The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site. Please see our Subscription Terms and Conditions.

All material subject to strictly enforced copyright laws. © 2022 Euromoney, a part of the Euromoney Institutional Investor PLC.

Asset-backed securities: Funds list to ease first-loss sales

Structured credit investors rushing to list residual income funds need the capacity to accurately price this esoteric risk.

Michel Fryszman: Axa Michel Fryszman: Axa is taking on complex risk

The latest listed first-loss ABS investment vehicle was due to launch at the end of April, adding to the growing number of such vehicles now hoping to exploit the change in regulatory capital arbitrage treatment of these tranches. The European Equity Tranche Income Fund (EETI) joins two other recent launches – Caliber Global Investment and Queens Walk Investment – in focusing primarily on RMBS equity. To be managed by specialized structured finance investment manager Ocean Capital Partners, it will be roughly €100 million in size and be listed on London junior market AIM and Channel Islands exchange CISX. Caliber was launched in June 2005 and is managed by Cambridge Place Investment Management. Queens Walk was launched earlier this year and raised €400 million of equity capital. It is managed by Cheyne Capital Management. The first such fund to list in Europe, Fortress Investment Group’s Eurocastle Investments (which was listed in June 2004), focuses on CMBS rather than RMBS equity. Other funds that have recently listed include Washington Square’s Carador fund which focuses on CDO equity.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.


Unlimited access to and

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually


Unlimited access to and, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors


Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree