Remains cautious on MBS in general. Both nominal spreads and OAS on par 30-year passthroughs seem too thin for current risks. Rates remain low, implied option volatility remains high and prepayments still run hotter than a half-price Rolex. Normally, heavy supply of new pools would push spreads wider into July. Still believes that push will prevail.
The proceeds will finance the portfolio, which trades in the primary and secondary loan markets.
The CLO will include a $500 million portfolio of first-lien senior secured leveraged loans.
Capital One closed the deal to buy the credit card provider in May and as part of the review process, decided to exit its home equity lending business.
Last October's structural reorganization prepped the firm for this year's volatility.
The RMBS notes benefit from geographic diversity and credit enhancement.
The RMBS transaction is backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, some with interest-only periods, to prime and non-prime borrowers.
