New CRR retention rules “cast shadow” over European CLO market, say Deutsche Bank

23 May 2013

The latest draft of the European Banking Association’s technical implementation of 5% risk retention rules could deal a serious blow to the European CLO market because it specifically cites investment firms as needing to keep “skin-in-the-game”, according to Deutsche Bank ABS analysts.

CLO managers have been structuring deals until now according to article 122a of the Capital Requirements Directive II. There was a consensus among structured finance lawyers acting on new deals that article 122a provided enough leeway for CLO managers to get around the 5% retention rules by, in ...

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