Contents

RMBS

UK BTL drought behind European RMBS decline

Drop in volumes reflects market adjustment rather than fundamental weakness

Weakness in the UK's buy-to-let mortgage sector could be responsible for the decline in European RMBS issuance this year, as regulatory changes weigh on landlord activity. UK RMBS volumes have fallen by €6bn year-to-date compared with the same period in 2024, accounting for the lion's share of an €8bn drop across Europe.

"Year to date, RMBS issuance in Europe is about €8bn down on where it was at this point last year, and within that UK RMBS has fallen by €6bn. So, the drop in UK activity is a big contributor to the overall slowdown,” confirms Andrew South, head of structured finance research, EMEA at S&P.

Underlying loan originations in the BTL sector remain depressed compared with two years ago, though recent data suggests some stabilisation in the overall RMBS sector in the UK. According to AFME’s recent Q3 data snapshot, this year’s issuances increased from €5.3bn in Q2 to €6.5bn in Q3.

"The last couple of quarters have seen UK RMBS issuance trending up again, but it's definitely depressed. It is fair to say that that's in part because of a slower environment when it comes to the underlying loan originations compared with a few years ago,” South notes.

He attributes this primarily to subdued activity in the BTL segment. “I think that conditions in the UK buy-to-let lending market are partly behind why RMBS volumes are down,” he says.

According to SCI data, BTL RMBS issuance has collapsed over the past four years, with the number of deals falling from 16 in 2021 to just six this year so far. Meanwhile, the overall UK RMBS market has recorded 43 deals this year so far, compared with a peak of 62 in 2024. BTL, which was among the most active RMBS segments in 2021, has become the smallest category in terms of volume.

The market faces fresh uncertainty with changes to capital gains tax and stamp duty that could further dampen landlord appetite, although South acknowledges that any impact on securitisation volumes would take time to materialise. "It seems like the housing market has moved away from incentivisation of buy to let, and right at the moment there's also short-term uncertainty around the budget,” he says.

Brian Pitt, chairman of Rockstead, suggests the decline may reflect market adjustment rather than fundamental weakness. "If that was the case and the buy-to-let market was sinking, you would expect that some buy-to-let lenders will have gone bust or been amalgamated or drastically amended their product offerings. I can't think of a lender that's pulled out of the market completely. They have changed their criteria to protect themselves against the emerging risks," he tells SCI.

He explains that these factors will likely deter casual investors rather than institutional players. "The taxation part is going to put some people off," he says, adding that the Private Renters Bill - which is expected to pass in the coming months - is “more likely to put off a casual investor than a company investment.”

For the future, against the backdrop of poor housing stock, Pitt predicts increased due diligence requirements to keep pace with the rising compliance standards. "I think what will happen is that the originator of the loan will have to provide more data in support of the securitisation issue. At the moment, they carry out a property valuation and a rental assessment to assess whether the mortgage payments can be covered by that rental calculation. I think I could see an increase in due diligence needed around buy-to-let properties."

Despite the headwinds, industry experts do not foresee a collapse in the sector. "I don't think buy to let is ever going to be eliminated. I think it's an attractive asset, particularly for investors. I can't see a tsunami wave coming here. I think it's going to be gently changing over the coming years as people gather more data around the sector,” Pitt notes.

The weakness in UK RMBS stands in contrast to strength elsewhere in European structured finance. The broader European securitisation market has enjoyed a buoyant year, with September recording the highest post-financial crisis monthly issuance volume.

Marina Torres

Capital Relief Trades

Dutch SRT supports energy transition

SRT market update

Rabobank and PGGM have completed a €1bn SRT referencing a portfolio of granular CRE exposures in the Netherlands.  

This transaction marks Rabobank’s first SRT deal fully focused on CRE, providing the bank with additional capacity to grow its portfolio and align with its strategic goals of improving the energy efficiency of its financed built environment—a key factor that aligns with PGGM's 3D (risk, return, and sustainability) investment strategy.

Vincent Bakker, head of structuring and portfolio distribution at Rabobank notes: "this transaction marks Rabobank's first SRT transaction on a portfolio of CRE exposures and provides the bank with further flexibility to steer its capital efficiency and optimise its balance sheet going forward." 

The STS-compliant CLN features pro-rata amortisation with triggers to sequential, a legal tenor of 10 years, and a replenishment period of two years.

This deal expands Rabobank’s long-standing partnership with PGGM, which previously referenced the bank’s large corporate portfolio in a transaction completed in 2024.

Commenting on the transaction and partnership, Barend van Drooge, head of credit risk sharing at PGGM concludes: “For PGGM the transaction provides further diversification to Dutch granular CRE exposures in our credit risk sharing portfolio. We are happy to broaden our relationship with Rabobank with this exciting asset class."

Dina Zelaya

Capital Relief Trades

Japanese lender to return to market in Q1 2026

SRT market update

Mitsubishi UFJ Financial Group (MUFG) is planning an SRT backed by a US$1.5bn–$2.5bn portfolio of large corporate loans, including revolving credit exposures. In terms of timing and execution, MUFG is targeting Q1 2026. 

Structurally, the deal will cover 0–19% of losses, comprising the first-loss and mezzanine tranches.

One market participant notes that the 0-19% tranche size is unusually large for a corporate portfolio, where tranching typically falls within the 0-9% or 0-10% range.

The source adds that the design reflects Japanese banks’ tendency to issue thicker tranches to achieve meaningful capital relief and attract investor interest. MUFG is also understood to have held discussions with several insurers regarding the deal.   

MUFG was not available for comment. 

Dina Zelaya, Nadezhda Bratanova 

Capital Relief Trades

Europe and Asia see new deals

SRT market update

A major European lender is understood to be preparing its first-ever SRT in the Czech Republic, referencing a €1-1.5bn portfolio of SME loans. The transaction is expected to close in early December, market sources reveal.

Meanwhile, BNP Paribas is said to have upsized its SRT transaction currently in the market to €3bn, reported by SCI a month ago to be a €2.5bn transaction. Pricing is expected in early December.

The transaction references a corporate loan portfolio to French borrowers, and is believed to be weighted towards sub-investment grade names with a sprinkling of investment grade exposure. It is also now understood to feature an unfunded tranche.

Elsewhere, DBS Singapore is rumoured to be in the early stages of issuing a synthetic securitisation deal, likely referencing a bucket of corporate loans.

Nadezhda Bratanova

Capital Relief Trades

Spanish issuer bombards SRT sector

SRT market update

Santander is reportedly in the market with at least 10 synthetic risk transfer deals, as the bank heads into what is shaping up to be one of the busiest quarters on record for the asset class. 

Well-placed sources tell SCI that the largest SRT issuer by retained book size is close to pricing a UK auto loan transaction. 

Additional pipeline is understood to include a UK personal loans deal, a Portuguese SME trade and a US leveraged loan deal.  

Dina Zelaya 

Capital Relief Trades

German bank eyes programmatic SRT issuance after debut CRE deal

SRT Market Update

On the heels of its its debut synthetic securitisation last month,  Aareal Bank is strongly considering regular and programmatic returns to the SRT market, the issuer tells SCI.

“Following the successful completion of our first SRT, we can envisage a programmatic approach to the use of SRTs, being an efficient tool for balance sheet management, subject to the market sentiment,” it says.  

The late October deal referenced a €2bn portfolio of performing European commercial real estate (CRE) loans, equivalent to approximately 6% of the bank’s overall CRE exposure.  

It marked the German lender’s debut in the SRT space and reflects its focus on capital management across its €32bn CRE loan book.

The portfolio is well-diversified and consists of office, hotel, retail, logistics, and residential exposure, and represents a good cross-section of Aareal’s overall European CRE exposure.

The bank executed the deal via a dual structure – a financial guarantee with two insurers plus a credit-linked note with one asset manager. Although pricing details were not disclosed, Aareal points out that the transaction saw strong demand and the deal was oversubscribed more than three times.

“Following the overall constructive credit market sentiment, we have realised strong interest in our transaction, which is also reflected in the pricing,” the bank noted in a release.

While specific tranche sizes and investor names were not confirmed, the deal included both senior and mezzanine risk transfer elements.

The deal comes amid growing SRT activity across the CRE asset class, as Basel IV’s risk-weight recalibrations and higher capital charges drive European banks to explore synthetic capital relief solutions for more specialised lending portfolios.

Nadezhda Bratanova

Capital Relief Trades

SRT market activity firing in all sectors

SRT market update

Several key SRT transactions advancing towards pricing before year-end as activity as the market continues to fire on all cylinders. 

Goldman Sachs is understood to be in the second round for its $5bn corporate loans deal, as reported by SCI earlier this quarter. 

Meanwhile, sources indicate that Lloyds is looking to price its Weatherby CRE transaction. Further information suggests a portfolio composed of around 72 borrowers. 

SCI also understands that Santander’s US leveraged loan deal is in its second round. It is expected to price in the near future and at tight spreads.

Dina Zelaya

Capital Relief Trades

Q4 frenzy in SRT land

SRT market roundup

As befits a week deep in Q4, it has been a very busy five days in the SRT market with plenty of deals both pricing and in the market, with more rumoured to be about to hit the tape.

Dutch lender Rabobank, alongside veteran SRT investor PGGM, has completed a €1bn SRT referencing a portfolio of Dutch commercial real estate (CRE) exposures in the Netherlands.

This transaction marks Rabobank’s first SRT deal fully focused on CRE, but this looks as if it will be an increasing theme of European issuance as Basel IV’s RWA density requirements for specialised lending, which includes shipping, project finance, and infrastructure, makes CRE-heavy SRT deals increasingly attractive.

The expected implementation of the Basel IV output floor and recent European Commission proposals improving SRT efficiency for low risk weight assets are also expected to improve the attractiveness of RMBS securitisations.

German lender Aareal ploughed this furrow when it brought a €2bn portfolio of performing European CRE assets to the SRT sector last month, and this week it tells SCI that it is strongly considering becoming a regular, programmatic issuer in the space.

Of course, it would not be the European SRT market without the prominent presence of Santander, the doyen of European issuance. The Spanish lender is said to be out there with at least 10 synthetic risk transfer deals.

These include a UK auto loan securitisation, a UK personal loan deal, a Portuguese SME trade and a US leveraged loan deal.  

Its US leveraged loan deal is also on its second round. It is expected to price in the near future and at tight spreads, say sources.

BNP is of course a very established European issuer and arranger, and this week it was reported that its deal referencing French corporate loan assets, first reported as a  €2.5bn deal a month ago, is now at €3bn.

Among other deals looming, a major European lender is understood to be readying a debut SRT in the Czech Republic, referencing a €1-1.5bn portfolio of SME loans. The transaction is expected to close in early December.

Mitsubishi UFJ Financial Group (MUFG) is also planning an SRT backed by a US$1.5bn–US$2.5bn portfolio of large corporate loans, though in this case the borrower is targeting Q1 2026.

As ever, the European market takes centre stage, but there is business by US issuers as well. Goldman Sachs is understood to be in the second round for its $5bn corporate loans deal, as reported by SCI earlier this quarter. 

JP Morgan has also been touted as a potential issuer of a synthetic securitisation of private jet loans, and Morgan Stanley is also believed to be hovering with a US$6bn subscription line deal, though firm details of GSIB borrowers remain sketchy.

Meanwhile, sources indicate that Lloyds is looking to price its Weatherby CRE transaction. Further information suggests a portfolio composed of around 72 borrowers. 

Finally, there are believed to be three unfunded SRTs from Central European lenders in the offing.

Simon Boughey

Asset-Backed Finance

ABF Deal Digest: SBI Group to access private credit via Carlyle partnership

A weekly roundup of private asset-backed financing activity

This week’s roundup of private ABF activity sees Carlyle and SBI Group team up to provide private credit opportunities to Japanese institutional investors. Elsewhere, a Mexican NBFI has tapped its first term ABS, while Pagaya has inked an auto forward flow deal.

Carlyle has formed a partnership with SBI PE Holdings, the private equity business of Japanese financial services company SBI Group, to support SBI’s expansion of private credit opportunities for Japanese institutional investors. As the first step in this collaboration, Carlyle will receive an initial commitment from SBI Group’s own capital to anchor the launch of the new strategy.

Representing SBI Group’s first full-scale entry into the private credit market, the partnership will develop a multi private credit strategy that spans several areas - including structured credit and asset-backed finance - enabling Japanese institutional investors to participate in global private credit opportunities across major markets, including the US and Europe. The agreement combines Carlyle’s proven global expertise with SBI Group’s extensive domestic financial network and client relationships. 

ABLSoft enhances lender support

Commercial lending solutions provider ABLSoft has unveiled ABLSoft Supercharged, a strategic initiative that the company says accelerates technology-led innovation, broadens supported deal structures and elevates customer experience for asset-based lending, factoring and other secured lending solutions. Among these enhanced capabilities are optimised automation processing, intelligent collateral insights to streamline debtor linking and contra-matching and structured, AI-ready data to help lenders make faster, smarter credit decisions.

Additionally, ABLSoft has launched a scalable lending engine with APIs that integrate with lenders’ core business applications. The Lending Engine enables clients to create differentiating lending solutions that highlight their core strengths in a quick and cost-effective manner.

Mexican NBFI taps term ABS

Finacity has facilitated a US$20m five-year term securitisation of a portfolio of consumer loans originated by Crediapoyo. The securitisation was executed via a Mexican trust with an FX hedge to match the assets and liabilities.

The transaction was funded by a Latin American credit investment firm. Finacity acted as structuring agent and will serve as the master servicer responsible for all ongoing programme administration and reporting.

Founded in 2018, Crediapoyo is a Mexican non-bank financial institution that specialises in providing payroll loans to government employees. The transaction will enable the firm to improve its debt profile and diversify its funding sources.

NPE portfolio transferred

Piraeus Bank has entered into an agreement for the transfer of non-performing exposures by way of securitisation under a transaction named Project Solar 2. The portfolio had been classified as held for sale as at 30 June 2022 and was initially formed as part of a joint initiative by the four Greek systemic banks to manage non-performing corporate claims.

The Solar 2 portfolio consists of corporate loans, including bonds and other receivables, with a total gross book value of approximately €300m, as recorded on 31 December 2024. The notes issued in the context of the securitisation were acquired by an affiliate of Waterwheel Capital Management, while the servicing of the portfolio was assigned to Cepal Hellas AEDADP.

Pagaya inks auto forward flow

Pagaya and Castlelake are expanding their partnership into a new asset class with their first auto forward flow transaction. Under the agreement, Castlelake will purchase up to US$500m of auto loans through Pagaya’s platform.

Pagaya says the move has the potential to “significantly accelerate” its auto lending platform, which already includes an established public auto ABS programme. The deal builds on the pair’s existing relationship in the consumer loan sector and provides a funding channel for future originations for Pagaya.

Corinne Smith, Claudia Lewis

Capital Relief Trades

Issuers turn to CRE and RMBS for next wave of SRT growth

Basel IV triggers CRE and RMBS SRT surge in Europe

European SRT issuance is entering a new phase of diversification, with CRE and residential mortgage portfolios now driving much of the market’s uptick. SCI understands that several mid-tier German lenders are preparing further CRE-linked transactions, following Aareal Bank’s recent €2bn deal. 

“Unless something dramatically changes in global macro, CRE and specialised lending will see huge growth,” one market participant says.  

“Basel IV’s punitive RWA density requirements for specialised lending—encompassing shipping, project finance, and infrastructure—are driving this pivot. Consequently, we see a strong pipeline of CRE SRTs, with at least four currently in execution across core European markets.”

Factors such as the expected implementation of the Basel IV output floor and recent European Commission proposals improving SRT efficiency for low-risk-weight assets are cited as some of the key catalysts of RMBS activity. While recent EC proposals provide structural tailwinds for low-RWA assets, the immediate pipeline is dominated by jurisdictions where the Basel IV Output Floor creates significant RWA inflation for IRB-modelled mortgage books. 

“Mortgages make the most sense where the regulatory capital requirements are elevated relative to the underlying real credit risk. This is why we anticipate a wave of UK RMBS deals before transactions emerge from markets like the Netherlands, where lower average LTVs may mitigate the capital burden,” the source adds.

Robust subsidiary pipeline  

Elsewhere in Europe, issuance is expected to continue in CEE jurisdictions, particularly Poland, Romania, Hungary, and Czechia, where large banking groups such as Raiffeisen and Santander maintain subsidiaries under local capital pressure. 

On the investor side, liquidity is expected to broaden through the participation of pension funds, insurers, and other institutional investors seeking term financing opportunities, one market participant observes.  

“We are seeing a move away from repo financing into institutional repacks, so more US-style. In Europe, because tranches are thicker, you will often see a single fund fronting the entire piece with its own captive leverage. That is where, for instance, LP capital is increasingly shaping market structure,” they comment.

Nadezhda Bratanova

Insurance-linked securities

Rare sighting of USD ILN

First ILN for 14 months in the market

Arch Insurance has sold the first insurance-linked note (ILN) seen in the market for 14 months, and the first such note this insurer has printed since August 2024.

The US$199.3m Bellemeade Re 2025-1 aims to sell five tranches and the manager of the SPV is Aon. It references a pool of 153,074 first-lien fixed rate and variable rate mortgages, none of which have been reported to be 60 days or more delinquent.

It consists of a US$39.9m M1A tranche, rated BBB, a high BB US$59.8m MIB tranche, a low BB US$42.7m M1C tranche, a high B US$37m M2 tranche and a US$19.9m B tranche.

The ILN market went into deep freeze in 2022, as spreads rose too high to make issuance cost effective. As a response, and echoing the GSE CRT market, mortgage insurers turned increasingly to the reinsurance sector to lay off mortgage risk.

There were 14 transactions in 2021, for an aggregate amount of US$6.28bn, but only four deals in 2022, five in 2023, two in 2024 and none since Essent Guaranty printed a US$363m deal in September 2024. The average deal size has also diminished from US$448m in 2021 to US$298m in 2022, and US$274m in 2023. The two transactions seen last year had an aggregate value of just US$526m.

The market was not helped either by the November 2023 decision by Arch to redeem eight old Bellemeade notes at par when some were trading at a premium to par, leaving some investors out of the money at close to year-end.

Simon Boughey

Insurance-linked securities

Bellemeade Re 2025-01 prices

Arch US$200m ILN prints and oversubscribed

The US$199.3m mortgage insurance linked note (ILN) Bellemeade Re 2025-01 from mortgage insurer Arch and seen in the market yesterday has now priced, Arch tells SCI.

The lead manager was Nomura.

Its US$40m M1A tranche printed at 155bp over 1m SOFR, the US$60m M1B at plus 250bp, the US$43m M1C at plus 325bp, the US$37m M2 at plus 390bp and the US$20m B tranche came in at plus 505bp.

The deal was oversubscribed and sold to a “wide mix of investors,” evp and chief strategy officer, mortgages, Allan Voltz told SCI.

In addition, a US$50m piece of risk has been placed with the reinsurance market, making a US$250m deal in total.

This is the first ILN from Arch for 15 months, and the first in the sector for 14 months, but this drastic reduction of liquidity reflects the comparative lack of mortgage product seen since the end of 2021 and the conclusion of the refinancing boom as rates rose, rather than prohibitive costs.

“We are committed to the space. We think it’s an important part of our risk and capital management. We were pleased with the level of investor engagement and with the execution,” he adds.

Alongside Arch, the big issuers of ILNs in the past have been Essent, Radian, Enact, MGIC and National Mortgage Insurance Corporation, but some of these names have not been seen for over two years. National Mortgage Insurance Corporation hasn’t issued an ILN since October 2021.

Simon Boughey

Structured Finance

Job swaps weekly: Arcmont makes trio of senior hires

People moves and key promotions in securitisation

This week’s roundup of securitisation job swaps sees Arcmont making three senior appointments spanning structured credit, NAV financing, real estate, asset-backed investing and impact lending. Elsewhere, BSL and CLO electronic trading platform Octaura has named a new chief financial officer, while Rockstead has named a successor to outgoing ceo and co-founder Brian Pitt.

Arcmont Asset Management has made three senior appointments, bolstering its investment capabilities across both new and established strategies. Alexander Waller, Imo Skrzypczyk and Greg Varympopiotis  have joined as partner, associate partner and principal, respectively.

Waller joins as partner in Arcmont’s impact lending strategy. He was previously at Patrizia, where he was senior md, head of infrastructure debt. Skrzypczyk joins from Tyrus Capital, bringing expertise in opportunistic real estate and asset-backed investing to the capital solutions strategy. Meanwhile, Varympopiotis joins from Fortress and will focus on NAV financing, structured credit and secondary liquidity solutions to support Arcmont’s NAV strategy growth ambitions.

Octaura, the electronic trading platform for syndicated loans and CLOs, has appointed Cristina Kim as chief financial officer, expanding the firm’s leadership team. 

After 22 years at JP Morgan, where she worked across investment banking, private equity, and strategic investments, Kim will be responsible for overseeing financial strategy and shaping Octaura’s growth strategy following its US$46.5m fundraise earlier this year. She was most recently md in the strategic investments Group at JP Morgan, where she led global investment activity.

Kim succeeds Jason Cohen, Octaura’s chief operating officer, who previously held both roles. As the firm continues to expand, Cohen will focus on operational and strategic aspects aimed at optimising this growth.

Rockstead has named John Barbour as its new ceo, succeeding co-founder Brian Pitt. After 17 years operating as ceo since the firm’s inception in 2008, Pitt will continue as executive chairman and will work closely with Barbour over the next few months to support the transition. Barbour joined Rockstead in 2022 as director of operations before becoming its chief commercial officer. He previously held leadership positions at Commercial First Mortgages and Target Group.

BCLP has appointed Fiona Coady as London-based partner in its finance transactions practice. Her practice spans multiple strategies, advising both borrowers and lenders on fund finance, ABL and structured finance. She joins BCLP after nine years at Taylor Wessing where she also served as partner. The appointment follows the recent hires of Lerika le Grange and two associates to the same team – all of whom were also previously at Taylor Wessing.

Paul Hastings has recruited Thomas Picton as a partner in London, strengthening its asset-backed finance and securitisation capabilities. Picton brings more than 15 years of experience advising issuers, originators and arrangers on a broad range of securitisation, structured private credit, portfolio acquisitions and related regulatory matters. He was previously a partner at Ashurst, which he joined in April 2018, having spent the previous 12 years at Clifford Chance.

Dentons has recruited Chrys Carey as a partner in its capital markets practice in Washington DC. Carey joins the firm from Morrison & Foerster where he was counsel, and brings expertise on both the buy- and sell-side of the capital markets and structured finance universe, including RMBS, ABS and ABL transactions.Dentons has recruited Chrys Carey as a partner in its capital markets practice in Washington DC. Carey joins the firm from Morrison & Foerster where he was counsel, and brings expertise on both the buy- and sell-side of the capital markets and structured finance universe, including RMBS, ABS and ABL transactions.

Joseph Shanley has joined CIM Group as md as part of the firm’s ongoing expansion of its credit platform. Shanley brings more than 20 years of experience in structured finance, property acquisitions and ground lease investments, with a particular focus on complex transactions and creative real estate solutions. In his new role he will focus on loan origination and portfolio strategy for credit investments in the office segment. Shanley previously spent nine years at SL Green Realty as vp before launching private ground lease investment platform Haven Capital in 2020, formed by Ares and Regis.

Natixis Corporate & Investment Banking has hired Charles Hatton as its European head of ABS and CLO syndicate, based out of London. Hatton leaves his position as head of CLO syndicate EMEA at BNP Paribas CIB after seven years with the bank. He previously spent three years at Deutsche Bank.

AFIG has recruited a new director of specialist finance as it continues to expand its offerings. Harry Hodell joins AFIG in the UK from Pure Structured Finance, where he has worked since  2020. He brings expertise in commercial lending, multi-unit development, as well as bridging and portfolio finance in the UK and abroad. 

Claudia Lewis, Ramla Soni, Kenny Wastell