exposure across CLO’s as of the latest available monthly surveillance report on Nov 3, 2015.

Author: Peter Sallerson
Date: November 4, 2015
   
Insight Icons White paper  Vantage Drilling CLO Exposure
Vantage Drilling Company’s loans are under stress. This report shows its exposure across CLOs as October 30, 2015.

Author: Peter Sallerson
Date: November 3, 2015
   
Insight Icons White paper  Arch Coal CLO Exposure
Arch Coal’s loans are under stress. This report shows its exposure across CLOs as of Oct 27, 2015.

Author: Peter Sallerson
Date: October 29, 2015
   
Insight Icons White paper  Valeant Pharmaceuticals International CLO Exposure
Valeant has been in the news recently. This report shows its exposure across CLOs as of Oct 16, 2015. Holdings total almost $3.8bn across all CLOs with almost 1400 investments by 118 CLO managers.

Author: Peter Sallerson
Date: October 19, 2015 
   
Insight Icons White paper  Oil & Gas Exposure in Cash Flow Arbitrage CLO’s
This report looks at the exposure within both broadly syndicated and middle market CLO’s in both the US and Europe. The focus is on collateral designated in deal surveillance reports as either the Moody’s Industry group of Corp - Energy: Oil & Gas or Corp - Utilities: Oil & Gas. There is approximately $15.9bn equivalent of exposure in the 2 markets with the vast majority of it in the USD market. 

Author: Peter Sallerson
Date: September 29, 2015
   
Insight Icons White paper  Samson Resources Corporation CLO  Exposure
In this document, we include Samson Resources Corporation CLO exposures, listed by deal name, percent of deal and manager following their default.

Author: Peter Sallerson
Date: September 21, 2015 
   
Insight Icons White paper  Defaulted Collateral in CLO’s Today
This study looks at the retention of loans and bonds in broadly syndicated loan (“BSL”) CLO’s once the collateral defaults. The data is based upon collateral reported as defaulted in recent deal surveillance reports.

Authors: Peter Sallerson, Ebony Jones
Date: August 31, 2015 
   
Insight Icons White paper  Millennium Health CLO Exposure 
In this document, we include Millennium Health CLO exposures, listed by deal name, percent of deal and manager following their default.

Author: Peter Sallerson
Date: August 7, 2015
 
   
Insight Icons White paper  Alpha Natural Resources CLO Exposure 
In this document, we include Alpha Natural Resources' CLO exposures, listed by deal name, percent of deal and manager following their default.

Author: Peter Sallerson
Date: August 5, 2015
 
   
 Insight Icons White paper
Collateral Defaults vs. Issuer Defaults
In this paper, we introduce a measure of the current percentage of collateral that is “SD” i.e., if any obligation of any issuer in any CLO is in default, then all obligations of that issuer is SD.

CLO’s report the collateral default percentage.Moody’s Analytics also analyzed the percentage of the collateral that is defaulted assuming all obligations by an issuer are defaulted if any obligation is in default.The Issuer level default percentage under the more expansive definition of default is typically greater than the default percentage reported.Such difference is a useful indicator of the need for further collateral analysis of the Suspected Default collateral.
Author: Peter Sallerson
Date: June 19, 2015
   
 Insight Icons White paper
A New Way to Look at Covenant Lite Collateral in CLOs
While Covenant Lite ("Cov Lite") may have been replaced by risk retention as the topic de jour, it is still important to a significant number of participants in the CLO market. The purpose of this piece is not to comment on the merits of loan covenants, but to help the market better understand their extent in broadly syndicated loan ("BSL") CLO portfolios.

Author: Peter Sallerson
Date: May 27, 2015
   
Insight Icons White paper  Moody’s Equity Score Report CDO Deal Summary Performance January 2015 
CDO Deal Summary Performance

Author: Natalya Furman, Para Lin, Peter Sallerson
Date: April 28, 2015
   
Insight Icons White paper  Moody’s Analytics comparison of different CLOs using the proprietary Structured Finance Portal 
While there are many similarities among CLOs, the careful analysis in this whitepaper shows that the value comes from understanding the differences.

Author: Peter Sallerson
Date: April 1, 2015
   
Insight Icons White paper  CLO Vintage Analysis (2005 to 2014) 
In this release we will show the median, 25th percentile, and 75th percentile results for a variety of CLO performance measures.

Authors: Peter Sallerson & Luis Amador
Date: March 3, 2015
   
Insight Icons Powerpoint slide

Analysis of US CLO Manager Fees: Part 2 of 2
In Part 2 of this series on U.S. CLO Manager fees, we look at trends for deals issued in 2012 and analyze deal performance relative to manager fees.

Are senior and subordinate fees correlated with OC performance? Does the fee structure significantly affect equity returns? 
Author: Andrew Jacobs
Date Published: September 2012




Insight Icons Powerpoint slide

Analysis of US CLO Manager Fees Part 1 of 2
In this two-part series on U.S. CLO Manager fees, we provide a primer on typical CLO fee structures, aggregate-level analysis, and correlations between fee structure and deal performance.

What fees are paid to a CLO Manager? How are manager fees structured? Have manager fee structures changed over time? 
Author: Andrew Jacobs
Date Published: August 2012


Insight Icons Powerpoint slide The Impact of Foreclosure Timlines on RMBS Valuations: July 2011 Update
Since the release of our initial study in February, estimates from the media of the length of the average foreclosure timeline have increased to almost 600 days from around 500. To see the ramifications, we ran an updated analysis of the same sample of 832 U.S. non-agency RMBS deals, which includes both Prime and Subprime.

Author: Andrew Jacobs
Date Published: July 2011



 

Insight Icons Powerpoint slide

New Issue CLO Equity Returns: The Impact of Declining Spreads
Relative to historical levels, recent new issue CLO deals have featured high subordination, high tranche spreads, and high underlying loan spreads to match - all positive signs for buyers of rated notes. However, loan spreads have been declining and already fast loan prepayments may accelerate further. Should this environment continue, how will it affect equity returns?

Authors: Andrew Jacobs & Stephen Clarke
Date Published: April 2011




Insight Icons Powerpoint slide



The Impact of Foreclosure Timelines on RMBS Valuations 
Using a sample of 832 U.S. non-agency RMBS deals, including Prime and Subprime, Moody’s Analytics quantifies the effect of several hypothetical foreclosure timelines on each tranche’s estimated fundamental value (EFV)1. Among other results, we found that the EFV of mezzanine securities generally increases when the foreclosure timeline is doubled while the most senior tranches experience EFV depreciation.

Author: Andrew Jacobs
Date Published: February 2011

Insight Icons White paper

A Quasi-Structural Model of Mortgage Portfolio Losses 
This document outlines the underlying research, model characteristics, data, and validation results for Mortgage Portfolio Analyzer, which is an analytic tool to assess credit risk measures, capital levels and stress scenarios for portfolios of residential mortgages. Mortgage Portfolio Analyzer comprises loan-level econometric models for default, prepayment, and severity. These models are integrated through common dependence on local macro-economic factors, which can be either simulated at national, state, and Metropolitan Statistical Area (MSA) levels or input in the form of stress scenarios. This integration produces correlation in behaviors of loans across the portfolio.

Authors: Roger M. Stein, Ashish Das, Yufeng Ding & Shirish Chinchalkar
Date Published: March 2011


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