Contents

ABS

SCI in focus: German megadeal skews first-half ABS volumes

SCI and AFME data reveals stability beneath headline surge in publicly placed European securitisation issuance

CLOs

Palmer Square launches debut European CLO ETF

PCL0 marks the first of a trio of CLO ETFs for European institutional investors

Capital Relief Trades

Milestone capital relief in Singapore

SRT market update

PGGM and Standard Chartered have closed an SRT referencing a US$1.5 billion portfolio of trade finance loans to companies across Asia, the Middle East, and Africa.

The transaction, the seventh iteration of Standard Chartered’s established Shangren programme, is the first of its kind to recognise capital relief in a Singapore banking subsidiary, marking a significant step in the SRT market. Through a dual-credit default swap (CDS) structure, it allows Standard Chartered to claim capital relief at both the group level and locally in its Singapore subsidiary.

Shangren VII features a 0–7.5% tranche, representing a US$112.5 million investment. This transaction is the twelfth credit risk-sharing deal between Standard Chartered and PGGM, who previously collaborated on the inaugural capital relief transaction that enabled Standard Chartered to be the first bank to benefit from capital relief in Hong Kong in 2022.

Dina Zelaya

Capital Relief Trades

SRT pipeline sees uptick in CRE and RMBS issuance in H2

SRT market update

The SRT market is gearing up for a busy second half of the year, with activity expanding into less traditional asset classes like residential mortgages (RMBS) and commercial real estate (CRE) across various jurisdictions.

Market participants are anticipating a strong finish to 2025, building on the significant year-on-year deal growth of 50% in the first half. A mix of new and returning originators are reportedly preparing to come to market as early as September.

In the UK, after a relatively quiet start to the year, Lloyds is set to issue up to four SRT transactions for the remainder of 2025. Sources indicate the bank’s roster will likely include two RMBS deals, one CRE-focused transaction, and a potential agricultural deal. Barclays is also reportedly planning two additional Colonnade transactions for Q3, with large issuance in the range of £300m - £400m.

Benelux on the rise

Outside of the UK, the Benelux region has emerged as this year’s hotspot for investors.

Sources report that both ABN AMRO and ING have new deals in the works in the Netherlands, while BNP Paribas and KBC are active in Belgium. Santander is the arranger for KBC’s €4.6bn corporate loans transaction, which one investor says has been “widely shown” to the market.

In Italy, one residential mortgage SRT is said to be in progress, with more expected as investor appetite for non-vanilla assets grows.

Looking further ahead, Danske Bank, Denmark’s largest lender, is rumored to be preparing its first synthetic securitisation for 2026. 

Nadezhda Bratanova

ABS

Sun King closes US$156m securitisation to power over a million Kenyan homes

Largest commercial-bank-backed deal outside South Africa highlights securitisation's growing role in development finance

Sun King, the world's largest off-grid solar pay-as-you-go firm, has completed a US$156m (KES 20.1bn) commercial-bank-backed deal in Kenya, marking a key milestone in the country’s evolving securitisation market. The deal will provide electricity to almost one and a half million new households across Kenya, reflecting a broader trend toward development financing solutions.

The Kenyan-Shilling-denominated securitisation represents the largest of its kind outside South Africa in the sub-Saharan region. The deal was arranged and structured by Citi with Stanbic Bank Kenya (part of Standard Bank Group) acting as placement agent.

Sun King’s pay-as-you go model enables customers to access solar products through small, flexible weekly payments, making clean energy affordable for lower-income households.

“Pay-as-you-go is, in our view, the right model to make these products affordable,” says Jorge Rubio Nava, global head of social finance at Citi. “People make payments based on usage. When it comes to priority assets - electricity, a mobile phone – people prioritise those repayments because they directly improve living standards.”

This is the company’s second securitisation on a journey that started four years ago. In 2021, prior to moving to securitisation structures, the company arranged a bilateral lending arrangement of US$75m that worked as a stepping stone for developing securitisation.

According to Sun King’s cfo, Krishna Swaroop, this initial facility allowed lenders to become familiar with Sun King's portfolio performance and cash flow dynamics, building confidence for more complex financing structures.

In 2023, the company launched its first securitisation worth US$130m, which was primarily driven by development finance institutions. "By 2023, they were comfortable enough to say, ‘Okay, we now know that the cash flow of the company works, we know the quality of the portfolio. We are willing to invest in that portfolio alone in the form of securitisation,’" says Swaroop.

Nonetheless, this year’s securitisation demonstrates a strategic change from the previous transaction, with commercial banks providing US$125m of the total through senior tranches, whilst development finance institutions (DFIs) now contributing US$31m via mezzanine positions.

The securitisation is backed by five international and local commercial banks (ABSA, Citi, The Co-operative Bank of Kenya, KCB Bank Kenya, and Stanbic Bank Kenya) and three development finance institutions (British International Investment, FMO, and Norfund).

As Rubio explains, this new structure enabled the mobilisation of private capital through public sector support. "The structure shifted a bit where we moved the DFI's to the mezzanine tranche, taking a bit of a higher risk and provide a cushion for private investors," he says.

Private capital push

Both Sun King’s deals are part of broader efforts to achieve Mission 300, the World Bank and African Development Bank initiative to connect 300 million people in Africa to electricity by 2030.

Swaroop reinforces the scale of the challenge ahead. "There are about 600 million people in Africa alone who don't have electricity connection and are off the grid. And there are probably an equal or larger number of people who are theoretically on the grid, but suffer from very inconsistent and erratic power supply," he explains.

Citi’s Rubio notes that private investment is essential to achieve the Mission 300 goal: "We all understand that private capital is the only way to fill that gap quickly," he says.

Both Swaroop and Rubio agree that investor education proved to be the biggest challenge in structuring the deal and attracting commercial banks.

"About 80% of our time went to investment education and hardly 10% of the time we go commercial negotiation and 10% into documentation," recalls Swaroop.

Swaroop views this educational process as groundwork that will benefit the broader market. "We are doing the hard part of the investor education, but other people will benefit from it," he says.

RMBS

UK bridge loan sector primed for public securitisation

Improvements in loan-level data and structural protections eyed

The UK bridging loan market appears to be on a continued growth trend. With total outstanding volumes exceeding £10bn by the end of 2024, public securitisations backed by such assets may be on the cards.

While private securitisations have already materialised in the bridging loan space, a number of ratings challenges - particularly around risk modelling and cashflow predictability – have so far hindered the emergence of a public deal. Indeed, one of the core differences between bridging loans and traditional residential mortgages is their reliance on event-driven repayment.

Unlike amortising mortgages, bridge loans repay via either a property sale or refinancing, creating timing risk. In contrast to traditional RMBS frameworks, the probability of default (PD) of a bridge loan is mainly driven by the loan’s purpose, with borrower attributes being a secondary driver. The more complex the purpose, the higher the PD is likely to be.

Haider Sarwar, senior director at Fitch, notes that the rating agency relies on origination-specific data to analyse bridging loan PDs – under a similar approach to analysing consumer ABS pools. Equally, lender track records form the basis for risk assumptions.

Nevertheless, market stress remains a significant concern. Bridge loans typically mature within 12-14 months, raising the risk that large volumes could reach maturity simultaneously in a downturn.

“If you had a house price shock, you could have potentially an entire pool of bridge loans that would need to refinance during that period,” warns Fitch director Drew Smith. “This might have more of an impact on a bridge transaction than it would on a standard RMBS.”

The roll-up interest feature of bridge loans, combined with the possibility of term extensions could lead to cashflow shortages to service note payments. Consequently, structural features to mitigate these risks would need to be included in a securitisation.

The shorter term of bridge loans may also result in the inclusion of a revolving period within a potential securitisation. Revolving pools would, in turn, require clear eligibility controls.

“We would expect to see limitations on how much of each type of purpose could be included in a transaction,” Smith says, citing the need to manage shifting loan mixes month-to-month. Without such constraints, credit performance could drift outside modelled parameters.

In terms of pool composition, the characteristics of regulated and unregulated loans are pretty similar, according to Smith. This flexibility may allow originators to scale issuance more efficiently by mixing borrower types or including development exit loans.

Steps towards public issuance in the bridging loan sector, however, will likely be incremental. Fitch points to the need for improved loan-level data and carefully calibrated structural protections first.

Matthew Manders

CLOs

Reset vs non-reset: Equity IRR gap highlights performance divide

Reset equity tranches have materially outperformed non-reset counterparts in US CLOs, Poh-Heng Tang from CLO Research outlines

This study examines a sample of 570 US CLO equity tranches from the 2017–2022 vintages. Trading colour, such as cover levels or best bids, is used where available. In the absence of such data, the lowest price talk is taken as a proxy. 

Based on SCI BWIC data, minimum price talks have proven to be a reliable indicator of trading colour. For equity tranches listed on BWIC since July 2024, where both talks and trading colour are available, the median minimum price talk closely aligns with actual cover levels. 

The table below summarises the findings on primary equity IRRs for both reset and non-reset CLO equity tranches. Reset tranches have materially outperformed their non-reset counterparts, with a median outperformance of approximately 5–6 percentage points. 

More than 75% of reset tranches achieved a primary equity IRR of at least 6.5%, compared to –0.6% for non-reset tranches. 

Generally, stronger-performing deals are more likely to undergo a reset. Underperforming deals often face challenges in resetting due to the substantial equity capital required, and equity investors may be reluctant to commit further capital to weaker-performing transactions. That said, exceptions do exist. 

Source: SCI, CLO Research, Intex 

Structured Finance

Job swaps weekly: Aperture names global head of ABF

People moves and key promotions in securitisation

This week’s roundup of securitisation job swaps sees Generali Investments subsidiary Aperture appointing a new global head of asset-based finance. Elsewhere, Encina Private Credit has hired a chief commercial officer and head of originations, while Citi is bringing in a co-head of debt capital markets in Hong Kong later this year. 

Nicholas Turgeon has joined alternative asset manager Aperture as global head of asset-based finance (ABF) and will serve as portfolio manager of the new Asset-Based Finance Strategy. Market sources also report that three ABF professionals will also join the team in the next two months from Antares, Blue Owl/Atalaya, and Fortress.

Aperture is owned by Generali Investments, which has invested undisclosed seed capital in the new strategy. It aims to focus on ABF opportunities in North America to begin with and has targeted an initial strategy size of US$1bn.

Most recently, Turgeon was an md on the specialty finance team at Castlelake, a global alternative investment firm, where he spent eight years. Prior to that, he worked in the leveraged finance group at US Bank, managing private equity sponsor transactions.

“We’re excited to welcome Nick Turgeon to lead this new strategy at a pivotal time for asset-based finance within the evolving private credit landscape,” said Peter Kraus, ceo and chairman of Aperture. 

With the launch of the ABF strategy, Aperture now manages more than US$2.3bn in committed capital across its alternative credit platform.

Meanwhile, Encina Private Credit has named Mark Patchell chief commercial officer and head of originations. He will lead the nationally deployed originations team with a focus on new business originations from direct lenders, private equity sponsors and financial advisors across the US and Canada.

Patchell joined Encina in February of 2024 as senior md, originations and has played a significant role in the growth of Encina. Prior to Encina, he held various leadership roles in middle market sponsor coverage, corporate finance and asset-based lending at Capital One, GE Capital and Bank of America. 

Citi is set to fill a senior capital markets role in Hong Kong later this year with the arrival of market veteran Deepak Dangayach. He will join as co-head of debt capital markets for JANA and Asia South, bringing more than two decades of private credit and structured credit experience to the role to support the bank’s growing global focus in these areas. Dangayach has spent the majority of his career at Deutsche Bank, where he most recently served as head of sponsor financing for APAC. He also had an eight-year stint at UBS, leading its APAC leveraged and debt capital markets team.

Matthew Carpinello has joined Simpson Thacher as counsel in its real estate department, where he focuses on advising lenders on complex real estate financings. Based in New York, he represents credit funds, private equity firms, banks and other institutional lenders in the origination of mezzanine loans, mortgage loans, construction loans, preferred equity investments, note-on-note loans, participations, repurchase facilities and other structured credit transactions across all real estate asset classes. Carpinello was previously real estate partner at Adler & Stachenfeld, which he joined in September 2016 as an associate.

And finally, Haydock Finance has appointed a new senior underwriter for structured finance transactions. Joining the UK-SME financing specialist’s credit team in Blackburn, Emily Barnett brings more than a decade of experience in the asset finance space - most recently at Paragon Bank as a senior underwriter. In her new role, Barnett will focus primarily on more intricate and higher-value financings.

Simon Boughey, Corinne Smith, Claudia Lewis