Contents

NPLs

GACS extended

European Commission approves guarantee extension

The European Commission has approved a second extension of the GACS guarantee scheme for the senior tranches of Italian non-performing loan securitisations. The guarantee is issued at a market price to comply with EU state aid rules, although the European Commission will continue to review the scheme’s compatibility with market conditions. Consequently, further extensions of the scheme remain the most likely option, as opposed to rendering it permanent.

GACS was initially approved in February 2016 and then extended in September 2017. Under the scheme, Italian banks meeting certain conditions can request a state guarantee on senior notes issued by private securitisation vehicles that help them finance the sale of their NPL portfolios. Junior tranches are to be sold to private investors and will not be guaranteed by the state.

According to Massimo Famularo, board member at Frontis NPL: “The guarantee fee that the banks pay to the Italian government is calculated with reference to different CDS baskets consisting of a list of Italian companies [SCI 28 January 2016]. It’s a market-based approach that complies with EU state aid rules.”

He continues: “However, precisely because it is market priced, the Commission will have to periodically assess if changes in market conditions require amendments to the guarantee framework.”

Gregorio Consoli, partner at Chiomenti, adds: “It’s an extraordinary measure for Italy, designed for the specific purpose of offloading NPLs from bank balance sheets. So it won’t be there forever and the Commission needs to review its compliance with state aid rules before any authorisation.”

He continues: “The proportionate nature of the scheme or the fact that it was designed for a specific need and not to generally recapitalise Italian banks can be gauged from the fact that banks cannot make a profit when they sell NPL portfolios. This is because the price needs to be equal or lower than the accounting value of the NPLs. Consequently, the bank ends up with losses (even if reduced), which is not what you would expect under state aid.”

The latest extension is limited to six months - compared to the one-year September 2017 extension - and expires on 7 March 2019. Consoli notes: “The idea was that six months is necessary to allow banks who haven’t done deals to do them, although the extension is a reminder of the temporary nature of the scheme.”

Indeed, the temporary nature of the scheme has been a major driver of NPL securitisation issuance this summer (SCI 28 June). Famularo observes: “The short timeframe could be considered as a direct or indirect incentive for NPL deleveraging. Furthermore, it’s a way for the Commission to assess how the Italian government will manage the trade-off between costly promises and public budget constraints.”

Looking ahead, the scheme could be extended to new asset classes, although any extension of the guarantee to junior tranches seems unlikely. Famularo notes: “I don’t see any extension to the junior tranches because that would mean a complete hedge for distressed assets buyers and, therefore, an unfair advantage for seller banks - which wouldn’t fit with state aid rules. However, for the same reason, there is some likelihood for extending the scheme to secured loans, such as unlikely to pay (UTP) exposures.”

UTPs represent a large portion of Italian bank balance sheets and the price to be paid to access the guarantee should be lower than for NPLs (SCI 29 May). However, Consoli suggests that it’s easier to rate NPLs due to cashflow recoveries.

“UTPs remain partially performing or may even require a restructuring, rather than a recovery approach. This is not necessarily a challenge, since technically you can extend GACS to other asset classes, but the rating agencies will need to assess how you rate a UTP deal,” he says.

According to official data, since its entry into force until June 2018, GACS has been accessed six times by five different banks - removing €33bn (GBV) of NPLs from the Italian banking system, corresponding to over 60% of the total reduction of such assets in Italy during that period. 

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Structured Finance

Increased obligations weighed

ESMA outlines expanded reporting requirements

ESMA last month published final draft technical standards on the new reporting requirements to be implemented under the Securitisation Regulation (SCI 24 August). The standards - released ahead of the 1 January deadline - are set to usher in new levels of due diligence required on the part of the seller, meaning investors will expect more information to be readily available on prospective deals.

David Quirolo, a partner at Cadwalader, says: “It’s been implemented so that investors have information on deals they are investing in and are not solely relying on rating agencies. There are now specific requirements relating to inside information and ‘specified events’ and the due diligence will be on the party responsible for the securitisation of the asset, though it will be more costly to the participants.”

In Quirolo’s view, this will lead to an increased obligation on the part of EU retention holders and SPVs, as well as increasing expectations on the investor’s side with regards to transparency of assets. “There will probably be more data available to investors,” he suggests.

ESMA has defined for each data field whether a no-data option can be used. It is still unclear, however, whether cross-border securitisation deals will also be affected by the new rules or if the new obligations are limited to EU-securitisations only.

“Technically, you could read it so that it applies to everybody, but if the retention holder and SPV are not established within the EU, they probably do not have a legal obligation to comply,” says Quirolo. “However, if you want to sell to European investors, we expect these investors will require similar information for non-EU securitisations.”

According to Integer Advisors, disclosures on resource-consuming data fields - such as the disclosure of LGDs - have been removed to make the templates more useable for both banks and non-banking entities alike. In the firm’s view, the positive effects in the long term include better market transparency and standardisation that improves investor ability to monitor and predict credit performance, although it is careful to point out that transparency is not a cure-all for securitisation performance risks.

Several data templates have been expanded, with extra data fields and the resulting increased information flow potentially leading to additional resource needs on the buy-side. Notably, there will be increases in reporting obligations around CLOs and non-performing loan securitisations. Regarding CLOs, Integer Advisors points to the lack of reporting experience, given that CLOs were not part of the ECB/BoE collateral reporting requirements, and that some of the data fields disclose information on underlying obligors that has not been reported in the past.

For NPLs, the firm suggests that loan-level reporting is likely to be challenging for some portfolio sellers. Additionally, the fact that the NPE data sections also apply for securitisations where the NPE portion has increased above 50% of current pool balance could be potentially challenging for tail periods of ‘normal’ securitisations where the senior notes have largely been redeemed but the clean-up call is not yet exercised.

With regards to RMBS, SME and consumer-related asset classes, no significant changes have been implemented in the new standards.

ESMA has asked the European Commission to implement a 15- to 18-month transition period, which Quirolo and the rest of his team deem necessary to buffer the changes, though the request has yet to be granted by the Commission.

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Structured Finance

Chain reaction

ABS issuers exploring distributed ledger technology

Numerous ABS issuers are exploring how to leverage blockchain technology to execute traditional securitisation structures. Indeed, its adoption could yield immediate benefits for esoteric and new asset classes, which have an illiquidity premium associated with them.

For traditional assets that are not natively digital, distributed ledger (i.e. blockchain) technology can enable a digital representation – or ‘token’ – of these assets to be created. Smart contracts can be written to reflect the rules of the legal agreement and digital tokens can be issued.

These digital asset tokens can then be traded on exchange platforms to enhance liquidity. If the smart contracts mirror the distribution requirements typical in today’s ABS markets, they will be informed by external data points throughout the life of the security.

Ned Myers, head of product at AlphaPoint, says that blockchain technology facilitates transparency – and, by extension, improves liquidity. “AlphaPoint’s aim is to make illiquid assets liquid and ultimately enable issuers to realise a lower cost of capital, as well as unlock the value of illiquid assets for a wider audience of investors.”

For securitisations, execution of transactions using blockchain technology could yield immediate benefits for esoteric and new asset classes, where there is a genuine lack of knowledge about the product. In contrast, the liquidity benefit for traditional asset classes may be a longer-term play, because there is already a deep bid for such bonds.

Due to the complexity of the ABS market, the introduction of blockchain technology is being undertaken incrementally. Global Debt Registry, for one, is involved in recording loan characteristics on the blockchain, with the aim of enabling securitisations to be transacted more efficiently and with greater certainty.

“We’re working with banks on creating protocols: beginning with the collateral pledging stage, then moving onto diligence and then onto servicing characteristics – building each loan block up as we progress,” confirms Charlie Moore, the firm’s president and ceo.

Moore says that as securitisation is a regulated financial enterprise market with a strong need for privacy and access controls, a private blockchain protocol is more appropriate than a public one. He adds that conceptually digital loans would be best suited to native blockchain securitisation.

AlphaPoint has already received numerous enquiries from traditional issuers exploring how to leverage its technology to execute traditional ABS structures, as well as to diversify funding sources – for example, by executing a whole loan sale, rather than an RMBS. “Once on the blockchain, issuers will benefit from enhanced optionality and greater independence in terms of execution,” Myers explains. “By leveraging a software platform to both digitise and trade assets, issuers will be able to come to market – and offer new products – because they’re using an established protocol, customised for their needs.”

Equally, from an operational perspective, blockchain settlement could enable additional cash to be returned to the deal to further enhance the economics of the transaction for both the issuer and the investor. “Our distributed ledger technology can be leveraged as an end-to-end issuance platform, so it’s possible to replicate the entire securitisation ecosystem. The technology ultimately democratises access to the capital markets,” Myers observes.

At the same time, the evolution of blockchain technology is creating question marks around participants’ roles in the securitisation market, including the functions of underwriter and credit platform. Moore says: “Trustees, for example, will still be required, but their skill-sets will need to change. As long as the payment information is recorded on the blockchain, a trustee's administrative responsibilities can be achieved via smart contract, with a level of certainty and efficiency that benefits all parties.”

He notes that the securitisation market’s siloed ecosystem – where many different service providers are involved – creates frictional costs and delays in terms of deal execution. “Consequently, we expect different underwriting models and cheaper, more efficient automation to emerge across the industry. Further, the creation of digital assets and the ability to pool them across different originators will facilitate the development of new credit products,” he suggests.

Loans are already being put directly onto the blockchain – meaning they are native from origination and electronically tradable at the loan level – which has the potential to further disrupt downstream securitisation activities. Moore points to a number of Silicon Valley players with broker-dealer licenses, which could begin disintermediating banks via their digital lending operations.

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Structured Finance

SCI Start the Week - 3 September

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

Pipeline
A small handful of deals remained in the pipeline ahead of the Labor Day holiday in the US. RMBS accounted for the majority of newly-announced securitisations last week.

The RMBS currently in the pipeline are €526.89m Dutch Property Finance 2018-1, US$476.06m Flagstar Mortgage Trust 2018-5 and €1.08bn Storm 2018-II. The other newly-announced deal last week was CNY3.92bn VINZ 2018-3, a Chinese auto ABS.

Pricings
CLO issuance continued apace last week. An auto ABS, a student loan ABS, a CMBS and an RMBS made up the remaining pricings.

Last week’s CLO prints included: €411m Anchorage Capital Europe CLO 2, US$515.65m Buttermilk Park CLO, US$513m Atlas XII, US$510m Dryden 65 CLO, US$519m HPS Loan Management CLO 13-2018, US$509m Neuberger Berman CLO 29, US$462m Voya CLO 2013-3 (refinancing), US$508.6m Wellfleet CLO 2018-2 and US$458m WhiteHorse XII CLO. The ABS pricings were €743m Driver Fifteen and US$495.7m Nelnet Student Loan Trust 2018-4, while the £91m Elizabeth Finance 2018 CMBS and A$297.6m Sapphire XIX Series 2018-2 RMBS rounded out the issuance.

Editor’s pick
Landmark disposal completed: Bank of Cyprus has agreed to sell a landmark €2.7bn (GBV) real estate portfolio to Apollo dubbed Project Helix. The large size of the deal demonstrates the Cypriot market’s ability to attract large private equity funds and is expected to spur further non-performing loan transactions…

Capital Relief Trades

SME SRT completed

Intesa taps Italian government guarantee fund

Intesa Sanpaolo has completed a guarantee agreement with Fondo Centrale di Garanzia, the Italian government guarantee fund, to spur economic growth via lending to Italian SMEs. This is the fund’s first synthetic securitisation that includes mid-cap firms (with up to 499 employees), which were previously excluded from its portfolio policies.

Under the agreement, Intesa Sanpaolo will ramp up five portfolios totalling €1.5bn (€300m each), backed by the fund’s public guarantee. The public guarantee comes at no cost to SMEs, which will receive credit at advantageous terms; one portfolio will be fully available for southern Italian SMEs.

Each loan portfolio is divided into two tranches: a junior and a senior tranche. Intesa, as originator, holds a net economic interest in the junior tranche equal to 20% of the notional amount and equal to 100% for the senior tranche.

The deal features an 8.50% junior tranche thickness and a weighted average life equal to two years. Amortisation is sequential and the deal matures in December 2025. The transaction does not include any call options, credit enhancement or replenishment period.

All five portfolios will be ramped up by 30 November 2019. This marks Intesa Sanpaolo’s second synthetic SME securitisation with a government-backed institution within the last 12 months, following an EIF transaction under the SME Initiative Italy (SCI 30 January).

The bank is also a frequent issuer of SME significant risk transfer trades through its GARC programme, having completed six deals since the inaugural GARC transaction in January 2014 (see SCI’s capital relief trades database). However, since late 2017, it has attempted to broaden its counterparty base. The latest two deals are part of a broader credit portfolio management programme led by the active credit portfolio steering department.

As of end-June 2018, Intesa Sanpaolo’s CET1 ratio stands at 12.8%, compared with 13.3% at end-December 2017. The majority of risk-weighted assets derive from the bank’s Banca dei Territori, which is responsible for retail, personal and SME customers.

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Capital Relief Trades

Risk transfer round-up - 7 September

CRT sector developments and deal news

Caixabank is rumoured to be prepping an SME significant risk transfer transaction for 4Q18. This would follow a bilateral SME trade that the issuer is believed to have completed in July.

The Spanish bank’s last confirmed transaction was Gaudi Synthetic 2015-1. The deal - inked in February 2016 - was a €121.5m CLN referencing a €2bn Spanish SME portfolio that matures in March 2024 (see SCI’s capital relief trades database).

Insurance-linked securities

ILS acquisition prepped

Deal will make Markel largest sector fund manager

Markel Corporation is set to acquire Nephila Holdings in a transaction that will establish Markel as the largest manager of funds in the ILS sector. Following the acquisition, the combined AUM between Nephila and Markel will stand at approximately US$19bn, representing 20% of the ILS market.

The two firms entered into a definitive agreement for Markel to acquire all of the outstanding shares of Nephila, although Nephila will continue to operate as a separate business unit. The management team, led by co-ceos Greg Hagood and Frank Majors, will remain in place.

Nephila, whose revenue is driven primarily through management and incentive fees, manages over US$12bn of assets for over 300 investors. Subject to approvals by relevant regulators, the transaction is expected to close in 4Q18.

Regarding the background to the transaction, Barney Schauble, managing partner at Nephila Advisors, says that the firm had sold 25% of Nephila Holdings to Man Group in 2008. In 2013, Nephila then sold a 25% share to KKR, including 25% of Man Group’s stock.

Schauble explains: “Man Group has changed a lot over the past 10 years and they had expressed an interest in cleaning up their balance sheet. They said they would be happy to exit.” 

He continues: “If we were going to sell any of Man’s and/or our equity to another partner we felt it was important to choose a company that provides us with tools that help us create even better products for investors but still lets us have our independence and culture.”

In terms of the development of new insurance products, Schauble says that these could emerge from the weather sector. These may specifically come from wind and hydro energy and he expects to see a focus too on the expansion of these technologies.

He says further that the acquisition will have a number of benefits for the firm: “We can now produce better quality for investors and Markel can help us do the same things we have envisioned in our ongoing strategy but do them more swiftly.”

He continues: “Now, if we want to expand into offering a new range of products, we would have greater financial backing to do that. We had 20 successful years as an independent company, but this is a powerful step forward for us.”

According to Schauble, the biggest upcoming impact on the market will be a blurring of the lines between traditional insurance and the ILS insurance market in a way, he says, that hasn’t been seen before. He adds that there is no meaningful distinction between a traditional market and an alternative market but that ultimately there is just “a risk market.”

Schauble adds: “The real opportunity for all risk market participants – buyers and sellers – is about shortening the chain between risk and capital. This is going to be a big part - not just of ILS - but of the insurance market in general.”

Opportunities for ILS are also presented by financial technology. Schauble concludes: “We’ve seen such big advances in fintech and the improvement which can be made through technology.  We should be able to have the same ease of use which we see in places like Angelist or PeerStreet in the financial markets.”

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Insurance-linked securities

Finding the efficient frontier

Dominik Hagedorn, co-founder at Tangency Capital, answers SCI's questions

Q: How and when did Tangency Capital become involved in the ILS market?
A: Tangency Capital was launched in the autumn of 2017 by Michael Jedraszak, Kai Morgenstern and me, with the aim of offering institutional investors access to natural catastrophe risk akin to how reinsurers access the market and beyond what traditional ILS funds offer. Following an initial set-up and capital raise, we launched our commingled fund in May 2018, with US$50m of invested capital.

The three co-founders have 50-plus years of experience in the industry, each with a different background and prior experience: Kai, a geophysicist and former portfolio manager at Bermuda reinsurance firm ReinaissanceRe; Mike, a seasoned underwriter and former cio of Hiscox’s ILS platform Kiskadee Investment Managers; and myself, a former investment banking professional, with a focus on the insurance industry. We all bring together different qualities required to run a successful ILS platform.

The name of our firm is derived from the ‘tangency point’ on the efficient frontier, which is the most efficient point of the risk-return spectrum. Our firm is called Tangency Capital to convey the idea that by diversifying and investing in a non-correlated asset class, such as ILS, investors can improve the efficiency in their portfolio.

Q: What are your key areas of focus today?
A: Our fund is focused on partnering with reinsurance firms via non-life quota share arrangements. Quota shares allow us to take pro-rata shares of reinsurance companies’ natural catastrophe business, thus earning premiums and paying claims in the same way our reinsurance partner companies do.

By taking a minority stake in such portfolios, the interests of our investors are aligned with those of the reinsurers. Such agreements allow reinsurers to achieve capital relief for those parts of their business that are passed on to us.

Unlike traditional debt and equity, transactions can be re-sized annually in an easy manner to reflect current capital needs. Reinsurers are increasingly using quota shares to manage their capital, as evidenced by new programmes coming to the market and existing programmes continuously expanding.

Our clients are institutional investors, such as pension funds, insurance companies and asset managers.

Q: How do you differentiate yourself from your competitors?
A: Currently, we are the only institutional investor-focused ILS manager that invests predominantly in quota shares. It’s less common for an ILS fund to focus on the quota share segment, as reinsurance companies often view ILS funds as competitors and are therefore reluctant to share details on their portfolio with such funds. We do not compete with reinsurers and are therefore seen as a true partner.

The fee structures of traditional ILS funds are also hard to reconcile with the expenses of accessing the quota share market.

Additionally, unless they enter into fronting arrangements, ILS funds collateralise every dollar of exposure because there is no rated entity as counterparty – which eliminates the potential for leverage. In contrast, reinsurers hold capital based on economic reserves for certain exposures – which means they need to hold less capital than the exposure they underwrite, thereby creating a leverage effect. This benefit is passed on to quota share investors.

Quota shares appeal to investors because they trust in the idea that it’s right to partner with the entities that have been successful in this business for decades in a market that isn’t that easy to access and - unlike most traditional ILS funds - are regulated, rated and listed entities, with extensive oversight and independent research available.

Q: Which challenges/opportunities does the current environment bring to your business and how do you intend to manage them?
A: Essentially, our role is to diligence investment opportunities on behalf of our investors and establish a portfolio of quota shares that broadly reflects the real reinsurance market. At Deutsche Bank, I helped reinsurance companies identify investors for quota share arrangements and I found that while investors liked the partnership concept, they were often held back by the need to ensure that a particular quota share investment was the right fit for them. By creating a portfolio of quota shares, ensuring alignment of interest and acting as independent fiduciary, we alleviate those concerns.

The expectation is that we’ll grow the fund to a more meaningful size over time. We’re currently invested in a small handful of quota shares; the aim is to diversify, but grow with the companies we like most.

For the moment, we’ll concentrate on building out the quota share strategy, although we may set up some separately managed accounts. We want to keep it simple as a story.

Q: What major developments do you expect from the market in the future?
A: I expect reinsurers to increasingly use quota shares and sidecars for risk and capital management purposes. We are already seeing more and more companies setting up programmes or expanding existing ones. 

The reinsurance market saw some losses in 2017, following a more active hurricane season than in prior years. This allowed investors to review their allocation in the ILS space and confirm whether the investments, as advertised by ILS funds, performed in line with expectations and competitors. As a result of that, we may see some re-allocations in the sector.

The traditional ILS space covering cat bonds and collateralised reinsurance feels a little overcrowded, with margins continuously shrinking. End investors may therefore look for alternatives within the ILS space.

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Structured Finance

Market moves - 7 September

New hires and company developments in the structured finance industry

CRT expert wanted

Banca IMI is hiring a senior risk transfer solutions structure for its Milan office. The bank wants a candidate with experience in capital markets and investment banking with a top tier Italian or European investment bank, consultancy firm, rating agency, fund or asset manager and ideally with experience of origination activities and analysis experience of tier one Italian banks and execution of securitisation and loan portfolio disposal and financing transactions. Additional the candidate requires experience in securitisation, regulatory capital transactions, deleverage of illiquid and non-performing assets and collateralised financing.

Europe

CVC Credit Partners has hired Natalia Nowak as md in the European private debt team, focusing on opportunities in Germany, Austria, Switzerland and other European investments, reporting to Neale Broadhead, md and portfolio manager. Nowak was previously an md in the private debt and special situations fund at ESO Capital.

Exchange listing

Intertrust, Jersey has broadened its capital markets capability by becoming a Category 1 member of the International Stock Exchange (TISE). The service will be provided by the Jersey capital markets team through the newly incorporated company, Intertrust Securities (Jersey) Limited. The listing service will be offered across Intertrust’s global network of 40 offices, strengthening connections and relationships with its worldwide clients and introducers. The majority of listings on TISE are for specialist debt securities including high yield bonds and Eurobonds and this will be Intertrust’s focus.

Interest shortfalls triggered

S&P has lowered to single-D from double-C its credit rating on the class B notes of the GC Pastor Hipotecario 5 RMBS, after the level of cumulative defaults over the original portfolio balance increased to 10.14% at the June IPD from 9.96% at the March IPD. As such, the class B notes breached their 10% interest deferral trigger and interest remains unpaid. Interest shortfalls are expected to last for more than 12 months.

ILS

Lockton has launched Lockton Capital Markets in partnership with private equity firm Antarctica Capital. The operation, based in New York, will facilitate convergence between insurance and alternative capital via investment banking, as well as in capital market transactions. The ceo of Lockton Capital Markets will be Vishal Jhaveri, the former head of insurance and pension solutions for the Americas at Citi. Michael Calabrese, the founder and current chairman of Lockton’s Northeast operations, will also serve as chairman of Lockton Capital Markets.

Marketplace lending

Funding Circle is considering an IPO on the London Stock Exchange. The offer would be comprised of new shares to be issued by the company to raise gross proceeds of approximately £300m and an offer of existing shares to be sold by certain existing shareholders, directors and employees. On 2 July 2018, Heartland agreed as part of the offer to purchase 10% of the issued ordinary share capital of Funding Circle, following the issue of the new shares pursuant to the offer, at a range of valuations. The purchase is conditional upon admission and certain other conditions being satisfied and the commitment falls away if the equity valuation of the company prior to the issue of new shares pursuant to the offer exceeds £1.65bn. Funding Circle would intend to use the primary proceeds of the offer to enhance its balance sheet position.

Multifamily CIRT inked

Fannie Mae has completed its first Credit Insurance Risk Transfer (CIRT) transaction of 2018 covering existing multifamily loans in its portfolio. Dubbed CIRT 2018-M01, the deal references a circa US$11.1bn pool, consisting of 1,106 loans secured by 1,111 multifamily properties acquired by Fannie Mae from October 2017 through January 2018. The transaction transferred US$166m of risk to seven reinsurers and insurers, representing the largest amount of credit risk the GSE has transferred in a single multifamily CIRT deal. Fannie Mae expects multifamily CIRT transactions to become a programmatic offering going forward.

North America

Citigroup has set up a new fintech division combining credit markets, municipal securities and securitised-market operations. Dubbed Spread Products Investment Technologies (SPRINT), the initiative will be led by Matt Zhang, who has spent 11 years with Citigroup and was appointed global co-head of structured credit and securitised trading earlier this year. Working in the Zhang’s team from New York will be Bobbie Theivakumaran, overseeing agency, loans and financing,  Peter Chalif and Bis Chatterjee, working in automated market making and e-trading, and Vitaliy Kozak who will head structured credit and securitised trading within the group. Silas Findley will lead in global flow credit trading from London. The new unit will be on the lookout for technology upstarts with the potential to reshape debt markets, acquiring them early or forming strategic partnership deals to maximise on technology such as trading infrastructure, artificial intelligence and machine learning. Smart lending, real estate innovation and digital securitisation will also be a focus and Citigroup plans to invite more colleagues to join the initiative in the future.

TwentyFour Asset Management has hired David Norris as head of US credit, starting on 18 September, to lead the expansion of the firm’s new US-based division. He will also be a member of the firm's multi-sector bond team managing the strategic income and dynamic bond funds. Norris was previously director of high yield credit trading at Crédit Agricole, and spent five years in a similar role as executive director at BNP Paribas. The firm is expected to make as many as six further hires in the US next year in varying roles. The firm has also made three hires in London including Pauline Quinn, who is joining the ABS team from Twenty First Capital where she was a junior portfolio manager.

NPL deal rated

Scope has assigned final ratings to the €349m (by gross book value) Ibla Italian NPL ABS of triple-B on the €85m class A notes and single-B on the €9m class Bs. The €3.5m class Js are unrated. The transaction is a static cash securitisation of an Italian NPL portfolio comprised of secured, 67.2%, and unsecured, 32.8%, loans. The loans were extended to companies, 74.4%, and individuals, 25.6%, and were originated by Banca Agricola Popolare di Ragusa. The secured loans are backed by residential and non-residential properties (57.8% and 42.2% of property value, respectively). Almost all properties are located on the island of Sicily. The issuer acquired the portfolio on the transfer date, 9 August 2018, but is entitled to all portfolio collections received since 31 December 2017 (portfolio cut-off date).