Market updates and sector developments

Vertical Capital Income Fund has appointed Carlyle Global Credit Investment Management as its investment manager and rebranded as Carlyle Credit Income Fund (CCIF). Following the agreement, CCIF will begin focusing on investing in equity and debt tranches of collateralised loan obligations.

The development is part of an agreement that also sees Carlyle building towards a 40% stake in CCIF. In January, the global investment management firm agreed to make a one-off US$10m payment to CCIF shareholders. 

The firm has now completed this payment and has made a further US$40m equity commitment comprised of a tender offer to purchase US$25m of shares and an investment of at least US$15m in newly issued shares and private share purchases.

In other news…

Nassau and Angel Island merge

Nassau Corporate Credit and Angel Island Capital join forces to form a new US$8.4bn  integrated speciality credit platform called Nassau Global Credit. Operating as a subsidiary of Nassau Asset Management, the new platform marks the latest step in the growth of its third-party asset management platform and expansion of its global offerings. 

Nassau Global Credit will be led by ceo Alexander Dias and cio Jonathon Insull. It will continue to invest in performing and opportunistic loan and bond markets across Europe and the US, as well as issuing CLOs and sponsoring private investment funds.

Sixth CAS for Fannie

Fannie Mae is in the market with a US$756m CAS deal, designated CAS 2023-R06. The structuring lead and joint bookrunner is Bank of America while co-lead is StoneX. The co-managers are Cantor Fitzgerald, Morgan Stanley, Nomura and Santander.

The reference pool consists of 64,468 low LTV mortgages with an unpaid principal balance of US$20.3bn. The borrowers in the pool have a weighted average (WA) credit score of 749 and a WA DTI ratio of 37.5%.

There are four tranches in this transaction – M1, M2, B1 and B2. The US$279.5m M1 has a tranche thickness of 1.45%, the $231.3m M2 has a thickness of 1.20%, the $149.15m B1 has a thickness of 1.05% and the $105m B2 has a thickness of 0.80%.

Pipping peers

Fitch has secured a rare victory against S&P and Moody’s, having rated more public US structured finance transactions in H1 2023 than its ‘big three’ peers. Typically finishing in third place behind S&P and perennial runner-up Moody’s, Fitch rated 150 US asset- and mortgage-backed bond offerings in the first half of this year. 

Totalling US$95.1bn according to the Asset-Backed Alert ABS Database, Fitch’s market share in the first six-months of this year is 54.8%, compared with 38.9% in H2 2022.