Sector developments and company hires

Second CLN references WaMu loans
JPMorgan is in the market with its second public synthetic RMBS, Chase Mortgage Reference Notes 2020-CL1. Principal payments on the notes are based on the actual payments received and performance of a US$2bn reference pool consisting of 8,683 prime-quality residential mortgage loans. According to Fitch, the majority of the loans were originally negative amortisation loans originated or acquired by Washington Mutual between 1986 and 2008. All of them were pre-emptively modified between 2007 and 2013 and now have maturities that range from approximately 15 years to 50 years. All loans have been current for 36 months.

In other news…

B-piece fund closed
KKR has closed KKR Real Estate Credit Opportunity Partners II (RECOP II) with US$950m in committed capital. The fund will continue KKR’s strategy focused on generating attractive risk-adjusted returns, primarily through the purchase of new issue conduit CMBS B-pieces. Like its predecessor, RECOP II focuses primarily on investing in CMBS risk retention positions as an eligible third-party purchaser. Additionally, it has the ability to purchase non-risk retention conduit CMBS and other real estate securities. RECOP II has closed on nine risk retention transactions, while RECOP I and RECOP II have completed a combined 36 closed investments through June 2020, making KKR the most active CMBS B-piece buyer since risk retention regulations took effect.