Contents

NPLs

Data drought impedes NPL ABS growth

Incomplete data and inadequate servicing infrastructure continues to beset the European non-performing loan market. Nevertheless, recent changes to Law 130 in Italy may help to address the growing number of 'unlikely to pay' debtors - a large, but untapped, portion of Italian banks' NPL exposures.

Reto Bachmann, senior research analyst, global sector lead for real estate, infrastructure and structured finance at Aviva Investors, comments that the large number of NPLs in Europe isn't a new scenario and lessons should be learnt from the past. "We have had a buoyant NPL ABS market before, but that time investors didn't necessarily achieve the results they had hoped for. This was due to a number of factors, including overly optimistic workout plans, collateral quality and insufficient transparency," he says.

He adds: "Performance perhaps also disappointed investors, due to their over-reliance on the ratings agencies' initial transaction assessments. In general, I don't think investor reporting for NPL ABS transactions was as well thought-through and as detailed as it should have been."

These same problems continue to be problematic for the NPL sector and there is a fine line between jurisdictional NPL volume and loan resolution capability. Bachmann comments: "NPL investors have also been in something of a bind, as they need a sufficiently large stock of outstanding NPLs for a servicing operation to be of an economically efficient scale. But when there is a large number of NPLs in a country, it typically also indicates that they're being processed only very slowly, typically due to the lack of legal framework to resolve the defaulted loans in a timely and cost-effective manner."

Such a slow resolution can impair the value of the outstanding stock of NPLs from an investment perspective. Conversely, where resolutions are quick - thereby preserving the value of the defaulted loans - the outstanding stock of NPLs will likely be small. Hence, NPL investors require a balanced situation, where the outstanding stock of NPLs is sufficiently large but the resolution process is not too slow.

This dilemma is epitomised in Italy, where the country has a large volume of NPLs that investors are eager to see securitised, but a number of factors are impeding this progress. Romina Rosto, director, asset-backed products, Société Générale, says: "There are several constraints for a more liquid market. First, data for investors is scarce, due to a lack of information from the originator side. This lack of data, added to the very few public deals makes it hard for investors to have a clear view on the market and on the portfolios. As a result, some investors are reluctant to enter into the NPL space, while the ones who invest have to perform thorough due diligence and tend to ask for higher spreads to take into account the risk linked to the missing information."

Rosto adds that regulation has not helped in the past, but a resolution may emerge. "Another important constraint is linked to the leverage of NPL transactions, which is still quite scarce. In terms of regulation, the new piece of legislation on Italian Law 130 - which will pass in the coming weeks - may help create more flexible structures, potentially leading to an increase of transactions," she notes.

An important concern - or potential opportunity - in Italy is the emergence of 'unlikely to pay' debtors, who account for a significant portion of NPLs and which have not typically been as easy to work with. Rosto concludes: "I think 'unlikely to pay' is the new challenge. There is currently about €120bn of such unlikely to pay loans on bank books and they represent more than 30% of total non-performing exposures. It is a quite concentrated market in the top Italian 20 banks and hopefully the amendments to Italian Law 130 could help in extracting more value from them."

RB

Capital Relief Trades

IFRS 9 to spur risk transfer trades

Higher expected provisioning under IFRS 9 is expected to spur a slew of risk transfer issuance before its enactment in January 2018. Indeed, portfolio management will be central to how institutions manage and price the volatility that the new accounting standard will bring.

"You can imagine a logjam of cases," says Adrian Docherty, head of bank advisory at BNP Paribas. "Investors would find themselves in a privileged position, given that the carrying value under IFRS 9 is lower than now, and they will be in a position to offer a market price that is mutually beneficial."

Martin Zorn, coo at Kamakura Corporation, has similar views. "In those segments or loans where you anticipate increasing economic volatility, you can raise capital or sell loans, so I think synthetic securitisations are likely in this environment. Moreover, long-term assets - such as project finance and mortgage loans - tend to get a worse treatment under IFRS 9. The higher spread that would result would be attractive for investors."

IFRS 9 introduces a forward-looking view of credit quality, under which banks are required to recognise impairment provisions and corresponding impairment losses before the occurrence of a loss event. This is reflected in the standard's three credit stages.

Lenders must allocate all credit exposures to one of these stages, which determines how impairment is calculated. Most notably, stage two requires banks to provide for lifetime expected credit losses when there is a significant decline in creditworthiness but a loss event has not yet occurred. The first stage includes performing assets that have not been subject to credit deterioration since origination or acquisition.

Lenders will also have to develop forward-looking, probability-weighted loss estimates against a range of macroeconomic scenarios. The higher volatility that will, in turn, be generated by the models is expected to increase provisions and thus reduce CET1 capital ratios.

The latter is true for both IRB and standardised banks, although the link is more complicated for IRB banks. For IRB banks, the capital impact depends heavily on the relationship between impairment or IFRS 9 expected losses and regulatory expected loss (which is an estimate of the value of credit losses IRB firms can expect over a one-year horizon).

Issuers though would still have to book IFRS 9 provisions for synthetic trades, irrespective of the increased volume of trades. Docherty states that dealing with this issue might involve selling the first loss up until a certain point, typically 6%.

"Lifetime expected losses for stage two assets would generally be less than 6%, since typical annual losses tend to be in the range of 1%-2%. We're not assuming significant risk transfer trades automatically work and are developing more efficient IFRS 9-focused solutions as well," he adds.

Another issue is grandfathering, although market sources do not expect it to materialise. "It wouldn't be in anyone's interest, since there is no transition period for IFRS 9," says one source.

The Basel Committee has proposed a three-year transition period in measuring the impact of IFRS 9 on regulatory capital, which provides banks with two options. The first option considers the impact to be driven solely by the difference between IFRS 9 and IAS 39 provisions at the point of IFRS 9 adoption. This initial impact between the two accounting standards is then phased in over the transition period.

The second option is more "dynamic" and assumes that any increase of IFRS 9 provisions is due to stage one and stage two assets. Under this approach, it is not only the initial impact that drives the regulatory capital calculations, but also the stock of stage one and stage two assets at each point of the transition period. However, given that it is still just a proposal, any capital impact evaluation remains premature.

Nevertheless, Pillar II capital calculations require the assessment of capital under stress conditions. This would require banks to understand the behaviour of their provisioning models under a range of severe scenarios. In this regard, the market is awaiting the EBA and Bank of England stress testing exercises, along with ICAAP guidance - which are expected to offer a clearer picture of the capital impact of IFRS 9.

According to Dimitrios Papanastasiou, director of stress testing and capital planning at Moody's Analytics: "Assuming banks and regulators continue using stress scenarios with high severity in the initial years, the forward-looking nature of IFRS 9 impairments would cause banks to potentially front-load losses. That, in turn, could lead to capital shortfalls and further Pillar II capital add-ons to be imposed."

Yet one variable that is certain and whose management will determine future capital relief trade issuance is model volatility, the main driver behind higher provisions. According to Gaurav Chawla, team lead at Z-Risk Engine: "IFRS 9 is asking for unbiased probability weighted projections of losses, which contrasts with the conservatism of Basel. The latter stipulated that if banks were stuck with bad models or data, adding more capital was the solution."

In particular, lifetime expected losses would be calculated with the point-in-time probability of default, as opposed to through-the-cycle PD. This means that expected credit losses would be revised monthly and annually, based on changing macroeconomic and credit conditions. Through-the-cycle PDs do not consider changes in current conditions over a long-term cycle, which could be anything more than a year.

Some analysts suggest that one way to reduce volatility is by reconciling point-in-time PDs and through-the-cycle PDs. Papanastasiou observes that point-in-time PDs should serve as a best estimate of what the default rate should be if the economic assumptions feeding the IFRS 9 calculations materialise. Through-the-cycle PDs are designed to capture long-run average default rate dynamics, without reflecting the current or future economic environment.

Therefore, institutions that use through-the-cycle PDs in their IRB capital calculations need to convert those PDs into forward-looking point-in-time equivalent metrics. This is a process that applies both to IRB banks and standardised banks.

Yet there is a caveat. IFRS 9 brings many options to manage P&L and capital volatility. For example, assets of high quality would have lower probability of moving to stage two. In the same vein, moving assets with short maturities to stage two would incur a very limited increase in provisions.

Papanastasiou concludes: "It is quite apparent that portfolio management and business strategy will be at the heart of how institutions manage and price the volatility that IFRS 9 will bring."

SP

ABS

Whole business ABS prepped

Jimmy John's is in the market with its debut whole business securitisation. The US$850m ABS is backed by royalties from 2,627 Jimmy John's franchises and 63 company-owned restaurants, representing 97.7% and 2.3% of system-wide locations respectively.

KBRA has assigned provisional ratings of triple-B to all of the notes, which comprise the US$50m class A1s, U$400m A2Is and US$400m A2IIs. An additional US$100m of pre-approved additional class A2 notes may be issued if certain conditions are met and the initial amount of each class will be at least US$300m.

As of March 2017, Jimmy John's had 2,690 restaurants - all within in the US - with annual sales of US$2.2bn. The company and its subsidiaries will contribute most of its revenue-generating assets in the US to Jimmy John's Funding Series 2017-1, the issuer. The collateral includes existing and future domestic franchise agreements and development agreements, existing and future company-operated restaurant synthetic royalties, revenues from the buying group and intellectual property.

KBRA notes that a strength of the deal is that it has similar structural protections to other recently issued whole business securitisations, including a cash trapping event, rapid amortisation event, manager termination and event of default DSCR trigger. The agency comments that the notes benefit from sufficient credit support, along with a dynamic transaction structure that accelerates principal payments to the noteholders upon the weakening of collateral performance.

A further strength is the experienced management team and strong brand awareness of Jimmy John's, having been founded in 1983 and as the fourth largest fast casual restaurant brand based on system-wide sales. It is also the third largest sandwich chain in the US, based on number of units, and while it competes in a highly competitive environment, it differentiates itself by offering the quality and freshness of fast casual restaurants with the speed and value of quick-service restaurants. The restaurants aim to prepare a sandwich in 30-45 seconds, enabling the firm to manage peak volume traffic, while handling a range of orders simultaneously, according to KBRA.

Challenges to the transaction are potential commodity price fluctuations and food-event related risk, along with recent increases to state minimum wage laws. Additionally, with 30% of system-wide sales derived from phone and online orders with delivery service, there is the potential for liabilities related to food deliveries, especially as the firm does not outsource its delivery operations.

Jimmy John's Franchise is manager on the deal and FTI Consulting is back-up manager. Sole structuring advisor and book-running manager is Barclays Capital.

RB

Structured Finance

SCI Start the Week - 19 June

A look at the major activity in structured finance over the past seven days.

Pipeline
A rush of ABS deals joined the pipeline last week, picking up from the limited activity of the week before. As well as eight new ABS, a further five CMBS and a CLO were added.

The ABS were: US$450m Credit Acceptance Auto Loan Trust 2017-2; US$1.38bn Drive Auto Receivables Trust 2017-1; US$750m Enterprise Fleet Financing 2017-2; US$1.3bn Ford Credit Auto Owner Trust 2017-B; US$208.65m GLS Auto Receivables Trust 2017-1; US$1.317bn Honda Auto Receivables 2017-2; €1.192bn Silver Arrow Compartment 8; and Ulisses Finance No.1.

US$2.3bn BXG Trust 2017-GM, US$889m CSMC 2017-CHOP, US$438m LCCM Series 2017-LC26, C$359.74m Real Estate Asset Liquidity Trust 2017-1 and US$500m Rosslyn Portfolio Trust 2017-ROSS constituted the CMBS. The CLO was €642.6m Carlyle Euro CLO 2017-2.

Pricings
The week's prints were largely split between ABS and CLOs. There were seven of the former and 13 of the latter, with an ILS, two RMBS and a CMBS rounding things out.

The ABS were: US$279.38m Consumer Underlying Bond Credit Trust 2017-NP1; US$2.075bn Domino's Pizza Master Issuer Series 2017-1; US$162.23m Massachusetts Educational Financing Authority Issue K Series 2017; €600m SC Germany Auto 2017-1; US$163.1m Upstart Securitization Trust 2017-1; US$1.3bn Verizon Owner Trust 2017-2; and US$149m Welk Resorts 2017-A.

US$430m Spectrum Capital Series 2017-1 was the ILS, while the RMBS were US$350m Sequoia Mortgage Trust 2017-4 and US$787.5m STACR 2017-HQA2. The CMBS was US$1.1bn DBJPM 2017-C6.

The CLOs consisted of: US$510m Bain Capital Credit CLO 2017-1; US$465m Benefit Street Partners CLO 2013-2R; €324.4m Contego CLO IV; US$376.2m Greywolf CLO IV 2014-2R; €368.25m Harvest CLO 2015-11R; US$612m Jamestown CLO 2017-10; US$616m LCM 2014-16R; US$324.8m MCF CLO 2017-2; US$411m Regatta III Funding 2014-1R; US$513.75m TICP CLO 2017-7; US$506m Trestles CLO 2017-1; US$587m Venture XXVIII; and US$607.4m Voya CLO 2017-3.

Editor's picks
Prosecutors probe valuations process: US prosecutors, after years spent studying the sell-side, appear to be turning their attentions to the buy-side, as investigations have begun into whether structured credit hedge funds inflated the value of debt securities for their portfolios. The probe is particularly concerned with whether brokers were encouraged to give dishonest valuations for month-end marks...
STS could take a year, but optimism prevails: The implementation of the STS securitisation framework is unlikely to be completed within a year, according to panellists at the recent IMN Global ABS conference. However, speakers on a regulatory panel emphasised that while it may take time to finalise the finer details, optimism is strong that the long-awaited clarity on STS could provide a much needed boost to the industry in Europe...
Spanish EFSI deal debuts: The EIF has closed its second European Fund for Strategic Investments (EFSI) deal, providing BBVA with a €143bn mezzanine guarantee facility. The transaction references a €3bn portfolio of Spanish SME loans and is the first Spanish synthetic securitisation under the Investment Plan for Europe...
Treasury reports on regulatory impact: The US Treasury has issued a first report in a series regarding regulation of the financial system in a manner consistent with an executive order issued by President Trump back in February. The report addresses the regulation of the depositary system and makes several findings and recommendations which could impact the future regulation of securitisations...
US CLO demand continues: Demand for paper across the capital structure continues unabated in the US CLO secondary market. "There's not a whole lot going on right now," says one trader. "However, we are still seeing good demand across the board..."

Deal news
• Lending Club in in the market with a US$279.38m ABS backed by near-prime unsecured consumer loans originated via its online lending platform (see SCI's deal pipeline). Dubbed Consumer Loan Underlying Bond Credit Trust 2017-NP1 (CLUB 2017-NP1), it is the first transaction the platform itself has sponsored.
• Freddie Mac has launched a new series of credit risk transfer securities backed by tax-exempt loans (TELs) made by state or local housing agencies and secured by affordable rental housing. The first issuance has already priced and includes around US$292m in ML certificates backed by TELs on 25 properties.
• US dollar-denominated notes backed by Chinese regional and local government (RLG) bonds have debuted in China and provide a new opportunity for offshore investment in securities traded on China's interbank bond market. Moody's believes further similar deals backed by Chinese collateral could follow, including CLOs, ABS and RMBS.

Capital Relief Trades

Risk transfer round-up - 23 June

Sources refer to heightened activity in the capital relief trades market, with many deals awaiting finalisation by year-end. Jurisdictions that are said to have seen activity include the US and Eastern Europe. In particular, sources point to synthetic SME securitisations from Slovakia and Poland.

Meanwhile, Italian deals are also expected from UniCredit and Intesa Sanpaolo, as well as Spanish supply most notably from Santander.

NPLs

RBI steps up resolution efforts

The Reserve Bank of India has announced plans to resolve the troubled loans of 12 large borrowers responsible for about 25% of the banking system's non-performing assets under India's Insolvency and Bankruptcy Code (IBC) of 2016. The move is credit positive for Indian banks, since it can help with overall asset quality - albeit large write-downs for state banks are expected.

Moody's notes that the announcement will set a precedent for resolving non-performing loans from smaller borrowers in India. The plan follows the passage last month of an NPA ordinance that provides the RBI with greater legal authority to intervene in NPL resolutions. Given the strict timeline to resolve a case under the IBC with a maximum period of 270 days, after which a company will be automatically liquidated (SCI 9 June), Moody's expects this directive to accelerate the resolution process and aid with loan recoveries.

Some of the 12 accounts relate to borrowers in the steel, power and other infrastructure sectors. The latter have suffered large losses from investment projects, following a 10-year lending spree.

The asset quality of Indian banks has significantly deteriorated over the years, although the pace of deterioration has somewhat moderated in recent quarters. According to Moody's data, the asset weighted gross non-performing loan ratio for state banks grew from nearly 3% in March 2012 to 11% in March 2017.

State banks account for the bulk of the problem, holding two-thirds of banking sector assets. This is evident when the same ratio is compared with private sector banks, which have seen a modest growth in the ratio from 2% in March 2012 to 4% in March 2017.

Indian banks - especially state banks - have struggled to resolve stressed assets, given their limited capacity to absorb losses from write-downs. Although the RBI has not yet provided details on the provisions, Moody's believes that the directive will negatively affect banks' profitability over the next year, if they need to take large write-downs relative to their existing loan-loss reserves for those assets.

SP

RMBS

UK non-standard RMBS debut prepped

Optimum Credit is in the market with its first UK non-standard prime RMBS. The transaction is called Castell 2017-1 and is backed by a £242m pool of second lien mortgage loans (see SCI's deal pipeline).

The class A notes have been rated Aaa by Moody's and triple-A by DBRS. The class Bs have been rated Aa1 and double-A low, the class Cs have been rated A1 and single-A low, the class Ds have been rated Baa2 and triple-B, the class Es have been rated Ba3 and double-B high, and the class Fs have been rated Caa2 and double-B low.

The transaction is a refinancing of an existing warehouse backed by second lien mortgage loans originated by Optimum Credit which Moody's had already rated, but is the first term securitisation Optimum Credit has issued. The portfolio consists of loans extended to 5,823 UK borrowers, with a current pool balance of around £242.3m, which equates to an average loan per borrower of £41,612.

Moody's notes that the portfolio expected loss is 6%, which is higher than other UK non-conforming RMBS. This is largely due to the fact that all the loans in the pool have a second charge over the properties, as well as the current macroeconomic environment in the UK.

The weighted average current LTV is 64% and average seasoning is 10.6 months, with a remaining term of 15.94 years. Weighted average LTV is 64.1%. Self-employed borrowers account for 12.9% of the pool and the loan portfolio's greatest concentration is in London and the South East.

DBRS notes that credit enhancement for the class A notes is 25.5%, derived from the subordination of the class B notes to the Z notes. Credit enhancement for the class Bs is 20.5%.

Optimum Credit is owned by Patron Capital Partners, a private equity real estate fund. It is a specialist provider of second charge mortgages in the UK. Rabobank analysts report that investor meetings for the RMBS are scheduled for today, tomorrow and next Monday.

JL

RMBS

AIG's debut RMBS collateral 'among strongest'

American International Group (AIG), which has not previously participated in the issuance of RMBS, is in the market with Credit Suisse Mortgage Capital 2017-HL1 Trust (CSMC 2017-HL1), sized at US$512m (see SCI's deal pipeline). The senior notes have been rated triple-A by Fitch and DBRS, with the collateral deemed to be among the strongest since the crisis.

The underlying pool consists of 850 prime fixed-rate mortgages acquired by AIG subsidiaries from various originators. AIG established its residential mortgage lending group in 2013 with the purpose of establishing relationships with mortgage originators and acquiring prime jumbo loans on behalf of funds owned by AIG.

The RMBS uses a shifting-interest feature, whereby the class B certificates are locked out from receiving principal prepayments for the first five years. From July 2022, the subordinate bonds will receive an increasing portion of prepayment principal, so long as standard delinquency and loss tests are passed.

Fitch says that the collateral is "among the strongest" that it has rated. The pool consists of 30-year fixed-rate fully amortising safe harbour qualified mortgage (QM) loans. Borrowers have strong credit profiles and low leverage and the loans are seasoned by an average of 15 months.

The pool has a weighted average original FICO score of 779, which is higher than any transaction Fitch has rated since the crisis. More than half of the borrowers have original FICOs of at least 780 and weighted average LTV is 73.8%, suggesting substantial borrower equity and reduced default probability.

The largest loan size is US$995,000 and the average is US$602,000. Just over a third of the pool is concentrated in California, with Washington next at 8.3%. The top three MSAs combined - San Francisco, Los Angeles and Seattle - account for only 28.4% of the pool.

Most of the loans were acquired by AIG Home Loan 5, although AIG Home Loan 1 did acquire 38.5%. The largest originator was Finance of America Mortgage, while Stearns Lending, American Pacific Mortgage Corp and Cornerstone Home Lending were all significant originators.

Fitch and DBRS have both provisionally rated the A1 to A14 classes at triple-A. They have both also rated the A-IO1 to A-IO6 classes at triple-A.

Both rating agencies have rated the B1 class at double-A, the B2s at single-A, the B3s at triple-B, and the B4s at double-B. Fitch has also rated the B5s single-B. Neither rating agency has rated the B6 class of notes.

The A1, A2, A4, A6, A8, A10, A11, A12, A13 and A14 classes are exchangeable certificates, as are the A-IO2 to A-IO6 classes.

JL

Structured Finance

Time to taper?

Participants at IMN's Global ABS conference recently suggested that quantitative easing is likely to ease off in Europe soon, coinciding with a potential tapering of programmes like the Europe-wide ABSPP and TLTRO in the UK. While the view that tapering should begin was widely held, panelists were uncertain about how government support for the securitisation market should - and would - be removed.

Ratul Roy, md, global CDO and European ABS strategy at Citi, commented that the effects of QE on the securitisation sector in Europe have, by and large, not been positive both in terms of issuance volumes and the ECB's conflicted approach. "I think in the context of other QE-style programmes, it has led to bad outcomes for ABS in Europe," he said. "If you want to spark ABS issuance, you need a clear mandate - while the ECB is buying assets, it is very restrictive; yet at the same time, it is also supervising various banks. There is a curious dichotomy between ECB as asset buyer and regulator."

The sentiment that it is time for government support to be eased off was supported by others, including Galen Moloney, securitised product strategist, Natwest Markets. He recommended a slow and steady approach, while expressing muted optimism about the boosting effect of STS.

He said: "There needs to be a gradual move from public to private. We're fooling ourselves if we think STS will spur the market on enough to fill the gap, should ABSPP end, given the impact of the new higher capital charges for banks. The choreography of the handover vis-a-vis the introduction of the new charges and the end of QE needs to be carefully managed."

Joost Beaumont, senior fixed income strategist at ABN AMRO, commented that while ABSPP may help some areas of the market, the Dutch RMBS sector is unlikely to recover any time soon, in part because of the competition from other funding methods. He pointed out though that should tapering occur, RMBS could come into play at a later date.

"From the Dutch perspective, there is a lot of competition to securitisation and some firms are switching to covered bonds, for example. Banks could obviously still switch to RMBS to diversify - however, when they need to refinance TLTRO 2 borrowings," he said.

Regardless, RMBS is struggling to compete with covered bonds in the Netherlands, and firms are turning to them, along with whole loans. Beaumont added: "I am not overly optimistic for the RMBS market in the Netherlands. Covered bond issuance has, in fact, taken over RMBS and some firms have indicated to switch from RMBS to covered bonds as well, such as NN Group. What is more, NN has taken over Delta Lloyd, which also was a frequent RMBS issuer. Meanwhile, the market has also got more activity in the whole loan space and there continues to be growth in the whole loan space."

In general, while STS and tapering of QE could help boost volumes in Europe, industry experts in Barcelona seemed to agree that while securitisation volumes may not necessarily return to pre-crisis levels, it should still be used as one of many tools in a company's funding inventory - as already demonstrated by some firms. Roy noted: "Diversification of funding methods is exemplified in auto ABS issuers. These use ABS as one funding tool, as well as a diverse range of other funding sources."

Volker Laegar, senior director, S&P Global Ratings, suggested that programmes like the ABSPP have generally been to the detriment of the European securitisation market. He added that it has resulted in a decline in both volume of issuance and a decline in spreads. He concluded that while the European government's role needs to change, he doesn't think there will be a sudden volte-face.

"I don't think the ECB is there to prop up the structured finance market. It has announced reduced net purchase volumes and the market would benefit from the ABSPP to start tapering and, while we see slow changes in this regard, I would not expect the ECB to make sharp movements any time soon," he noted.

RB

Structured Finance

Job swaps round-up - 23 June

Auction

Towd Point Master Funding has won the auction of 1,262 seasoned re-performing and moderately delinquent loans sold by Freddie Mac as part of its second Seasoned Loan Structured Transaction (SCI 19 May). The transaction involves the sale of loans via a competitive bidding process, subject to a securitisation term sheet, with the purchaser then securitising them. The US$291.6m pool is geographically diverse and has a loan-to-value ratio of approximately 101%, based on broker price opinions. The cover price was in the high-70s.

EMEA

BNP Paribas has hired Sahil Khanna to its AFS syndicate, covering ABS, infrastructure, whole loans, project finance and other areas. Khanna was previously in structured sales at Deutsche Bank.

Volta Finance has appointed Atosa Moini to its board as an independent director with immediate effect. Moini left Goldman Sachs International in September 2016, where she was head of origination and distribution of asset-backed products and loans in EMEA. Volta Finance will seek confirmation from shareholders of Moini's appointment at the annual general meeting on 28 November, together with re-election of all existing board members, with the exception of Joan Musselbrook. She announced her intention to retire from the board before the end of the financial year in July.

CLO funding

Pine Brook has closed a US$250m line of equity to CLO manager Trinitas Capital Management. Trinitas simultaneously announced the closing of a US$717m CLO, Trinitas VI, which is the firm's largest CLO to date (see SCI's primary issuance database).

Co-investment vehicle

Fair Oaks Income's FOMC II fund has entered into binding contracts to invest US$17m in a newly established co-investment vehicle that will acquire, in the secondary market, majority equity positions in three CLOs managed by Mariner Investment Group. The acquisition vehicle will be managed by Fair Oaks, with income and principal distributed to the fund for distribution or reinvestment in accordance with its terms. The potential total return for this investment is estimated to be between 15% and 16% per annum.

North America

Antares has hired Greg Lawton as md to assist in raising capital from institutional investors for the firm's asset management group. Lawton will be based in Chicago and report to Timothy Lyne, senior md and asset management leader. Lawton joins from Crescent Capital, where he was also md.

Renew Financial has hired Sei-Hyong Park as svp of capital markets. Park has extensive experience in structured finance and was previously md of T-Rex Group.