Contents

NPLs

Deal 'will happen' despite political risk

Banco BPM has announced the transferral of a €5.1bn gross nominal value (GNV) portfolio of NPLs to the Red Sea SPV, as part of Project Exodus (SCI June 1). The Italian bank aims to sell the junior and mezzanine notes, although political uncertainty may lead to higher premiums, putting a strain on the transaction.

Banco BPM will apply for the GACS guarantee from the government, which will allow the senior note to receive an investment grade rating. The junior and mezzanine notes are expected to be sold close to book value, thanks to a rise in provisions owing to the first time adoption of IFRS 9.

As a result, Massimo Famularo, head of Italian NPLs at Distressed Technologies, does not expect the political situation in Italy will spook investors. He says: “You might see higher returns and a lower purchase price but it will not stop the deal”.

Famularo adds: “Furthermore, it is difficult to make changes [to] the legal framework, although a larger timing for recoveries is possible. The only relevant risks are sovereign default and an exit of Italy from the euro, which are considered as low probability by investors.” An exit from the euro would imply redenomination risk on the cash flows, while a sovereign default would accelerate any return to the lira.

The two governing parties in Italy - the Five Star Movement and the League – have recently stated that they would prohibit banks from recovering debts from retail borrowers without going through the courts. This could slow down the clean-up of bank balance sheets and lengthen NPL recovery periods.

“It goes against everything the European authorities have been saying recently about accelerating out of court enforcement of loans secured by collateral,” says Puja Karia, senior analyst at CreditSights.

According to the European Commission’s proposals released in March, out of court collateral enforcement is strictly limited to loans granted to businesses. This is only applicable where the business explicitly agrees when concluding the loan contract.

The European Commission expects the measure to reduce recovery periods and improve NPL recovery rates, although Karia suggests the issue is not focussed on enough when discussing Italian banks.

Although Unicredit and Intesa Sanpaolo have better asset quality ratios than their peers, Karia says they are still weaker than other European banks. Among Italian banks, Banco BPM and Banca Monte dei Paschi di Siena (BMPS) have the highest NPL ratios.

Following on from this transaction, Banco BPM also plans to divest another €3.5bn of NPLs. Additionally, on its first quarter earnings call, management stated that it would consider a sale of its debt servicing unit.

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Structured Finance

SCI Start the Week - 4 June

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

Pipeline
ABS and RMBS made up the majority of the transactions remaining in the pipeline at the end of last week. A trio of CMBS were also marketing.

The auto ABS in the pipeline comprise: US$900m BMW Floorplan Master Owner Trust Series 2018-1, US$486.02m DT Auto Owner Trust 2018-2, US$707.86m Hyundai Auto Lease Securitization Trust 2018-B, CNY9.35bn Rongteng 2018-2 and €600m SC Germany Auto 2018-1. The US$1.09bn Castlelake Aircraft Structured Trust 2018-1 and US$127.45m Loan Science Student Loan Trust 2018-A ABS were also announced last week.

The RMBS in the pipeline consist of: A$350m AFG 2018-1 Trust, US$401.63m COLT 2018-2, A$1bn Firstmac Mortgage Funding Trust No. 4 Series 2-2018, US$694m New Residential Mortgage Loan Trust 2018-RPL1, A$690m Progress 2018-1 Trust, US$409.82m Sequoia Mortgage Trust 2018-6 and US$263.51m STACR 2018-SPI2. Finally, the US$668.2m CGCMT 2018-C5, US$725m DBGS 2018-BIOD and US$330m US 2018-USDC CMBS round out the deals currently marketing.

Pricings
Last week’s pricings were dominated by consumer ABS and CLOs. A pair of RMBS were also issued.

The new issue consumer ABS were: €1.7bn Caixabank Consumo 4, US$600m Citibank Credit Card Issuance Trust 2018-4, US$509.8m Nelnet Student Loan Trust 2018-2, €1.6bn Noria 2018-1, Sfr200m Swiss Credit Card Issuance 2018-1 and US$268.41m Towd Point Asset Trust 2018-SL1. Meanwhile, the CLO prints were split between refinancings (US$476.75m ALM VI, US$518.05m Mountain View CLO IX and US$284.25m Steele Creek CLO 2016-1) and new deals (€411.4m Contego CLO V, US$407m Kayne CLO I and US$610.9m Octagon Investment Partners 37). The €1.37bn Elide FCT Compartiment 2018-01 and €1bn Green Apple 2018-1 NHG transactions accounted for the RMBS pricings.

Editor’s picks
Consultant activity surveyed: Investment consultants for long-term investors such as pension funds haven’t been as active in capital relief trades as other investors, typically hedge funds - although this is expected to change, as corporate defaults pick up over the next two to three years (SCI 25 April). The trades are attractive to consultants’ clients, as they provide exposure to higher quality corporate collateral, control over underwriting standards and structural protections...
Managers set out stalls post-repeal: Of open-market CLO managers that have issued a risk retention-compliant CLO, 61% are seeking to sell some or all of the risk retention interest, according to a recent survey from Maples and Calder. Indeed, a number of risk retention pieces have been put up for sale on the secondary market in recent weeks, following the official repeal of the ruling for CLOs earlier this year (SCI passim)…
GACS issuance surge expected: Investor appetite for GACS non-performing loan securitisations will be tested this year, as a strong pipeline of deals come to market before the government guarantee expires in September. Should the guarantee fail to be extended, more outright sales of NPLs are expected rather than securitisations…
RRBs on the rise?: Signs of an uptick in the US rate reduction bond (RRB) market are emerging, albeit the sector remains a relatively small segment of the securitisation landscape. More states are putting frameworks in place to enable them to issue RRBs and there are indications of innovative transactions on the horizon…

NPLs

UTP loans raise AI prospects

Resolving unlikely to pay (UTP) loans is becoming more important for Italian banks, but the challenges involved can be particularly complex. As a result, special servicers are looking to create proprietary servicing platforms that utilise machine learning and artificial intelligence.

Servicers have collected extensive information on borrower performance and credit data which they are using to an increasing degree to help their loan resolution efforts. To expedite this process, they are investing in tools to create more automated servicing solutions and increase the efficiency of their approach to loan resolution.

Fitch expects more servicers to invest in artificial intelligence and machine learning, allowing them to detect early-warning signs of underperformance. This would also help to prevent further deterioration and increase recovery prospects.

Automation could also be used to assess borrower performance through a segmentation of portfolios. This would allow the servicer to prioritise borrower segments and so reduce execution and operational costs.

The rating agency adds that, should such efficiency gains materialise, special servicers could more directly focus on third-party portfolio management duties and become even more crucial to the success of direct sales and securitisation.

In Fitch's opinion, “increased competition and strategic partnerships create opportunities for special servicers to explore these alternative business models. In addition, servicers with bank licences or those that are part of a banking group have an opportunity to use a wider set of services, including financing to retail and SME borrowers”.

UTP loans owe their complexity to the fact that they require a judgement about the “unlikelihood” of fulfilling an obligation. As a result the UTP category may consist on one end of borrowers with overdue instalments, similar to past due exposures, and on the opposite end of borrowers whose critical financial situation could force them into non-performing status.

Additionally, UTP loans include all exposures involved in some kind of restructuring. Moreover, they are different depending on borrower characteristics such as industry, size, vintage (such as how long the exposure has been classified as UTP) and available guarantees and collaterals.

Each of these features must lead to a specific management strategy for the UTP loan. Consequently, an in-depth comprehension of UTP characteristics is essential for their proper and effective management.

The complexity further explains why they are not typically included in distressed transactions, given that they require a better understanding of borrower affordability. Servicers usually resort to loan modifications and changes in payment options to prevent any default on obligations.

However, automated servicing platforms would not alone be sufficient to boost the amount of UTP loans managed by Italian servicers. According to PwC, this would also require new lending.

Through the ongoing management of existing loan contracts, servicers must secure a new injection of cash into UTP borrowers’ capital structure directly such as by challenger banks or, indirectly, through third-party investors. Moreover, borrowers would also require support in defining restructuring plans.

Furthermore, servicers would also have to be more pro-active with their UTP borrowers on a daily basis. Essential here is the relationship established with the borrowers and the knowledge of their local market.

For the top 10 Italian banks, the portion of UTPs returned to performing increased from 4% in 2015 to 5.1% in 2017 and a similar trend for the cure rate was seen in the Italian banking market at 3.7% in 2015, versus 3.9% in 2016. For the top 10 Italian banks, the collections of UTP loans increased between 2015 and 2017 from 9.1% to 9.8%.

As of year-end 2017, UTP loans on Italian bank balance sheets totalled €94bn, or 36%, of total non-performing exposures. These comprise mainly of corporate and SME loans.

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RMBS

Older borrowers shaping UK mortgage market

A shift is underway in the UK mortgage market regarding borrowers entering retirement, with a relaxation on retirement interest-only (RIO) mortgages and changes to maximum borrower ages at loan maturity. Furthermore, volumes of equity release-style lifetime mortgages tailored towards older borrowers are growing.

S&P comments that a combination of increased life expectancy and the increasing age for first property purchases has prompted lenders to change the way they lend in terms of retirement products. The introduction of income drawdown also now makes it harder for lenders to predict the certainty of income in retirement for some borrowers.

Additionally, the UK FCA recently re-categorised RIO mortgages as standard mortgages, rather than equity-release - which may further open up consumer access to RIO mortgages. RIO mortgages may appeal to borrowers more than traditional equity release products because of the larger lump sum released, as interest is not rolled up, S&P suggests.

Individual lender appetites regarding the product currently vary, although some may view it as a growth opportunity and a way to counteract the contraction in other lending, such as buy-to-let. A major benefit of RIO mortgages is that they have the capacity to accelerate the current low prepayment rates of borrowers of interest-only legacy UK mortgages.

S&P predicts an rise in borrower appetite for RIO mortgages as a result of the increase to the maximum lending age, along with allowing death or morbidity as a viable repayment strength. The agency suggests that RIO mortgages have the potential to cannibalise the equity release market, due to potentially lower interest rates and a higher day one cash advance.

A downside to RIO mortgages, however, is that the main cause of delinquency is long-term care or death. This could be a heightened risk for lenders with a high, or no, maximum lending age.

As such, there is additional credit risk for securitisations heavily exposed to retirement mortgages and there is no data that can predict likely future prepayment behaviour. However, the rating agency expects there to be lower-than-average prepayment rates and a longer WAL of assets at the pool level.

S&P also notes that the lifetime mortgages – available to those above 55 to unlock equity in their homes - have seen increased demand and now make up the largest portion of equity release mortgages. The borrower retains a 100% ownership of their property, whereas in a home reversion plan the property - or part of it - is sold upfront at a discount to the property value.

Unlike a standard mortgage, a lifetime mortgage doesn’t have a fixed repayment date and doesn’t require monthly payments of interest or interest and principal. Interest accrues on the total loan amount, plus any interest already charged, and is then rolled up and the original lump sum repaid from the sale of the property on the borrower’s death or move into long-term care.

Lifetime mortgages present risks separate to standard residential mortgages, including that longevity risk replaces default risk, due to the lack of regular payments. There is also increased sensitivity to house prices, as they rely more heavily on the liquidation value of the property, and prepayments are expected to be lower than on standard mortgages.

S&P expects the demand for lifetime mortgages to grow as more people enter retirement without adequate pension provisions. The agency suggests that a large number of the 1.67 million borrowers of interest-only mortgages may also turn to the lifetime mortgage product when the next maturity peaks of interest-only loans occurs in 2027/2028 - and again in 2032 - with many borrowers unable to repay the outstanding capital.

In the UK BTL space, Bank of America Merrill Lynch European securitisation analysts note that the market is falling as a result of tax and regulatory changes, with weakening also being seen in the rental market. As a result, RMBS volumes have declined, although performance remains stable.

According to the BAML analysts, BTL lending has seen its first yearly decline in terms of gross lending since 2010, with 2017 down 10%. In 1Q18, gross lending was up 3% year-on-year by volume and 5% by number of loans.

In addition, net lending fell 48% in 2017 to £7.8bn, from a peak of £23.3m in 2015. In 1Q18, net lending was down 40% YoY at £1bn.

The analysts suggest that demand for BTL mortgages will remain weak and possibly drop further in 2018. They don’t, however, expect a drastic decline, as the sector offers an alternative to pension investments and stable performance as a result of tighter underwriting standards.

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Structured Finance

Start-up launches to solve structured product problems

Banks remain too big to fail and there is still opacity surrounding securitisation and structured products. This is the view of banking and derivatives veterans Philippe Naegeli and Patrick Loepfe, who have launched a new platform - dubbed GenTwo - aimed at addressing these challenges.

Loepfe, founder and chairman at GenTwo, was previously chief risk officer at DIVAS Asset Management working on a derivatives solution and prior to that worked at Vontobel for over a decade in structured products and derivatives. Naegeli takes the role of ceo at GenTwo and is an investment banker by trade, having most recently been managing partner at Forstmann & Co.

Loepfe explains that after being in the structured products and derivatives sector for many years, he developed a clear view as to what needs to improve. A lack of transparency is high on the list, along with extortionate costs due to balance sheet expansion and regulation.

Naegeli expands: “We offer a way of segregating sector risk through the establishment of small separate SPVs to allow clients to hold and structure bankable and non-bankable assets off balance sheet.”

“To do so,” he continues, “we create for every client an individual and tailor-made issuance vehicle which will be based in Guernsey, although we are looking to launch SPVs in other jurisdictions too. Products are issued with a Swiss ISIN and are bankable worldwide.”

The firm aims to differentiate itself from others by enabling financial intermediaries to manage tailor-made, off-balance sheet issuance vehicles, or SPVs. As part of the process, the asset manager is placed in charge with full oversight and transparency as to the individual issuance and products, while bank issuer risk is removed.

By doing this, says Naegeli, the firm can avoid “risk aggregation” which is the “main driver of overheads in structured products”. By segregating risk, the co-founder says the firm can offer full transparency and an “open architecture”, further helping to lower costs.

A current project for the firm is securitising an ICO token, in order to create an ICO tracker. This is motivated by the possibility that an investor may not want to invest directly in the product due to the complexity of it and security concerns.

Naegeli adds that “with such a tracker, we can mediate several risks” but points out that overall, the firm is not “looking to create extremely complex products or extremely exotic payment streams...” such as CDOs. Instead, the founders are “aiming to create fairly simple products, but [it] can do basically all underlyings”.

He adds that GenTwo will engage with a range of asset classes including planes, ships and private equity loans. In the case of a structured product backed by airplanes, for example, the firm may put together a portfolio of planes and lease them out to clients (providing a yield to the investor), or it could sell the individual planes to an SPV and buy back the notes.

In terms of what GenTwo’s role in each transaction, Loepfe explains: “We set up an SPV for an asset manager and provide servicing support, where needed, to issue structured products. We can value, manage lifecycle events, manage term sheets and so on – all the administrative tasks needed to help firms issue structured products.”

The target clients are small to medium sized financial intermediaries, such as asset managers, smaller banks, family offices and others doing structured products but lacking the infrastructure of big issuers. GenTwo may also look to work with bigger firms, however, where they are working with non-bankable assets.

In terms of challenges to the firm’s growth, Naegeli suggests that change can be hard to accept, which could be a barrier in terms of “take-up” of the solution. Competing firms may arise, although the founders welcome competition as it may open the market to GenTwo’s technology, which they are keen to have shared and utilised around the globe.

Naegeli says that the firm is ultimately driven to solve the ongoing problem around risk segregation. Alongside this, he wants to address the issue of “too big to fail” which he feels is still a problem - one that has not improved.

He concludes: “If anything, the situation is worse now and - instead of resolving the problems - regulators have just stacked more regulations on top, which [has] forced the banks to cover for more costs and hence have to take on more deals, which therefore makes the bigger players even larger.”

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Structured Finance

Market moves - 8 June

Acquisition

Angel Oak Commercial Lending (AOCL) has acquired a controlling interest in Cherrywood Mortgage – a national, small-balance commercial mortgage lender based in Los Angeles, California. Cherrywood will serve as the wholesale small-balance commercial lending arm of (AOCL) and is led by ceo Bill Komperda and president Ed Resendez.

Cat bond first

SCOR has sponsored a new cat bond, dubbed Atlas Capital UK 2018 which will provide the group with multi-year risk transfer capacity of US$300m to protect itself against storms in the US, earthquakes in the US and Canada, and windstorms in Europe. The risk period for Atlas Capital UK 2018 will run from1 June 2018, to 31 May 31, 2022. With this transaction, SCOR becomes the first reinsurer to use the new UK ILS regime to issue a cat bond. This transaction has received the approval of the PRA and the UK regulatory authorities. The cat bond was priced on 24 May, 2018 and closed on 31 May, 2018. GC Securities acted as sole structuring agent and bookrunner for the deal and Clifford Chance advised SCOR.

Cayman Islands

Ogier has promoted Mark Santangeli - who specialises in fund finance, asset finance and structured finance - to partner in its Cayman banking and finance practise. Santangeli joined the firm’s Cayman team in 2008, having worked in-house at Bank of Scotland Corporate, where he advised extensively on CMBS and conduit-based securitisation. He continues to advise on a variety on structured finance transactions, including CLOs, securitisation and other types of bespoke structures.

CDS market reviewed

The Bank of International Settlements (BIS) has reviewed the CDS market over the last ten years and finds that outstanding notional amounts from US$61.2trn from end-2007 to US$9.7trn in 2017. This was driven by compression immediately following the financial crisis but more recently it has been driven by the rise of central clearing. Additionally, the share of outstanding amounts cleared via central counterparties has risen rapidly, from 17% in mid-2011 to 55% at end-2017, while the share of inter-dealer trades has fallen, from 53% to 25%. At the same time, the share of CDS underlying credits rated investment grade has risen post-crisis, to 64% at end-2017. The share of CDS on sovereign entities has also risen to 16% as of end-2017. Reporting dealers continue to be net buyers of CDS protection, at US$258bn at end-2017. Hedge funds have markedly reduced their net purchases of protection from dealers, to US$16bn at end-2017.

CLO head announced

Natixis has announced Chris Gilbert as head of US CLO Banking and David Williams as head of US Global Structured Credit Solutions (GSCS) Capital Markets. Gilbert has been with Natixis since 2005 and will report to Alex Zilberman, global head of CLOs. Williams, who has been with Natixis since 2006 will continue managing US syndicate team while working closely with the structured finance banking teams on origination, business development, and managing client relationships. He will report to Michael Sierko, head of GSCS Americas.

FHSL 2006-1 tender results in

Clifden IOM No. 1 has disclosed that, as at the expiration date of its tender offer for Fairhold Securitisation CMBS notes, the principal amount of class A notes tendered for purchase was insufficient to establish its required holding of £104m and it is actively exploring options to enable it to reach the required holding. The firm also states that it considers the actions of the ad hoc group of noteholders – which is due to meet on 11 June to consider an extraordinary resolution to increase the minimum percentage of class A or class B noteholders then outstanding entitled to direct the trustee to 50.1% - not to have been in the best interests of all noteholders and plans to vote against the extraordinary resolution. If it is passed, Clifden says it may withdraw its interest in pursuing restructuring and enforcement actions in respect of the issuer.

GNMA restrictions implemented

Ginnie Mae has restricted Veterans Administration single-family guaranteed loans pooled by Freedom Mortgage Corp, SunWest Mortgage Co and NewDay USA to Ginnie Mae II custom pools only. All three lenders remain approved Ginnie Mae issuers and remain authorised to pool FHA and Rural Housing single-family insured mortgages in all eligible Ginnie Mae pool types. The restriction for Freedom and SunWest of their VA single-family loans to Ginnie Mae II custom pools is effective for 1 July 2018 issuances and concludes with 1 January 2019 issuances, while NewDay’s restriction commenced with its 1 April 2018 issuances and concludes with its 1 October 2018 issuances. The conclusion dates assume that the issuers have demonstrated, to Ginnie Mae’s satisfaction, that prepayment speeds are substantially more in-line with those of equivalent multi-issuer cohorts and such improved performance is sustainable.

Greek NPL sale

Piraeus Bank has agreed to sell to Bain Capital Credit non-performing and denounced corporate credit exposures, secured with real estate collateral, equivalent to €1.95bn total legal claims or €1.45bn on-balance sheet gross book value. The transaction is expected to generate circa 20bp of CET-1 capital, as at 31 March 2018, while reducing the NPE ratio of the bank by more than 100bp. Following the completion of the transaction, Piraeus will have no control over the servicing of the portfolio and will retain none of the risks and rewards associated with it.

ILS

Anna Pereira has joined Horseshoe Group as svp, head of treasury while the firm has also hired Mark Lavery as svp and head of marketing and communications. Pereira was previously head of captive and insurance banking at HSBC while Lavery was previously senior manager, markets at KPMG.

Clint Graham has joined Securis as a senior analyst within the non-life team and will be based in Bermuda. He was previously a quantitative risk analyst at Nephila Capital.

Guy Carpenter has hired Shiv Kumar as president and global leader of GC Securities, capital markets. Kumar was previously head of insurance structured finance at Goldman Sachs.

Morgan Management

KBRA has identified two CMBS transactions it rates with exposure to properties specifically referenced in the indictment: Ellicott Apartments (0.7% of pool) in COMM 2013-CCRE9 and Avon Commons (0.4% of pool) in FREMF 2015-K44. In each of the transactions, Robert Morgan is a sponsor and a guarantor of the related loan. KBRA examined the related loan and CMBS securitisation documents for the Ellicott Apartments and Avon Commons loans. Based on this review, KBRA believes that, if the allegations set forth in the indictment are found to be true, such finding could trigger an event of default under each of their respective loan documents and recourse to the respective guarantors. However, based upon a review of the securitisation-level documents, and the rating agency’s understanding of the facts and circumstances at this time, we do not believe that the indictment or actions alleged therein would constitute a breach of any representation or warranty by the loan seller in connection with the sale of the loans to the trust. Due to our findings, and in consideration of the size of the related loans, KBRA does not contemplate any watch placements or rating actions at this time but will continue to monitor the situation. Freddie Mac recently announced the series of Structured Pass-Through Certificates (SPCs) backed by loans that involve Robert Morgan and/or his management company, Morgan Management. On May 22, the United States Attorney’s Office for the Western District of New York in Buffalo announced that a grand jury returned an indictment alleging that Frank Giacobbe and Patrick Ogiony (principals of mortgage broker Aurora Capital Advisors), and Kevin Morgan and Todd Morgan (employees of Morgan Management), conspired to provide lenders, servicers and other investors with false financial information in connection with the origination and servicing of loans in which a Morgan Party has or had an ownership interest in the related borrower. According to the indictment, the defendants conspired to fraudulently obtain over US$167.5m of loans relating to seven properties located in New York and Pennsylvania.

North America

Algomi has appointed former MarketAxess EMEA coo Scott Eaton as ceo, focusing on further commercialising the firm’s suite of fixed income solutions. Prior to MarketAxess, Eaton was global head of emerging markets trading with UniCredit and held a variety of leadership roles in credit trading and structuring at ABN Amro, RBS, Deutsche Bank and UBS. Algomi has also named Charles Mounts (md, global head of research and design at S&P Dow Jones Indices) and James Wallin (svp in AllianceBernstein’s fixed income group) as non-executive directors.

Barrow, Hanley, Mewhinney & Strauss has hired Michael Trahan and James Silcock to its newly formed bank loan strategy as credit analysts and both will report to Nick Losey and Chet Pai. Trahan, who joins the firm as a director, brings to Barrow Hanley 13 years of experience in high yield bonds, bank loans, CDS and equities.  Most recently, Trahan served as a senior analyst at Carlson Capital and before that as a senior portfolio analyst at Highland Capital. Silcock has almost a decade of experience in high yield bonds and bank loans and he joins Barrow Hanley from CIFC Asset Management, where he was an associate.

Hunt Mortgage Group has hired Precilla Torres as senior md and head of the proprietary lending group. She will be based in New York and will report to Jim Flynn, president and cio at the firm. Torres was previously at Ares Management as co-portfolio manager and co-head of the CMBS platform.

Walker & Dunlop has hired John Gilmore as svp and md in its multifamily finance group, focused on the affordable multifamily space. Based in New York, he has extensive experience sourcing loans for execution through Fannie Mae, Freddie Mac and the Department of Housing and Urban Development. Gilmore was previously vp and senior relationship manager in the community development and investment group within KeyBank Real Estate Capital. He has expertise in complex deal structures, including structured credit facilities, tax-exempt bonds and federal and state tax credits. 

Mike Ramsay has joined Wilmington Trust as vp and client development officer. He was previously vp and business development officer in corporate trust sales at Wells Fargo.

RFC on counterparty criteria

Fitch has requested feedback on proposed changes to its structured finance and covered bonds counterparty rating criteria. The material changes include adjusting the eligibility criteria applied to collection account banks under a new commingling risk classification, resulting from Fitch's review of recent bank failures and the limited materialised commingling. If the proposed change is implemented, the agency estimates that ratings of about 6.5% of outstanding EMEA RMBS tranches will be upgraded, in most cases by one to two notches. The agency is also proposing to adjust the replacement period for issuer account banks that become ineligible to 60 days from 30 days, and to expand the use of case-by-case analysis for payment interruption risk. Feedback is invited by 1 July.

RMBS tender offer

Clifden IOM No. 1 has invited Thrones 2013-1 class A noteholders to tender their notes for cash. The firm is offering a fixed purchase price of 95% per £1,000 in principal amount of notes tendered by 17 July, with a settlement date of 20 July. There is an early tender premium of an additional 30% if notes are tendered by 22 June. Separately, Clifden has extended the expiration deadline of its tender offer for RMAC Securities No. 1 notes to 6 July 2018.

SASB CMBS on review

Morningstar Credit Ratings has placed 59 tranches from 14 CMBS that it rates under review (positive or negative) in conjunction with the release of its new US single-asset/single-borrower (SASB) CMBS methodology. The agency has placed the ratings of these tranches under review because upgrades or downgrades are likely as a result of applying this new methodology and it plans to resolve them in a timely manner. The deals under review for upgrade are Americold 2010 Trust Series 2010-ART, COMM 2013-300P, COMM 2014-TWC and COMM 2016-SAVA.