Contents

Asset-Backed Finance

IP rights and royalties ABS: private shift - video

MetLife Investment Management's Priya Desai speaks to SCI about the private market, IP-backed deals and growing investor appetite

Priya Desai, md at MetLife Investment Management, speaks with SCI’s Marta Canini about the evolving landscape of intellectual property securitisation. She discusses her recent move from MetLife’s public structured finance team to the private side, the expanding scope of IP-backed deals beyond music royalties, and the unique challenges of underwriting intangible assets. Looking ahead to 2025, she highlights growing investor appetite for esoteric asset classes and notes that while both public and private execution have a role, institutional capital is increasingly flowing toward private deals. 

Marta Canini

CLOs

Dechert guides first reinvesting private credit CLO as investor interest accelerates

Innovative reinvestment structure and non-traditional features highlight growing flexibility in the market

Law firm Dechert has advised Ares Management on its first European private credit CLO, a deal that builds on the groundwork laid by the landmark Barings transaction late last year and demonstrates growing investor and manager interest in private credit securitisation across Europe.

Ares European Direct Lending CLO 1 which launched last month marks a notable evolution from the Barings Euro Middle Market CLO 2024-1 deal, which closed in December 2024. While the Barings deal was structured as a static vehicle - meaning no reinvestment post-closing - the Ares transaction introduces a reinvestment period, allowing the manager to recycle principal proceeds into new private credit assets.

“This structure is a step forward in the development of the European private credit CLO format,” Aaron Scott, partner at Dechert, who advised on both deals, tells SCI.

“It reflects a growing appetite for innovation within the CLO market and the increasing institutionalisation of private credit in Europe.”

The Ares deal also includes several additional differentiating features. It is denominated in sterling, whereas most European CLOs, including Barings 2024-1, are typically euro-denominated. The issuer is a Luxembourg-domiciled SPV, diverging from the market norm of using Irish SPVs.

“Those structural changes - sterling denomination and a Luxembourg issuer - are unusual in the European CLO context,” Scott explains. “But they reflect both Ares’ global investor base and flexibility in structuring.”

Drawing on middle market US templates

The deal documentation was developed using Ares’ BSL CLO documents as a base, but with significant modifications to accommodate private credit-specific requirements.

“We made extensive changes to align the definitions and mechanics with the nuances of private credit,” says Scott. “Some of the drafting drew from our work on the Barings transaction and also borrowed mechanics from US middle-market CLOs.”

One such adaptation concerns PIK interest, which is more common in private credit than in traditional BSL portfolios. Careful legal drafting was required to reflect this within the CLO framework. Another distinction lies in the triple-C bucket, which tends to be larger in private credit CLOs, requiring thoughtful calibration of concentration limits and investor protections.

From a legal standpoint, Scott identifies two key challenges in private credit CLO execution. One being tax structuring – especially where loans are originated by funds affiliated with the CLO manager.

The second is loan transfers – ensuring a true sale of assets from affiliated originators to the CLO SPV and obtaining rating agency comfort around this aspect.

“In many cases, the underlying loans were originated within one of the manager’s own private credit funds. Structuring a true sale and meeting regulatory and rating agency standards around that can be complex,” Scott notes.

Growing interest, simpler retention

While private credit CLOs require bespoke structuring, Scott notes that certain regulatory aspects - particularly risk retention - can be simpler to comply with compared to BSL CLOs.

“You typically have a clear originator infrastructure in place, because the loans were originated by the manager or its affiliates,” he says. “That makes the retention analysis more straightforward than in BSL CLOs, where the assets are acquired from the market and there is often no identifiable originator.”

Investor interest in private credit CLOs is growing, and the Ares deal which priced just ahead of the Global ABS conference in Barcelona has only added to the momentum.

“There’s clearly appetite among both managers and investors,” Scott adds. “We expect private credit CLOs to become a growing part of the European securitisation landscape.”

Ramla Soni

Capital Relief Trades

UniCredit and PGGM join forces again

SRT market update

UniCredit Bulbank and PGGM have finalised €2.1bn SRT referencing a portfolio of corporate and SME loans granted to clients in Bulgaria.  

In terms of structure, the issuer retains the first loss and senior tranches, while PGGM purchases the second loss tranche.  

This is to date, the largest transaction executed in Bulgaria. Additionally, the transaction forms part of UniCredit ARTS program which sits within UniCredit’s strategy to increasingly use SRT as an effective tool to enhance capital efficiency and to widen lending capabilities. 

UniCredit Bank acted as sole arranger and placement agent for UniCredit Bulbank. 

In terms of partnership, this is the second time UniCredit and PGGM have completed a deal together following last year’s Project ARTS Morava.  

Finally, this is UniCredit Bulbank’s second SRT as issuer after its debut deal with the EIB group.  

Vincent Nadeau

Asset-Backed Finance

ABF emerges as go-to strategy for evergreen private credit funds

Open-ended private credit vehicles draw institutional and retail capital with repeatable, cash-flowing ABF strategies

Asset-backed finance (ABF) strategies are gaining momentum in the growing market for evergreen funds – open-ended vehicles that are increasingly appealing to both institutional investors and private credit managers. Unlike closed-end funds, evergreen structures allow capital to be raised and deployed on a rolling basis, with periodic redemptions typically offered at net asset value (NAV). This flexibility, paired with ABF’s recurring income and predictable cash flows, makes the strategy a natural fit.

“With ABF, depending on the nature of the underlying credit, there may be more repeatability in the lending,” explains Kevin Cassidy, investment management partner at Seward & Kissel. “You’re often not dealing with bespoke, one-off deals like you might in opportunistic corporate lending. That repeatability makes it easier to maintain liquidity and valuation transparency, both essential for evergreen structures.”

ABF strategies involve lending against cash-flowing assets such as receivables, leases, and consumer or mortgage debt. Their steady income generation helps satisfy redemption requests while supporting new investments, making them well-suited to the liquidity demands of open-ended funds.

“It all comes down to the assets,” notes Cassidy. “If the assets are easy to value or liquid, such as certain senior loans or assets with current income streams, they’re better suited to an evergreen model.”

Evergreen models also demand operational discipline. As subscriptions and redemptions happen at NAV, managers must maintain rigorous valuation and liquidity management, especially in asset classes without readily observable prices.

“It’s a structure that rewards discipline,” says Cassidy. “But for the right strategies, ABF being one of them, it really works.”

Recent examples reinforce this trend. In March 2025, AXA IM Alts launched a diversified evergreen private credit strategy combining ABF and direct lending across sectors such as consumer debt, mortgages, and infrastructure assets. 

Another factor shaping the evergreen fund landscape is the growing push toward retail access in private credit – a trend that may further drive demand for repeatable, income-generating strategies, such as ABF.

At the same time, institutional interest in evergreen private credit funds is rising, with LPs seeking long-term access to private markets without the frictions of vintage-based fundraising cycles.

“We’re seeing significant institutional interest in evergreen private credit funds,” notes Cassidy. “Managers benefit, too – they don’t need to rebuild their investor base every few years and can continue compounding capital.”

Traditional private credit fund structures, modelled on private equity, typically used to have fixed terms (around seven years) and involve a lengthy fundraising and costly legal process with every new vintage.

By contrast, evergreen structures allow LPs to allocate once and exit with notice, while managers can raise new capital continuously or adopt a ‘rolling vintage’ model that reinvests capital from maturing assets into new deals.

“You’re getting the same deal as a traditional fund,” says Cassidy, “just with added flexibility.”

Despite their growing popularity, evergreen funds are not a universal solution. “Evergreen won’t replace closed-end structures entirely,” notes Cassidy. “But if you’re starting from scratch, and your strategy fits, it can make sense to go evergreen from the outset, especially if it creates alignment between manager and LP.” 

Marta Canini

Capital Relief Trades

EIF builds SRT pipeline across Europe, eyes riskier tranches and new regions

EIF continues to drive SRT growth

The European Investment Fund (EIF) expects to close at least 15 synthetic securitisation transactions this year across both mature and emerging European markets, with jurisdictions across Southeast Europe and the Nordics on its radar. 

From anchoring bilateral SRT trades in the south to shaping deals in the north, the investor sees securitisation not only as a financial tool, but also as a strategic lever for regional development. 

“We have been doing this since 1996. Regardless of how regulation may evolve, we are likely to remain in this market because the instrument works. It is how we get capital flowing to SMEs, to green projects, or to where it is needed,” Georgi Stoev, head of securitisation at the EIF tells SCI.  

The EIF welcomed the European Commission’s latest securitisation regulation proposals as a “step in the right direction,” saying they send a strong signal about the importance of securitisation to EU capital markets.  

“Most of the recommendations we submitted have been reflected in the text. It is not perfect, but it is progress,” Stoev notes.  

The EIF’s involvement is also critical in getting new transactions off the ground, particularly in regions or institutions that are new to securitisation. Stoev says that in true sale deals the investor’s catalytic effect is more visible than in SRT transactions, however it can still impact the overall investor confidence in a synthetic deal.  

“These are usually bilateral deals. We rarely work with hedge funds, more often with credit and insurance investors, and our job is to find a sweet spot. If we have doubts about a deal though, I doubt that they would proceed.” 

In 2024, the EIF completed a landmark SRT deal in Norway with DNB, demonstrating to the broader Nordic market that such transactions are feasible.  

“We wanted that signalling effect to show that these structures can work here. That deal opened the door. Now we are now even talking to other banks in the region, including competitors of DNB and Nordea,” Stoev explains.  

He adds that while the Nordics are still early in their SRT journey, he believes that “a snowball effect” has already started. “If I had to name a region where I not only hope but expect development – it’s Scandinavia. Sweden and Denmark are the blank spots. These are large, sophisticated economies where SRT would make sense.” 

Risk-taking & investment strategy  

Stoev notes that the EIF’s playbook typically involves partnering with larger banks first and then, once the model is proven, working with Tier 2 and Tier 3 institutions.  

“That is the same pattern we saw in Bulgaria. The first deal was with UniCredit Bulbank, then we followed with ProCredit, Allianz, and now we are working on 2–3 more deals with smaller players,” he comments.  

Going forward, the investor will be also looking to stretch its risk appetite. Stoev says the EIF usually takes junior mezzanine tranches, however it is now open to exploring more subordinated pieces, including first-loss positions, if the economics and structure make sense. 

“We are aware that the protection prices we offer are low because our risk positions tend to be lower. But with the right backing, we can consider going further down the stack. That would make a big difference in markets where mezzanine demand is still weak,” he notes.  

With respect to tranche size, the EIF typically invests in tranches ranging from €50m to €200m–€250m. For tranches below €50m, the investor is likely to participate on the senior level, while larger tranches allow it to take on more junior or mezzanine risk. 

This year, the EIF is already working on transactions in Poland, Germany, Spain, France and Italy. An Italian deal with a major bank is expected to close in the second half of the year, while a French deal – this time with a small, regional lender, is currently at an advanced stage and likely to be announced by October. 

While the portfolio remains weighted towards SME exposures, which account for nearly 50%, Stoev says there is a healthy mix of SRT exposure, with leasing making up about 30%, consumer credit holding 25%, and mortgages standing at around 5%. 

The EIF plans to continue its efforts to democratise the securitisation market, with Stoev stressing the importance of stimulating originators of all sizes.  

“Last year, 40% of our deals were with first-time issuers or smaller institutions and we think SRT should not be the preserve of large banks. If we want a robust securitisation market, smaller players need access too,” he concludes. 

Nadezhda Bratanova 

SRTx

Latest SRTx fixings released

Risk indexes project improvement

As unusual as this year has seemed thus far, the credit markets continue to remain resilient. 

Looking back at the month of June, market commentators highlight that SRT market dynamics were heavily influenced by technical factors and investor positioning. Investors are favouring fixed income over equities as credit yields remain higher than stock dividends amidst an uncertain economic outlook. 

Additionally and fundamentally, assets originated by banks for their balance sheets, and subsequently used in SRT deals, have consistently outperformed generic credit indices. Reference asset pools are expected to "significantly outperform" public benchmarks such as US Corporate Debt (IG, HY, LL), European IG and High Yield, and US Prime auto loans. Therefore, the strong and consistent credit performance of the underlying reference assets continues to be the bedrock upon which the effectiveness and attractiveness of SRT are built. 

Reflecting on the first half of the year, one SRT investor describes the “busiest first half we have seen, where volumes from banks have been extremely high on the issuance side.” 

Moreover, the investor suggests that spreads have stabilised since the initial tariffs shock. They say: “The timing of this shift coincided with a peculiar market juncture: most Q1 deals had just concluded, and Q2 was just beginning, leaving limited data points for observation. Initial insights suggested some widening in spreads, consistent with broader trends in both the credit and public ABS markets. However, that impact appears to have dissipated. Comparing the end of Q1 to the end of Q2, spreads are now relatively flat.” 

On this topic, market sources generally agree with the view that spreads may be 50bps wider versus the tights seen in Q4 2024. If we are starting to observe a more balanced supply and demand dynamic entering the market, the number, volume, and range of deals on the horizon will create opportunities for a broad base of investors and put pressure on spreads. 

Unsurprisingly, the latest SRTx fixings largely reflect the market views and sentiment expressed above. All the subjective risk indexes (volatility, liquidity and credit risk) have improved month-on-month, signalling a softening of the broader volatility and worry in the markets. Nevertheless, given the tariff's inflation expectations are on the rise again. In the US, it is an open question whether the Federal Reserve will be keeping interest rates too low for too long to appease political pressures. 

The latest SRTx Spread Indexes highlight broadly and contextually highlight a drift back to levels experienced it was at the beginning of the year (Large corporate: EU +4.6%, US –2.2%; SME: EU +6.8%, US +1.3%). 

The SRTx Spread Indexes now stand at 831, 642, 906and 1,200 for the SRTx CORP EU, SRTx CORP US, SRTx SME EU and SRTx SME US categories respectively, as of the 30 June valuation date.  

In terms of figures, the latest SRTx volatility fixings clearly point to an improvement in the volatility outlook, somewhat akin to last month (Large corporate: EU –7.1%, US -28.6%; SME: EU –12.6%, US -33.3%). 

The SRTx Volatility Index values now stand at 46, 50, 46 and 50for the SRTx CORP VOL EU, SRTx CORP VOL US, SRTx SME VOL EU and SRTx SME VOL US indexes respectively. 

The SRTx Liquidity Indexes stand at 43, 44, 43 and 50 across SRTx CORP LIQ EU, SRTx CORP LIQ US, SRTx SME LIQ EU and SRTx SME LIQ US respectively. 

Finally, the credit risk outlook is widely better across the board (Large corporate: EU -5.9%, US –22.9%; SME: EU -11.1%, US –37.5%).  

The SRTx Credit Risk Indexes now stand at 50 for SRTx CORP RISK EU, 45 for SRTx CORP RISK US, 50 for SRTx SME RISK EU and 44 for SRTx SME RISK US. 

SRTx coverage includes large corporate and SME reference pools across the EU and US economic regions. The index suite comprises a quantitative spread index - which is based on survey estimates for a representative transaction (the SRTx Benchmark Deal) that has specified terms for structure and portfolio composition - and three qualitative indexes, which measure market sentiment on pricing volatility, transaction liquidity and credit risk. 

Specifically, the SRTx Volatility Indexes gauge market sentiment for the magnitude of fixed-spread pricing volatility over the near term. The index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating volatility moving higher. 

The SRTx Liquidity Indexes gauge market sentiment for SRT execution conditions in terms of successfully completing a deal in the near term. Again, the index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating that liquidity is worsening. 

Finally, the SRTx Credit Risk Indexes gauge market sentiment on the direction of fundamental SRT reference pool credit risk over the near term. The index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating that credit risk is worsening. 

The objective of the index suite is to depict changes in market sentiment, the magnitude of such change and the dispersion of market opinion around volatility, liquidity and credit risk. 

The indexes are surveyed on a monthly basis and recalculated on the last trading day of the month. SCI is the index licensor and the calculation agent is Mark Fontanilla & Co. 

For further information on SRTx or to register your interest as a contributor to the index, click here.  

Vincent Nadeau 

ABS

US insurers love mortgage structured products

Annuity providers lead the charge into resi mortgage assets

Ellington Management Group is a US$15bn credit fund based in New York. Over the past ten years, it has taken an increasingly prominent role in the mortgage-related structured products market, both for its own account, and, more latterly, on behalf of the growing amounts of insurance company capital drawn to the sector. These days, some 60% of its assets are devoted to all residential assets, including structured products and loans. 

US editor Simon Boughey caught up with vice chairman and head of credit strategies Mark Tecotzky to discuss latest trends in the market.

Q. Hi Mark, and thanks for joining me today. So, you recently produced a research report which talks of large amounts of private credit and capital being drawn to the resi mortgage market, and in particular the structured products space. This is led by the insurance companies, especially those providing annuity products to retail clients, is that right?

A. Yes, that’s right Simon. In the last three or four years we’ve seen a lot more money coming from insurers, particularly after rates began rising in 2022. They began to diversify away from investment grade corporate assets into ABS, and mortgage loans, warehouse loans and other types of receivables. There were some early movers in this space, like Met Life, but others have felt the need to get into it to keep pace with the returns offered by annuities. The expectations of asset return and growth has shifted upwards.

Q. And what effect has this flood of money had on liquidity and price volatility?

A. I think it’s had a stabilizing effect on price vol. Even during the most turbulent periods in the market in April, you saw continuous pricing that you typically don’t see in structured products in the face of that kind of volatility.  I do attribute that to insurance company capital, especially the annuity sellers. When a market is dependent on money managers and hedge funds for capital, flows are highly correlated. Negative performance is usually followed by outflows. April was different and also saw new issue deals being priced as well. Over the past few years, insurers have grown more comfortable with the price vol in, say, low LTV mortgages.

Q. What else about mortgage structured products is appealing to insurance firms?

A. Investment grade corporate bonds offer a defined and unchanging cash flow. That’s valuable if your liabilities need that precision.

But insurers do not know with any precision what their liabilities will be. You’ve got things like surrender values, or unknown claims, to deal with. Giving up the precision of cash flow you get in corporate bonds for the imprecision of flow in ABS like a non-QM bond is not a big deal especially if you’re picking up 100bp in spread. The willingness to think differently has made a difference. Insurance underwriting is still conservative but they can tolerate cash flow uncertainty for yield pickup.We have seen spreads tighten since 2022, but we have not seen insurers chasing yield. They have kept underwriting standards tight and tolerate tighter spreads.

Q. Let’s get a bit more specific. What type of structured products are these insurers drawn to?

A. They like anything mortgage-based. A lot more mortgages that are eligible for Fannie/Freddie guarantees are not going through the agencies these days but are private label deals instead. They also like residential transition loans, home improvement loans, buy now pay later deals. Anything that is secured by the asset. They want to know ‘what is asset and what is the vol?’

Housing is tangible. In the financial crisis, house prices went down 30%, but you can model that. I think it is indicative that a lot of LTV loans are 67%, 68% LTV. Some newer asset classes don’t have that record, like solar loans. You don’t know what the potential volatility is. There is no price history.

The CLO market is a US$1trn market. It wasn’t that big in 2008, but it was a market. There is enough data so investors can properly stress test a potential asset.

Q. And this is happening when banks are withdrawing from the mortgage market, isn’t it?

A. That’s right. There has been a changing of the guard. Before the crisis, most people got their mortgages from banks or companies owned by banks. Now there are names like UWM, Rocket Mortgage and others in the space. I think banks have PTSD from the crisis. Some banks paid US$50bn, US$60bn in total fines in that period. The asset isn’t going to be top of the C suite’s plan for worldwide domination even if it’s a great opportunity!

Ellington started its own mortgage company in 2014. We have a seat at the table. We have partnered with firms to whom we can lend our balance sheet to get them ahead.  We have the sort of programmers, statisticians and modelling that they don’t. Sometimes we buy loans from them, and sometimes we’ll securitize and keep high yielding tranches for ourselves, and sometimes we buy on behalf of insurance company clients.

Q. There has been some retail money as well hasn’t there?

A. Yes, being able to buy CLOs via an ETF has been a game changer for high net worth clients. A lot of CLO buyers are now primarily wealth management platforms seeking AAA CLOs at plus 100-150bp. Packaging AAA into an ETF made it accessible to investors that liked the risk return profile but had hitherto been excluded from the market. CLOs are a big success story. They have a great credit history, and through ETFs they have been packaged in a form more investors can access.

Q. That’s been a very helpful insight into another aspect of the steady march of private capital, and, in particular, the increasingly competitive world of US annuity providers. Thanks Mark.

A. It’s been a pleasure. Let’s keep in touch Simon.

Simon Boughey

Structured Finance

Job swaps weekly: Akin appoints ABF-focused partner

People moves and key promotions in securitisation

This week’s roundup of securitisation job swaps sees Akin Gump Strauss Hauer & Feld hiring a new partner to ramp up its ABF offering. Elsewhere, an industry veteran has left their role at Cadwalader Wickersham & Taft to take up a new challenge at Winston & Strawn, while Trustmoore has appointed a new ceo. 

Akin Gump Strauss Hauer & Feld has appointed Dechert’s Sarah Milam as a partner in its New York office, with a particular focus on ABF, securitisation and structured finance. Milam leaves her position as partner at Dechert after seven years with the firm. Prior to that she worked at Kirkland & Ellis and Cadwalader Wickersham & Taft.

Milam primarily provides guidance on structuring ABF transactions that involve the acquisition, financing and divestment of traditional and esoteric assets. She also counsels on negotiations and structuring for flow purchase arrangements, and advises issuers and originators on a broad spectrum of financing and securitisation transactions. Akin said the appointment is in large part fueled by private capital investors’ growing appetite for structured finance opportunities.

Winston & Strawn has appointed industry veteran Aaron Benjamin as a partner in its structured finance practice, working out of its Charlotte and New York offices. Benjamin, who leaves his role at Cadwalader Wickersham & Taft after 20 years with the firm, has particular expertise in commercial real estate warehouse lending transactions. 

Trustmoore has appointed Wouter Plantenga as its new ceo, effective 15 July, in a drive to push the firm’s next phase of growth, it says. Wouter brings over 20 years of experience, most recently as chief business development officer for North America at JTC. He will join the executive board which consists of Vincent van Pampus (cfo), Pauline Wolf (cpo) and Tessa van Dijk (global general counsel).

Three senior advisors have also been appointed to drive the group's long-term strategic direction.

Roland Beunis focuses on driving innovation across the group. In addition, he plays an active role in business development, manages strategic client relationships and M&A transactions.

Timothe Fuchs is responsible for the development of the fund services. He drives commercial expansion in this area through both organic growth and targeted acquisitions, while maintaining strong client engagement.

Steven Melkman sets the overall strategic investment agenda for the group and works closely with the executive board on the sourcing, evaluation, and execution of M&A opportunities.

SMBC Nikko Securities America has appointed Sophia Ho as vp in its non-flow ABS Banking and origination team, based in New York. Ho leaves her role as vp at Deutsche Bank after five years with the business, having previously held securitisation and structured finance roles at Deloitte, Mortgage Industry Advisory Corporation and Ho Property.

And finally, the European Leveraged Finance Association has named PGIM Investment Management’s Naveed Mukhtar and Tikehau Capital’s Paolo Morrone as its new private credit committee co-chairs. Mukhtar is principal at PGIM, having spent 19 years with the business focusing on its CLO, high yield and global credit strategies. Morrone has been with Tikehau for nine years and is executive director and head of UK private debt. The pair will work alongside incumbent private credit co-chair Nils Weber, and replace outgoing co-chairs Mikko Iso-Kulmala of Rede Partners and Sebastian Potocean of Barings.

Ramla Soni, Kenny Wastell