Contents

ABS

Asset managers capitalising on strong demand

European ABS funds have a good May

May brought renewed strength to the European ABS market, as easing geopolitical tension and lower eurozone inflation improved risk sentiment. Monthly fund factsheets monitored by SCI suggest that asset managers responded by capitalising on strong demand and attractive carry opportunities particularly in UK and European consumer ABS.

Amundi portfolio managers reported that “the primary market resumed its course in May with a total of €15.5bn in placements”, with the firm participating in several new issues across the continent. These included “consumer loans in Spain…auto loans in Germany…residential buy-to-let loans in the United Kingdom.”

Mezzanine tranches, which remained heavily oversubscribed across the board, led the rally. TwentyFour Asset Management highlighted the performance of UK RMBS where “Triple-B bonds… printed at 1.5% over Euribor, which compared with initial guidance of 2%.”

The firm also noted that healthy demand extended across the capital structure, including triple-As, where yields “above 0.8% over SONIA found a lot of demand from investors.” The improved technical backdrop and reduced supply in April set the stage for May’s recovery.

Aegon managers also saw strength in ABS markets, stating: “Spreads started tightening further, and issuance conditions for primary deals improved again.” The firm reported €10bn in ABS issuance for the month, amongst the highest monthly volumes in years. They added that “given the positive risk sentiment, European ABS showed strong performance in May,” with high carry contributing significantly to total returns.

Despite the rebound, macroeconomic concerns still shape strategy. TwentyFour remains selective, warning that “the team is cautious about vulnerable borrowers due to expectations of increased arrears,” even as they remain constructive on overall fundamentals. The firm emphasised the importance of maintaining flexibility and liquidity amid persistent volatility across global financial markets.

Amundi echoed these concerns, maintaining defensive positioning in parts of the market. It continues to avoid CMBS due to structural limitations. “The relatively high spreads offered on these products do not justify the concentration of credit risk, the additional complexity… and the relatively lower liquidity,” the fund says. The Amundi team has kept elevated credit protection in place, citing ongoing political uncertainty and inflation dynamics as key reasons for their caution.

Aegon provided further quantitative context, highlighting that so far this year, ABS issuance has already reached 95% of 2024 levels. However, the firm also noted that “there is limited upside for spreads and risks are to the downside,” with valuations now near multi-year tights. Consequently, income remains the priority: “Carry will be the most important driver of returns and is meanwhile providing downside protection in case of (interest rate) volatility flaring up.”

As markets head into the summer months, asset managers are united in their measured optimism. Aegon continues to prioritise stable income and prudent asset selection to manage credit dispersion.

TwentyFour is focusing on higher-quality segments of the ABS market, such as triple-A bank-issued RMBS and shorter-dated triple-B consumer ABS, viewing these as areas with the most compelling value relative to risk.

Meanwhile, Amundi remains selectively positioned, balancing the opportunities offered by spread compression with the need to protect portfolios against macro shocks. The strong rebound in May suggests renewed investor confidence, but the road ahead will require sustained discipline.

Aegon European ABS Fund returned +0.58% in May 2025. YTD: 1.48%
Fund size: €8.41bn ABS/MBS allocation: 72.4%

Amundi ABS returned 0.66% in May 2025. YTD: 1.43%
Fund size: €1.12bn. ABS/MBS allocation: 59.14%

Janus Henderson ABS Fund returned +0.80% in May 2025. YTD: 2.18%
Fund size: £499.86. ABS/MBS allocation: 67.47%

TwentyFour AM Monument Fund returned 1.04% in May 2025. YTD: 2.28%
Fund size: £2.13bn. ABS/MBS allocation: 62.62%

Matthew Manders

CLOs

Multicurrency CLOs gain traction in Europe's private credit push

European managers explore cross-currency strategies to unlock middle market potential amid diversification/hedging struggles

European CLO managers have started exploring multicurrency portfolio structures, especially in private credit scenarios, to cope with the continent's limited asset pool and seek new avenues for diversification. 

According to industry experts at rating agencies, the trend of looking to multicurrency portfolios represents a marked departure from traditional approaches, with managers looking beyond conventional BSL portfolios to overcome what market participants describe as a “persistent diversification challenge in the European market”.  

Lead structured credit analyst at S&P Global Ratings, Sandeep Chana notes multicurrency structures may become more prevalent for managers looking to optimise their portfolios across European jurisdictions. "To help mitigate some of the FX risk, they may put together a CLO structure where the liabilities could be in different currencies," he tells SCI. 

Unlike in the US, European asset managers have a smaller pool of available collateral and therefore struggle more to diversify their portfolios and must be more creative in the process. “The pool of collateral is so limited in Europe. The overlap is massive. There's only so much you can do," adds Volker Gulde, associate managing director at Moody’s.   

Chana sees a potential advantage in Europe’s structure, where a handful of countries operate with different currencies."We wouldn't be surprised if you see a proposal where you have a full middle market portfolio but in different currencies," he says. “Think about a manager here in Europe who, for example, is originating middle market loans in Europe but also in the UK as well. They're going to have two different currency type assets.” 

Road to scale 

As the European private credit CLO market continues to develop, multicurrency approaches may become an important tool for achieving a diverse portfolio.  

In 2018, Barclays launched a multi-currency CLO based on a £4.5bn portfolio of corporate loans made by the bank to borrowers in the UK and Europe. The deal comprises three large tranches denominated in euro, US dollar and sterling, and, for experts in the industry, was considered an unusual transaction on the market. 

Chana highlights these types of diversifications are not entirely novel in the market but might be even more attractive in the private credit sector. "It's nothing new and could be a possible route in how the middle market space for CLOs may evolve.” 

The possibility of combining private credit CLOs and multicurrency portfolios comes at a period when the middle market sector has started to show its face in Europe. Last November, Barings priced the first European middle market private credit CLO, Barings Euro Middle Market CLO 2024-1, at €380m.  

Similarly, earlier this month, the first European Direct Lending CLO, Ares European Direct Lending CLO 1, priced at £305m, marking another pivotal move in the CLO market. 

Risk and cost complicate currency diversification 

Despite the optimism, the multicurrency approach comes with challenges and according to Ian Perrin, associate managing director at Moody’s, the European BSL CLO market might still be far from US levels. Speaking at Global ABS in Barcelona last week he says: "BSL did not go down this route because it's just having a risk impact if you leave it unhedged. If the liability hedging isn't perfect, it will create shortfalls.”  

Matthias Neugebauer, md and EMEA head of structured credit/CLOs at Fitch Ratings, echoes these concerns, noting that whilst multicurrency portfolios have been discussed extensively, the actual implementation of it in Europe remains a challenge. "We have been talking about multicurrency for over a decade, which proves that investors can be reluctant on that because they may see it as an additional risk," he says. 

For Perrin, the hedging challenges are also significant, with managers struggling to achieve perfect asset-liability matching across different currencies. "It is hard to find the funding for such moves. At the top of the company structure, that's too expensive," he notes. 

"You're always trying to make some asset liability hedging by issuing some notes in different currencies, but they can go out of sync with the assets depending on prepayments." 

Neugebauer reinforces these hedging concerns, explaining that cost implications make multicurrency structures prohibitive for many managers, despite their theoretical diversification benefits. 

Marina Torres 

Capital Relief Trades

Santander AM set to boost SRT offering?

SRT Market Update

Santander Asset Management is reportedly in the early stages of fundraising for an SRT fund dedicated to buying Santander-issued SRTs.  

Market sources suggest that the fund will specifically target mortgage assets, in anticipation of the new EU Securitisation Regulation framework. In the current context, the proposed adjustments to the CRR suggest lower capital for low-risk assets. Lower-RWA asset classes (including prime residential mortgages) would benefit from reduced risk weights on retained senior tranches, making SRT feasible for such portfolios. 

In other news 

In Norway, the Securitisation Regulation is set to be implemented in the EEA Agreement from 1 August 2025, with corresponding Norwegian legislation expected to take effect on the same date. While formally parliament needs to vote a second time (timing TBC), for all practical purposes the vote has been passed. This significant development will finally officially clear the path for SRT deals and cash securitisation of Norwegian portfolios. 

Vincent Nadeau

Capital Relief Trades

CaixaBank stays on trend with SRT deal on corporate loan portfolio

SRT market update

CaixaBank has completed its second SRT via a securitisation fund (Fondo de Titulización), referencing a €2bn portfolio of corporate loans. 

Structured as a CLN, Caixabank placed the €115m mezzanine tranche among investors. Regarding pricing, sources familiar with the transaction confirmed that “it is in line with the risk of the portfolio” – as its usual in this type of transactions. 

The transaction however is not a repeat of their TER programme (equally placed via a Fondo de Titulización), which featured similar terms. In its Pillar 3 disclosures, Caixabank highlighted capital management as a main motivation for such transaction(s): “In 2024, RWA rose by €9.3bn due, to a large extent, to organic growth in lending to companies. Also, regulatory requirements have increased following the adaptation, among others, of the mortgage model and the consumer model to the EBA risk parameter guides. All of the foregoing has been partially offset by the active capital management measures, such as the emission of the synthetic securitisation Ter I.” 

CaixaBank’s latest SRT is a clear reflection of the trend currently observed in the European market – particularly in the south of the region, where Spanish banks continue to lead the way for their active participation. Well placed market sources confirm that this is just one of several transactions in the pipeline over the coming months. 

Commenting on the broader market appetite, sources in the space highlight that “right now, SRT is the deal of the moment – there are plenty of investors willing to put money in this market”. 

A&O Shearman advised Caixabank on the transaction. 

Dina Zelaya 

Capital Relief Trades

CACLN shelf makes comeback

SRT market update

Deal Information: 

JP Morgan Chase (JPMCB) has priced CACLN 2025-1, a synthetic securitisation referencing a US$2bn pool of prime-quality auto loans originated by JPMCB. 

The synthetic CLN transfers the credit risk to the bondholders through a hypothetical tranched credit default swap on a reference pool of fixed rate auto installment contracts with prime-quality borrowers, secured by new and used automobiles, cars, utility vehicles and trucks. JPMCB is the originator and equally acts as the servicer of the reference obligations. JPMCB retains the senior portion and first loss portion of the credit risk by retaining the class A and class R tranches, respectively. CACLN 2025-1 has one reference pool with a pro rata payment structure on the notes. All but the class R tranche benefit from subordination. 

The CACLN shelf makes a comeback, following a 4-year hiatus and CACLN 2021-3. Similarly to CACLN 2021-3, in the latest transaction, the residual (R) tranche is retained and not sold into the market.  

Additional Information: 

The reference pool as of the 31 May 2025 cut-off date consists of 64,294 auto loans to prime borrowers with an aggregate unpaid principal balance of US$2,000,010,873 and a weighted average APR of 5.3%. JPMCB originated 51.0% of the pool through the indirect retail channel and the remaining 49.0% of the pool through the partnership channel. Status of vehicles: 78% new; 22% used.

CACLN 2025-1

Vincent Nadeau

ABS

Australian ABS undergoing period of transition

Bank retreat diversifying securitisation landscape

The Australian ABS market is undergoing a period of transition, driven by reduced activity from major banks, growing participation from non-bank lenders and a slow but steady evolution in green securitisation. These themes were discussed during the Australian Securitisation Forum’s recent London Investor Seminar, during which speakers discussed funding dynamics, environmental risk considerations and consumer resilience amid tightening financial conditions.

A key trend identified by panellists at the event was the retreat of major banks from regular ABS issuance, allowing non-bank lenders to expand their role in the Australian securitisation market. “We’ve had to ensure we maintain a strong funding base,” one speaker commented. “We don’t focus on the fringe or non-conforming space; we target prime borrowers and compete directly with the banks.”

The shift has helped diversify the Australian ABS landscape, while increased investor interest has supported the funding outlook. “Markets have been very receptive. We’re seeing more offshore investors looking closely at Australia,” the panellist added, highlighting continued appetite for the country’s high-quality, transparent ABS structures.

Meanwhile, green securitisation is emerging as a developing theme. The Australian government has introduced tax incentives for EVs, resulting in an uptick in EV originations and gradual changes in collateral pools to reflect this.

One issuer noted a marked shift in investor expectations: “When we did our first deal, only 3% of the portfolio was EVs. Now that figure is 15%-16%, largely in response to investor demand for ESG-aligned exposure.”

However, this transition has not been without challenges. Rating agencies are still cautious about EV residual values, with some imposing haircuts that affect overall deal economics.

“It has been an interesting dynamic. You’ve got investors pushing for more EV content, but rating agencies are still sceptical,” the issuer added.

The evolution of EV securitisation will likely depend on the availability of further data around vehicle performance and secondary market behaviour.

Despite macroeconomic concerns, the Australian ABS market continues to be underpinned by strong asset performance. While the Reserve Bank of Australia has trimmed its policy rate to 3.5% as of May, affordability and consumer stress remain live concerns. Still, panellists reported robust transaction performance and limited impact on underlying credit quality.

“The Australian consumer has proven incredibly resilient,” said one speaker. “Income tax cuts and government utility support have helped keep households afloat. And from a structural standpoint, the speed at which these deals amortise adds another layer of protection.”

In the auto ABS space in particular, structural safeguards remain solid. “Even if arrears pick up slightly, there are so many embedded buffers that the risk of actual losses remains extremely low,” the panellist said.

As 2025 progresses, the Australian ABS market finds itself at a crossroads of innovation and resilience. With new issuers stepping up, ESG demands increasing, and consumers holding steady, the outlook remains cautiously optimistic, provided that investor confidence and policy support continue to align.

Matthew Manders

Asset-Backed Finance

Carlyle and Citi ink ABF partnership for fintech lenders

Firms merge private-public market expertise to fund fintechs across credit lifecycle

Carlyle Group and Citi have launched a long-term asset-backed finance (ABF) collaboration targeting the fintech specialty lending space – an alliance poised to transform the way institutional capital reaches the US$18trn consumer credit market.

“We’re not just providing capital – we’re offering end-to-end financing solutions that help these platforms grow, evolve and eventually access public markets,” says Akhil Bansal, head of asset-backed finance at Carlyle Global Credit. “It’s about being there across the lifecycle of fintech credit platforms.”

Fintech platforms have been disrupting traditional banking by using faster, technology-driven and data-centric loan origination models. However, these platforms need substantial capital to scale. 

This partnership addresses that need: Carlyle provides private credit solutions - including equity, warehouse lines and structured finance - while Citi brings public market access, securitisation expertise and balance sheet financing.

“Banks used to do everything – originate, hold, distribute,” explains Bansal. “That’s fractured now. You have specialists at every stage, and partnerships like this one are about knitting them together with capital and intelligence.”

“This client base has varying funding and capital needs, and we are in a prime position to support them on their growth journey with the expertise and capabilities of a distinguished leader such as Carlyle,” says Rajiv Amani, global head of private markets coverage at Citi.

Carlyle and Citi’s collaboration began informally, as both firms repeatedly found themselves looking at the same opportunities. 

Citi’s Spread Products Investment in Technologies (SPRINT) group, the bank’s venture equity arm focusing on fintech companies, often overlaps with Carlyle’s ABF platform, which is already active in acquiring, financing and investing in fintech-originated credit.

“What started as organic coordination turned into a clear realisation. We both bring different capabilities. Together, we’re much more powerful, so we decided to formalise this joint effort,” explains Bansal.

“Our unique strategic partnership with Carlyle enables us to exchange insights and collaborate at inception, as we holistically evaluate fintech lenders' financing requirements,” adds Amani.

The partnership involves regular deal-sharing, pipeline discussions and strategic intelligence exchanges. 

“We were just on a call with Citi this morning, reviewing fintech deals we’re each looking at,” notes Bansal. “Some we’ve passed on, and sharing that ‘why’ is part of the value.”

This model forges a new generation of risk management and data analytics across a highly fragmented fintech lending universe.

“These fintech platforms use their own underwriting algorithms, data models and loan structures,” says Bansal. “For Carlyle and Citi, that means building infrastructure that can aggregate, normalise and risk-manage across dozens of credit verticals. That’s not easy, but that’s where real alpha lies.”

With performance data scattered across different ecosystems, the firms will need to develop standardised analytics frameworks, enabling them to securitise loans while maintaining robust portfolio-level oversight.

In addition, Carlyle and Citi are only focusing on fintech companies with clear competitive moats and defined value propositions.

“We’re looking for credit opportunities that are data-rich and resilient, not speculative,” explains Bansal. “We’re not chasing the new, unproven models. We want to back players who are doing things better; not for the first time, but in a better way.”

This includes consumer lenders, alternative asset-backed originators (such as royalty or subscription-based models) and platforms that provide financing for specific verticals, including healthcare, education or contractor services.

“This isn’t a one-and-done partnership. There’s no expiration date,” highlights Bansal. “It’s about being a long-term, strategic capital partner, not a transactional one.”

By combining Carlyle’s private markets expertise with Citi’s public markets access, the partnership creates a financing ecosystem fintechs can grow within, from early warehouse funding to full securitisations.

Marta Canini

Asset-Backed Finance

AvCap and BBB partner to scale UK fintech ABF

Avellinia and British Business Bank join forces to target the mid-market SME funding gap

Asset-Backed Finance

Oaktree's ABF pipeline 'exploding'

After fielding over 300 deals worth US$20bn since 2023, the firm is doubling down on unrated private credit

Oaktree Capital Management is experiencing an exponential increase in asset-backed finance (ABF) deal flow, with more than 300 unique transactions totalling nearly US$20bn crossing its desk since May 2023. The surge - driven by a shifting bank posture, public market dislocation and the firm’s push into unrated ABF opportunities - shows no signs of slowing.

“Our pipeline is exploding,” says Jennifer Marques, head of strategy and structuring for Oaktree’s structured credit strategy.

The spike follows the launch of a dedicated ABF step-out strategy last year, aimed at capitalising on what Marques calls "a long-term structural shift" in credit markets.

“We’ve been investing in ABF for decades in various Oaktree funds, including our flagship Global Opportunities strategy, but now everyone is excited. We are very excited about the performing private credit version of the opportunity,” she says. 

That opportunity, she explains, requires both a data-driven approach and deep industry expertise. “Oaktree pairs structured credit specialists with sector experts – such as veteran investors who’ve created five different aircraft leasing platforms – to underwrite deals more holistically.”

With traditional lenders pulling back and insurance capital limited by rating constraints, Oaktree is capitalising on a pricing sweet spot in unrated, but still downside-protected, asset-backed finance.

“We’re seeing spreads in the SOFR plus 650bp-800bp range – significant premiums over corporate direct lending or comparable rated ABS,” notes Marques. “We’re getting overpaid for risk. We’re not looking for private equity-type returns - which our counterparties like - but, as a corollary, we’re not looking to take private equity-type risk - which our clients like.”

Oaktree’s flexibility gives the firm an edge. “Our capital is not rating-sensitive, and that’s a key differentiator,” says Marques, highlighting the contrast with platforms backed by insurance balance sheets.

In addition, the recent surge in deal volumes highlights Oaktree’s position as a trusted private lender amid market dislocation. “After Liberation Day, when there was a lot of uncertainty, public ABS markets looked like they were shutting off,” says Marques.

Oaktree stepped in promptly, pricing risk accordingly. “Spreads widened by 100bp in just a week,” she says. “If things get hairy, Oaktree doesn’t turn off – it turns up.”

While consumer credit still dominates much of the ABF universe, Oaktree is deliberately steering in a different direction. “We intend to be selective in areas such as consumer and residential,” says Marques. “Which may result in Oaktree being underweight these sectors, compared to other ABF managers.”  

Instead, the firm is leaning into areas including equipment leasing, digital infrastructure and specialist verticals, such as aviation and SRT transactions.

Recent hires underscore this focus. Earlier this year, the firm brought in Rana Mitra, former md at Atalaya, where he led the investment and portfolio management for its equipment fund, and focused on other specialty finance verticals.

“We are excited about equipment financing at the moment. We believe that some areas of the data centre market are quite crowded, but the infrastructure supporting the production and power of data centres is an interesting area,” says Marques. “We’re also seeing a lot of really interesting things in fibre to the home in the US, for example.”

Within consumer finance, Oaktree is highly selective, preferring deals which finance essential goods, such as auto loans, HVAC systems and solar panels, and include richer interaction with the borrower than an online lending platform.

“People stop paying the faceless online loan first,” Marques explains. “We prefer consumer exposure where there’s point-of-sale contact and essential goods or services, where the borrower is more likely to prioritise repayment.” 

Although Oaktree leverages data science, Marques criticises the over-reliance on AI-based consumer credit models post-Covid. “Stimulus cheques fooled a lot of algorithms. The data looked strong on the surface, but only human judgment could have spotted the underlying fragility,” she says.

As for the broader market, even with potential regulatory shifts on the horizon under the new US administration, “the direction of travel is clear,” according to Marques.

With banks retreating, structural constraints on insurance capital and vast unmet demand, Oaktree sees unrated ABF – an opportunity it pegs in the “mid-hundreds of billions” in size – as the next frontier of private credit.

Marta Canini

Structured Finance

Job swaps weekly: Blackstone hires CLO veteran from Jefferies

People moves and key promotions in securitisation

This week’s roundup of securitisation job swaps sees Blackstone snapping up Jefferies’ global head of CLOs. Elsewhere, Chorus Capital's head of origination resigns to take up a new challenge, while Värde Partners has launched a fund finance strategy. 

Blackstone has hired Jefferies’ global head of CLOs and head of European securitised markets, Laura Coady. Coady confirmed the moved to SCI saying she will be starting her new role in October running CLOs globally and as head of liquid credit in Europe. She joined Jefferies in 2020 after 14 years as head of European CLO primary business at Citi. 

Coady will report to Dan Leiter, head of international and global head of liquid credit strategies. She will lead a team including Michael Sobol, head of CLO investing, Alex Leonard, head of European loan business, David Cunningham, European CLO portfolio manager, and Jane Lee, head of CLO capital formation. 

The firm has also hired Joseph Cassanelli, formerly co-head of Lazard’s US financial institutions group, as senior md in its tactical opportunities team. Cassanelli, who is based in New York, leaves his role as md at Lazard after 23 years with the business. Blackstone’s tactical opportunities strategy has around US$34bn in AuM and invests in private investment opportunities that lie beyond traditional private equity and private credit. 

Meanwhile, Juan Grana has resigned from Chorus Capital. Grana, who initially joined Chorus Capital as md and senior portfolio manager, ultimately held the role of head of origination. Prior to his three-year tenure with the London-based private credit manager, Grana spent three and a half years at ArrowMark Partners, where he set up their European office. Additionally, Grana spent more than 10 years at Credit Suisse and almost six years at Nomura. Market sources suggest Grana will join US investment management firm Fortress Investment Group. 

Värde Partners has launched a fund finance platform, which aims to address the increased demand for subscription lines and other fund finance-related products. The firm’s fund finance strategy aims to support bank origination through natural distribution channels, in addition to meeting borrower demands for more structured financing solutions, both of which will expand lending capacity to the market. 

Värde is launching the new platform with US$300m of strategic equity capital from Canada Pension Plan Investment Board, through subsidiaries of CPPIB Credit Investments, in addition to other Värde-dedicated capital. The platform has already closed a forward flow agreement with a large global bank to bolster the bank’s subline origination capacity. 

Shahid Khoja has joined alternative asset manager Turning Rock Partners as partner and head of credit, bringing nearly two decades of experience across public and private credit markets. In his new role, he will lead the firm’s credit investing efforts with a focus on opportunistic strategies, structured products, and special situations.  

Khoja was most recently md and head of credit at Z Capital Group, where he oversaw the firm’s credit investment platform, including sourcing, underwriting, and executing investments across opportunistic credit and CLO strategies since 2020. Prior to that, he held senior roles at Garrison Investment Group from 2013 to 2020, after beginning his career in the corporate credit products group at Bank of America Merrill Lynch in 2006. 

And finally, Business Development Bank of Canada (bdc) has appointed Richard Wong as md, securitisation. Wong was previously a director at TD in Toronto, responsible for structuring SRT and other securitisation transactions across multiple asset classes. He joined TD Securities as a financial analyst in January 2007. 

Corinne Smith, Ramla Soni, Marta Canini, Vincent Nadeau