Contents

RMBS

Merger to impact SFR volumes

Starwood Waypoint Homes and Invitation Homes recently announced plans to merge, creating the largest single-family rental company in the US (SCI 11 August). The firms have also stated their intention to go public, a move that is likely to impact their securitisation strategy and potentially curtail issuance in the broader SFR RMBS market.

The merger will create the largest REIT in the SFR sector, accounting for roughly 82,000 properties - around 30,000 more than the second largest SFR REIT, American Homes 4 Rent. The move could produce US$45m-US$50m in cost synergies over the next 12-18 months and the market capitalisation of the combined firm would be approximately US$11bn (with a total enterprise value of US$20bn, according to Wells Fargo figures.

Tracy Chen, portfolio manager and head of structured credit at Brandywine Global, comments that the merger will likely reduce the number of SFR transactions the combined firm issues for a number of years. She explains: "The main reason for this is that the firm has announced a desire to float and list on the S&P 500. To do this, it needs to reach an investment grade rating - which requires it to reduce its existing level of debt, currently from 10x down to 7x EBITDA."

Wells Fargo structured products analysts add that such a deleveraging strategy could result in the combined firm prepaying nearly US$4.1bn of its securitisations through cashflow operations and increased equity. This could, in turn, increase call risk for investors in SFR securitisations.

Chen concurs that call risk could be a factor, but adds that it may have a varied reception. "They will likely call a lot of transactions and investors will therefore be subject to call risk and this could be significant, as they may call between 10%-20% of transactions. While increased call risk might not be welcomed by all investors, it presents some opportunity on the sell-side, as the bonds may trade at a discount," she comments.

The combined firm may also seek to lower its debt burden by refinancing its current securitisations with a longer-term Fannie Mae-backed issuance, the Wells Fargo analysts suggest. They note that refinancing with a Fannie Mae issuance or shorter-term debt would be net neutral for the SFR sector, but that "using equity to refinance the debt" would be overall negative, as transactions would be prepaid but not reissued.

Overall, Chen predicts reduced new issue SFR RMBS volume of 4%-5% as a result of the merger. She suggests, however, that investors will still be able to find opportunities in the sector.

Meanwhile, the sector has been in focus due to the impact of hurricanes Harvey and Irma. With large numbers of SFR properties in Texas and Florida, damage has been extensive, although the impact on underlying securitisations is yet to be ascertained.

Chen suggests that the exposure to those locations in SFR transactions could be as much as 30%, particularly in Texas. However, she expects any impact to be absorbed by credit enhancement and flood protection.
"The concern is that while a lot of properties in these states have insurance, they do not necessarily have flood insurance," Chen continues. "Some counties in Texas and Florida which are in FEMA-designated flood zones have obligatory flood insurance, but not all. Equally, SFR is typically more insured than residential properties, as they are often insured as commercial property."

On a broader level, the longevity of the SFR sector could be influenced by changes in the dynamic of home ownership in the US. Chen says: "An interesting dynamic in the US has been the trend of declining home ownership. It has gone from its peak of 69% down to 63%, where it sits about now. This has been concurrent with a steep increase in demand for rental properties."

She continues: "However, there is the possibility for this to flip the other way, as the millennial age bracket - 15-34 year olds - which are of equal magnitude to baby boomers, start to raise families and then pursue the purchase of their own properties. In turn, this could feed into greater non-agency RMBS issuance."

The US SEC is understood to have asked a number of SFR operators, including Invitation Homes, to provide information about their use of BPOs in evaluating investment properties. Starwood Waypoint Homes is said to have put its latest securitisation - Starwood Waypoint Homes 2017-1 Trust - on hold, pending disclosures related to the investigation.

RB

Secondary markets

Euro secondary returns

The European securitisation secondary market is beginning to return to life after the summer.

August saw the usual seasonal lull in terms of trading volumes in ABS/MBS, but the buying bias remained across the board. Consequently, secondary spreads were flat to slightly tighter month on month.

CLO volumes saw less of a dip and from time to time, especially around broader market volatility over North Korea, had some relatively busy days. Overall, tone remained firm and spreads ended up tighter at the top of the stack, flat elsewhere but with some softness in evidence in lower mezz.

The first few sessions of September have seen a pick-up in activity in all sectors, both off- and on-BWIC, with generally strong prints, notably in prime autos, senior CLOs and UK RMBS. However, the market looks to have quickly settled back into the patterns of the past three or four months with positive sentiment, strong demand and limited supply keeping spreads firm, but not yet encouraging a big surge in activity.

There is currently one BWIC on the European schedule for today - a two-line CDO/CLO combination. Due at 13:00 London time it involves: €11.8m original face of MALIN 2007-1A VFNE and €13.6m PANTH V-A A1.

Neither bond has traded on PriceABS in the past three months.

Secondary markets

US CLOs unswerving

The US CLO secondary market is yet to swerve from the path it has been following for a large part of this year.

Light volumes continued in August, but the year's supply-demand dynamic remained. Appetite for a still limited amount of available paper ensures that secondary spreads remain firm - 1.0 spreads throughout the stack are unchanged over the past month, while those for post-crisis bonds below double-A have edged in.

September so far has seen activity pick up slightly, but overall this week's BWIC calendar has looked little different to the pre-summer months with something less than 'normal' volumes in for the bid. However, the market could yet see an upswing once this holiday shortened week is over.

For now, there are four BWICs on today's US CLO schedule. The chunkiest of which is a $38+m five-line collection of double-As.

Due at 10:00 New York time the list comprises: ACIS 2013-1A B, BABSN 2013-IA B, NMRK 2013-1A B, OCT16 2013-1A B1 and TELOS 2013-4A B. None of the bonds has covered on PriceABS in the past three months.

ABS

Smaller lessors lifting aircraft ABS

Smaller aircraft lessors have increasingly tapped the ABS market over the last 18 months, with established lessors utilising other funding methods. The resulting shift in issuance is being reflected in securitised aircraft collateral pools, potentially leading to increased risks.

Fitch notes that the rise in new and/or smaller lessors in the aviation ABS market is paired with an increase in older commercial jet and turbo-prop aircraft concentrations in securitised pools. The agency reports that of the six aircraft ABS issued in 2017 so far, one is regarded as new - with a weighted average aircraft age of 3.4 years - while the WA ages of the remainder was between 9.2 and 13 years old.

Due to the rise of issuance from new smaller lessors with older aircraft pools, there has been an increased concentration of weaker airline credits in emerging markets backing such leases. For example, in 2017 the top three concentrations from various transactions included Ethiopia, India, Indonesia and Sri Lanka. While a potentially higher risk, this should be mitigated by increased travel demand and infrastructure improvements.

More broadly, Fitch comments that recent ABS will be supported by strong industry fundamentals in the short to medium term. According to IATA, revenue-passenger-kilometres grew 7.9% in 1H17, representing the highest growth rate in the last 12 years. Passenger demand is only expected to increase with expanding middle class populations in APAC regions and emerging markets. Such increased traffic helps further mitigate the riskier credits associated with increasing emerging markets exposure.

Additionally, low oil prices support the ageing fleet of current technology aircraft and the cheaper purchase price of the existing fleets continue to make them an attractive investment for airlines and lessors. An increase in oil prices, however, could lead to a drop in demand for these aircraft, although this could be offset by large order backlogs - and thus unavailability - of new technology model aircraft.

Leasing aircraft can lower carrier expenses and increase airline stability. Airlines lease over 40% of total aircraft fleets today, up from the past five years. This figure is expected to rise closer to 50% in the coming years, which has driven the popularity of ABS as a funding source for the lessor community.

Fitch highlights three debut ABS issuers this year: Dubai Aerospace Enterprise, Sky Aviation Leasing International and Elix Aviation Capital (with the latter's deal, Prop 2017-1, being the first ABS collateralised by turbo-prop aircraft). The agency says that turbo-prop deals are generally regarded as tier 2 aircraft due to their fairly limited application - although newer, more liquid models may be regarded as tier 1 aircraft due to their value retention profile and longer expected useful lives (generally 30 years or more).

Issuance levels in 2017 have been supported by strong demand as investors seek higher yields, with demand buoyed by growing consistency of transaction structures. Issuance is also being driven by lessors' desire to secure financing at attractive levels before interest rates rise further. While larger lessors may be able to tap the bond market, ABS is an important funding source for smaller lessors.

Indeed, increasing investor familiarity with the asset class has been reflected in 2017 transaction pricing levels. For example, Apollo's AASET 2017-1 ABS received the lowest pricing of an aircraft ABS ever at the single-A rating level.

Aircraft ABS issuance has totalled US$3.7bn so far in 2017, nearly double 2016's total of US$1.75bn. Fitch predicts even stronger volumes in 2H17 from both newer and established lessors.

RB

Structured Finance

SCI Start the Week - 18 September

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

Pipeline
There was greater variety to last week's pipeline additions, with significantly fewer ABS added. There were four ABS, three RMBS, seven CMBS and four CLOs/CDOs added to the list.

US$650.5m Globaldrive Auto Receivables 2017-A, Scandinavian Consumer Loans VI, Silver Arrow UK 2017-1 and CNY5.9bn Silver Arrow China 2017-2 accounted for the ABS. The RMBS were US$366.6m Mill City Mortgage Loan Trust 2017-3, Shellpoint Co-Originator Trust 2017-2 and Together Asset Backed Securitisation 1.

The CMBS were: US$1.1bn 280 Park Avenue 2017-280P; US$1.2bn BANK 2017-BNK7; US$9165m COMM 2017-COR²; US$858.9m CSAIL 2017-CX9; Citigroup Commercial Mortgage Trust 2017-P8; US$1.4bn FREMF Series 2017-K727; and GS Mortgage Securities Corporation Trust 2017-375H.

The CLOs consisted of Neuberger Berman CLO XV, US$652m PFP 2017-4 and US$501.58m RR 2. There was also a single CDO in the shape of US$431m RIN CDO.

Pricings
There were 14 ABS prints, as well as a couple of RMBS and a pair of CLOs.

The ABS were: US$206m Consumer Loan Underlying Bond Credit Trust 2017-P1; US$1.4bn DB Master Finance Series 2017-1; US$550m Exeter Automobile Receivables Trust 2017-3; US$750m Fifth Third Auto Trust 2017-1; US$1.35bn Ford Credit Auto Owner Trust 2017-REV2; US$450m Hertz Vehicle Financing II Series 2017-1; US$350m Hertz Vehicle Financing II Series 2017-2; £590m-equivalent Motor 2017-1; US$419.3m OSCAR US 2017-2; US$905m Santander Drive Auto Receivables Trust 2017-3; US$275m-equivalent Shinhan Card 2017-3; US$500m SoFi Consumer Loan Program 2017-5; US$457m USAA Auto Owner Trust 2017-1; and US$325m Vistana 2017-1.

A$414.5m La Trobe Financial Capital Markets Trust 2017-2 and A$1.5bn SMHL Securitisation Fund 2017-1 were the two RMBS. The CLOs were US$1.3bn CBAM CLO Management 2017-3 and US$564m ZAIS CLO 2017-2.

Editor's picks
UK lender markets debut public RMBS: Together Financial Services is marketing its first public securitisation. Dubbed Together Asset Backed Securitisation 1 (see SCI's deal pipeline), it has a current mortgage portfolio balance of £301m and comprises 4,535 first- and second-lien UK owner-occupied and BTL residential properties...
Direct lending securitisation faces barriers: Lines of credit to European direct lending firms, which borrow from banks and typically lend to middle-market firms, could be ripe for securitisation. However, the securitisation of these funding lines would bring added regulatory scrutiny and rating agency involvement, which would not be welcomed by all corners of the direct lending industry...
CDS developments gather momentum: Two developments - one under ISDA's control and the other seemingly out of it - are dominating the CDS market. The first is a new type of CDS due to be included in credit derivatives indices next year, while the other is the ongoing CDS uncertainty concerning the possible restructuring of a Noble loan...

Capital Relief Trades

EBA releases SRT discussion paper

The EBA has released its significant risk transfer (SRT) discussion paper, the main elements of which were outlined last month (SCI 18 August), and has launched a public consultation on its contents. The banking watchdog wishes to further harmonise the regulation and supervision of risk transfer through securitisation.

SRT in securitisations allows originators to achieve regulatory capital relief. The EBA's consultation is more comprehensive than previous guidelines and specifically considers SRT in securitisations of NPLs, mainly focusing on the regulatory treatment. The proposals are based on the recently-agreed European securitisation rules that also contain the definitions for higher quality simple transparent and standardised  (STS) securitisations.

While Rabobank analysts note that "there can be too much regulation" and that the SRT guidelines add to that, they say the EBA's contribution is welcome and creates "a level playing field that is currently lacking in the EU". They add: "Moreover, the SRT market is growing rapidly, and with more focus on capital adequacy, such as the Basel IV proposals, this expansion is unlikely to end."

As part of its mandate on SRT laid out in the CRR, the EBA says the proposals in its discussion paper are intended to strengthen the regulation and supervision framework of SRT, to improve regulatory certainty and to provide a level playing field for institutions transferring risk through securitisation. Its monitoring activity has identified areas in which further regulatory specifications may be needed regarding the process of SRT assessment and the supervisory approach to core structural features of securitisation transactions.

The EBA identifies amortisation structure, excess spread, cost of credit protection and call options as examples where further specifications may be helpful. It has also analysed SRT in securitisation of NPLs, which is a key measure towards NPL resolution.

"Consulting stakeholders at this stage is particularly important as the EBA's proposals are fully based on the newly agreed European securitisation framework, which will enter into force in the coming months, and will introduce STS securitisations across the EU. SRT will be a crucial aspect of such a reform," says the EBA.

The EBA's consultation on its latest proposals will run until 19 December. A public hearing will take place at the EBA premises a month earlier, on 17 November.

JL

Capital Relief Trades

Risk transfer round-up - 22 September

A Barclays significant risk transfer deal planned for mid-September has reportedly been delayed until mid-October. The new transaction follows the issuer's recent third Colonnade Global capital relief trade (SCI 8 September). The bank is also said to be planning corporate and mortgage SRT transactions for 2018.

CLOs

Euro CLO 1.0 losses crystallise

A new Bank of America Merrill Lynch study tracks the crystallisation of losses across pre-crisis European CLOs, where tranches have not been repaid in full. The analysis finds that around 60 European CLO 1.0 deals have outstanding rated debt tranches, compared to approximately 210 deals issued since 2001 that have been called and repaid in full or amortised naturally.

Bank of America Merrill Lynch European securitisation analysts highlight 11 European CLOs that have suffered tranche losses to date, which have mostly been restricted to originally non-investment grade tranches, barring two examples. There could be more losses in a small number of other deals, largely at the double-B level, with one deal that is undercollateralised at the single-B level, another six at the double-B and one at the triple-B level.

COPRN 1, HARMB 3, LEOP I, HARMB 4, NWEST I, AVOCA II, HARMB 5, LEOP II, AVOCA III, HARMB 6 and NWEST II are all flagged as having suffered tranche losses, listed in order of last principal payment, from May 2013 for COPRN 1 to September 2017 for NWEST II. The transactions were all priced between June 2001 for COPRN 1 to October 2005 for HARMB 6.

The HARMB 3 losses reached an originally single-A rated tranche. The analysts suggest that this was possibly due to the low initial credit enhancement, the large ABS bucket, the lack of rating-based overcollateralisation test haircuts and a build-up of long-dated assets.

In a small number of cases, no assets remain in the CLO structures - although the analysts comment that recently this is due to portfolios being liquidated prior to the legal final maturity of the notes, causing losses to be crystallised earlier. They add that in other cases this is a result of deals reaching legal final maturity and the full repayment of notes being sufficiently covered by the liquidation of the underlying portfolio.

The study suggests that most 1.0 CLOs that have suffered losses are from earlier vintages and exited their reinvestment periods before or soon after the financial crisis. This could have limited managers' ability to manage credit exposure and to reinvest principal receipts in low priced assets, meaning these deals likely benefited less from the subsequent recovery in the loan market than later vintage deals.

The 11 highlighted transactions are concentrated across five different managers. Therefore, given the tendency of managers to follow similar investment strategies across the deals they manage, poorly performing investments were likely repeated across their portfolios.

The study flags a number of other CLO 1.0 tranches likely to see losses, including eight undercollateralised deals, mainly at the double-B level. These comprise AVOCA V, HEC 2006-N, STRAW 2007-1, LEOP III, MUNDA 1, BACCH 2007-1, LFE III and NPTNO 2007-2.

The analysts calculate projected losses across all European 1.0 CLO issuance in repaid amounts, losses, projected losses and still outstanding. Including projected losses, total losses for original single-A to single-B European 1.0 CLOs are projected as 0.26%, 0.23%, 3.69% and 9.99% respectively.

While final losses are yet to be seen, the potential for limited severities highlights the strength of European CLOs. Comparable loss rates over a 10-year period for single-A to single-B corporates equate to 2.8%, 2.82%, 7.85% and 13.56%.

The analysts add that while the first few principal losses occurred at legal final maturity, losses have been brought forward in several cases by amendments passed by the noteholders aiming to facilitate an early liquidation of the portfolio. Such amendments include adjusting the redemption prices to be paid to the notes in case of an optional redemption or directing the manager/trustee/issuer to liquidate the portfolio and waiving any claims against any parties that could otherwise arise as a result of losses incurred.

Certain noteholders may also direct early liquidation without amendments being required; for example, where an event of default may be triggered by the balance of the collateral assets falling below the outstanding amount of the most senior notes at that time.

The study concludes that with some of the structural improvements seen in 2.0 European CLOs - such as higher credit enhancement and restrictions on long-dated assets and ABS investments - CLO debt tranches are better protected for future downturns in the loan market.

RB

CMBS

Toys R Us CMBS exposure gauged

Toys R Us filed for chapter 11 bankruptcy protection this week. Several US CMBS loans are exposed to the retailer, although no store closures have been announced.

The company filed for bankruptcy protection in an attempt to resolve US$400m of debt maturing next year. The majority of its stores remain profitable and the company says the filing will not affect its current nationwide operations, although it is likely that the retailer will review its brick-and-mortar footprint during the bankruptcy process.

Trepp has identified 109 outstanding CMBS loans, totalling about US$5.5bn, which feature Toys R Us or Babies R Us as one of the five largest tenants. Many of these loans are in CMBS 2.0 or 3.0 notes issued after 2010.

The loan with the largest CMBS exposure is the US$404.7m Toys R Us portfolio backed by 123 stores. It is the sole loan behind the TRU 2016-TOYS CMBS and includes a US$102.4m freely payable portion.

The loan amortises on a 30-year schedule and was fairly conservatively underwritten. When it was securitised last year, DSCR was 1.85x and LTV was 58.3%.

Also with heavy exposure is the US$380m Bronx Terminal Market loan, which is split into a US$140m piece securitised in COMM 2014-CR17, a US$135m piece in COMM 2014-CR18 and US$105m piece in COMM 2014-UBS3. Toys R Us is the fourth-largest tenant at the mall, with a lease that runs through January 2020.

The US$123m The Plant San Jose loan is securitised in WFRBS 2013-C14 and matures in May 2023. The US$61.1m Plaza La Cienega note is in JPMBB 2013-C14 and the US$31.5m Summerhill Square loan is securitised in MSBAM 2013-C10.

In the CLO space, Fitch notes that the Toys R Us filing has no rating impact due to limited exposure to the retailer and the diversified nature of CLO 2.0 portfolios. The rating agency says the company is present in 37 CLOs of the 333 broadly syndicated loan US CLOs it rates, and accounts for less than 0.1% of the total aggregate underlying collateral balance.

The highest exposure in the Fitch-rated CLO universe is KVK CLO 2016-1, where Toys R Us accounts for 1.2% of the portfolio. Exposure is in the form of US and Canadian A1 tranches expected to have recovery in the 91%-100% range.

JL

Risk Management

Margin posting trends surveyed

Approximately US$1.41trn of collateral was posted for cleared and non-cleared CDS and interest rate swap trades by end-1Q17, according to ISDA's latest margin payments survey. The association's findings highlight significant changes to collateral practices in the derivatives markets over recent years.

The ISDA survey shows that initial margin (IM) posted by clearing participants to central counterparties (CCPs) for their cleared derivatives trades totalled US$173.4bn, while IM posted to the 20 largest dealers (phase-one firms) for their non-cleared derivatives transactions totalled US$107.1bn at the end of March 2017. These 20 dealers, in turn, delivered US$63.6bn of IM and US$685bn of variation margin (VM).

Total VM posted stood at US$1.13trn, split across US$260.8bn for cleared and US$870.4bn for non-cleared trades. By asset class, IM and VM posted by clearing participants to CCPs respectively totalled US$173.4bn and US$260.8bn for cleared interest rate swaps and credit default swaps.

IM for IRS trades has grown by about 58.7%, from US$88.9bn at end-3Q15 to US$141.1bn at end-1Q17. IM for CDS trades grew by 13.7% over the same period, from US$28.4bn to US$32.3bn.

IM posted by clearing members for their own positions totalled US$79.3bn, compared with US$94bn of client IM, of which US$90bn was calculated on a gross basis and the remainder on a net basis. The portion of client gross margin relative to house net margin has increased from 43% in 3Q15 to 52% in 1Q17, according to ISDA's analysis.

The figures include IM that is required to be exchanged under the new rules (regulatory IM) and IM that is exchanged as a result of bilateral negotiations (discretionary IM). Specifically, phase-one firms delivered an estimated US$47.2bn of regulatory IM and received US$46.6bn of regulatory IM for their non-cleared derivatives exposures during the period. They also delivered an estimated US$16.3bn of discretionary IM for these exposures and received US$60.5bn of discretionary IM.

The top-five phase-one firms by amount of collateral represented about 51% of regulatory IM, 68% of discretionary IM and 46% of VM delivered. Cash accounted for 70.9% of total collateral, government securities comprised 20.7% and other securities made up 8.3%.

Based on the survey results, phase-one market participants mostly use government securities for meeting regulatory IM requirements because the margin regulations stipulate IM has to be bankruptcy remote. For VM, cash is the primary form of collateral used.

The survey polled the 20 banks with the largest non-cleared derivatives exposures - the so-called 'phase-one' firms under the new margin rules. ISDA also used publicly available data on cleared derivatives from two US CCPs, three European CCPs and two Asian CCPs. As such, the US$1.41trn total excludes margin posted on non-cleared derivatives exchanged between non-top 20 firms.

To put this total in perspective, the notional outstanding of OTC derivatives transactions was US$483trn at end-2016, according to BIS figures. This included US$368.4trn in interest rate derivatives and US$10trn in credit derivatives.

Separately, ISDA has published recommendations - which build on the work of the Committee on Payments and Market Infrastructures (CPMI), IOSCO and the FSB - for a comprehensive recovery and resolution framework for CCPs. The association says its recommendations should serve to strengthen CCP oversight and calls on regulators to finalise and implement CCP recovery and resolution strategies.

The recommendations suggest that a resolution regime for CCPs should indicate a time at which resolution could commence, but should allow flexibility for recovery to continue beyond that time. Subject to safeguards, VM gains haircutting could be used to allocate losses at the end of a CCP's default waterfall, while partial tear-ups could be used to rebalance a CCP's book if an auction or similar voluntary mechanism fails to do so.

Further, CCP assessments on clearing members must be capped in aggregate across recovery and resolution, with clearing participants that suffer losses beyond a certain point receiving claims that position them senior to existing CCP equity holders. While ISDA believes that it is appropriate for clearing participants to bear a portion of some non-default losses, CCPs and their shareholders must bear the risk of non-default losses that are solely within their control. The association also indicates that access to central bank liquidity on standard market terms is necessary to support CCP recovery and resolution.

CS

Structured Finance

Job swaps round-up - 22 September

Analytics

DBRS has begun publishing a monthly report that provides loan-level detail for each US auto loan ABS that has issued loan-level reporting to accommodate recent regulations. Dubbed Figures on Automotive Securitization Tapes (FAST), the tool aims to allow market constituents to synthesise new and existing pools of loans and compare them to other pools in the market. The report comprises two sections: one that includes data and analytics; and another that includes definitions.

dv01 has launched a cashflow engine for securitisations, with full waterfall and collateral model support available for a library of 30 consumer unsecured, student and small business deals from originators including Avant, Lending Club, Marlette, Prosper, SoFi and Upstart. The tool is powered by deal waterfall models that operate on loan-level data sourced directly from originators and projections are then tied out to trustee reports to ensure accuracy. The aim is to help investors generate tranche and residual cashflow projections.

EMEA

AFME has appointed Jacqueline Mills as head of its Frankfurt office. Mills has been a senior member of AFME's prudential team since 2014.

Cushman & Wakefield has recruited Maud Visschedijk and Maarten de Jong to build a debt and structured finance team in the Netherlands, focusing on debt arrangement for real estate investors and developers. The pair previously worked in CBRE's debt and structured finance department and have an extensive network of national and international lenders. Visschedijk has a banking background at ABN AMRO Real Estate Finance, while De Jong was formerly employed by FGH Bank and SNS Property Finance.

CVC Credit Partners has appointed Hamish Buckland as chairman. He joins from Triton Partners and previously spent 25 years at JPMorgan, where his most recent role was vice chairman of the investment banking business. CVC Credit Partners managing partner and cio Stephen Hickey is leaving the firm - after five years of service - for personal reasons.

Latham & Watkins has recruited Simeon Rudin as counsel in the finance department at its London office. Rudin's practice focuses on advising investment banks, insurance companies and market counterparties on a broad range of innovative structured finance and fintech matters. He was previously a partner at Freshfields Bruckhaus Deringer.

Lucid Issuer Services has launched a trustee and agency services platform and has hired securitisation vets John Traynor, Emma Hanley, Paul Barton and Christopher Eastlake to support the launch. Traynor was previously at Wilmington Trust, while Hanley was at US Bank. The pair will drive the growth of the firm's agency and trustee business. Barton and Eastlake were at Wilmington Trust and US Bank respectively and will lead relationship management at Lucid.

RateSetter has left the peer-to-peer industry trade body, the P2PFA, after it was accused of attempting to hide bad loans from investors and because it breached the association's principles by intervening in loans to protect investors from losses. The company lent £36m to Vehicle Trading Group (VTG), which then collapsed at end-2016, and also allowed VTG to lend £12m of investors' money to advertising firm Adpod, which was then bailed out and acquired by RateSetter when it also got into difficulty. It was also revealed that RateSetter became a shareholder in subprime consumer lender George Banco.

Twelve Capital has hired Aaron Coates as executive director, sourcing in its London office and Philip Graf as executive director, investor sales in its Zurich office. Coates was previously an underwriting manager in property reinsurance at Barbican Insurance Group, while Graf was previously a division director at Macquarie Bank.

Fraud complaint

The US Department of Justice has filed a civil complaint in federal court in Brooklyn, New York, against former Deutsche Bank subprime trading head Paul Mangione, alleging that he engaged in a fraudulent scheme to misrepresent the characteristics of loans backing two RMBS (ACE 2007-HE4 and 2007-HE5) that suffered significant losses. The complaint further alleges that Mangione also misled investors about the origination practices of Deutsche Bank's wholly-owned subsidiary, DB Home Lending (formerly known as Chapel Funding), which was the primary originator of loans included in the securitisations. The suit is brought pursuant to the Financial Institutions Reform, Recovery and Enforcement Act of 1989 (FIRREA) and seeks an appropriate civil penalty.

North America

Alcentra has appointed Vijay Rajguru as co-cio. He will report to chairman and ceo David Forbes-Nixon and work alongside cio and president Paul Hatfield. Rajguru will oversee Alcentra's global direct lending and loan businesses in Europe and the US, with a particular focus on growing the US direct lending and loans function. He will also lead the firm's capital markets activities.

Black Diamond Capital Management has hired Andy Phelps as a senior md and head of structured products business development. Phelps joins Black Diamond from Natixis, where he served as global head of structured credit syndication.

Credit Suisse has promoted Joseph Steffa to global head of structured products, replacing Jim Buccola. Steffa has been with Credit Suisse since 2013 and joined from RBS, where he was md, non-agency trading.

FS Investments has appointed Rob Lawrence md and global head of real estate, based in New York and reporting to president and cio Mike Kelly. Lawrence will also help manage the newly-formed FS Credit REIT in partnership with its sub-adviser Rialto Capital Management. He most recently served as executive md at Singer & Bassuk and before that was senior md and co-head of origination at Guggenheim Commercial Real Estate Finance, where he led the CMBS origination platform.

The Milken Institute has formed a new policy team headed by Eric Kaplan, who has been named director of the Institute's housing finance programme. He was most recently a managing partner with Ranieri Strategies and, prior to that, an md of Shellpoint Partners, where he built a post-crisis non-agency RMBS platform. The team - including senior fellows Ted Tozer, Michael Stegman and Phillip Swagel - will contribute actively to policy formation, thought leadership, education and engagement. In addition, Milken Institute founder and chairman Michael Milken and Lewis Ranieri will co-chair a new Housing Advisory Council to advise and inform the work of the team.

Nomura has made two senior appointments within its agency mortgage business in the Americas: Keith Willard joined the agency mortgage sales team as an md; and Matt Shiel joined as an executive director on the pass-through trading desk to build out the firm's 30-year flow book. Willard was previously an md and head of pass-through trading at Deutsche Bank, while Shiel previously held a similar role at Barclays. Additionally, Bernard Yiu has been hired from Deutsche Bank as a vp, trading mortgage derivatives.

ReliaMax has launched a whole loan trading service as an extension of its existing capital markets and liquidity programmes. Dubbed ReliaMax Portfolio Placement, the service will facilitate qualified existing private student whole loan portfolios for sellers and buyers, including insurance, default prevention, credit analysis and servicing. ReliaMax capital markets vp Steve Pachella has been appointed to the newly created role of vp, head of capital markets to spearhead the new offering, reporting to ceo Michael VanErdewyk.

Mike Cagney has resigned as ceo of SoFi, following a string of accusations relating to sexual harassment at the company.

The Carlyle Group has named Mathew Feldman as md of the Carlyle Credit Opportunities Fund, based in New York. He was previously a senior investment professional at Davison Kempner Capital Management, responsible for sourcing and structuring complex transactions totalling nearly US$2bn of deployed capital across the US and Europe. Before that, Feldman was a vp at Square Mile Capital, where he spent four years focusing on high yield debt and equity investments in commercial real estate.

Portfolio sale

MTGLQ Investors is the winning bidder on Fannie Mae's latest reperforming loan sale transaction, which comprised approximately 10,700 loans totalling US$2.43bn in unpaid principal balance divided into three pools. The cover bid price for the three pools was 91.51% of UPB (representing 83.37% of BPO). The pools were marketed with Citi as advisor.

Strategic partnership

CIFC has entered into a strategic partnership with the Healthcare of Ontario Pension Plan (HOOPP) to form CIFC CLO Strategic Partners II, a new capitalised manager-owned affiliate of CIFC (known as CMOA II). CMOA II intends to purchase the majority equity positions of CIFC's future new issue CLOs to comply with US and EU risk retention rules. Under the terms of the partnership, HOOPP has made a substantial, single external investor commitment to CMOA II, with CIFC committing up to US$75m. CMOA II is expected to support approximately US$7.5bn of CIFC's incremental new issuance over the next several years.