Contents

NPLs

Promising prospect

Synthetic UTPs contemplated as IFRS 9 hedge

Synthetic securitisations referencing unlikely-to-pay loans are a more promising prospect than synthetic securitisations of NPLs, given their potential as an IFRS 9 hedge, according to panellists at SCI’s recent NPL securitisation seminar in Milan. However, regulatory challenges and the issue of defining UTPs and credit events remain open questions. 

One regulatory challenge is that, under current regulations, synthetic securitisations of non-performing exposures cannot achieve either accounting derecognition or regulatory capital relief, due to uncertainty over the risk weights for retained tranches. “If you are an originator of NPL securitisations and want to keep exposures in a securitisation, there is an uncertainty about the applicable risk weight on retained tranches. This isn’t an issue for GACS, since there, you only care about accounting derecognition,” said Carlo de Donato, director at Citi’s strategic risk solutions group.

He continued: “Regulatory capital relief is achieved with GACS by placing the junior and mezzanine risk and retaining the senior risk. You only need to care about risk weighting the 5% minimum retention requirement.”

Consequently, from a pillar one perspective, it is challenging to achieve regulatory capital relief for synthetic NPLs because the securitisation regulation has been designed mainly for performing exposures. “However, if you do a cash securitisation and you want to hedge some retained ABS bonds and not the underlying exposures, then that could work within the confines of the current regulations,” de Donato suggested.

Another challenge with synthetic NPLs is defining a credit event for defaulted assets. Market sources have noted in the past that this could be overcome by defining credit events in terms of recovery thresholds. However, this would still leave open the question of what to do with restructuring credit events, since loans would have already been worked out for years, so there no further restructuring is likely.

This is why UTPs may make more appropriate reference assets for synthetic securitisations than non-performing exposures. De Donato explains: “Synthetic UTPs have better prospects because they would be the appropriate exposures for an IFRS 9 hedge and you could conceptualise a credit event as a shift from UTPs to NPLs or ‘sofferenze’. Yet you are still left with the challenges of adapting to the regulatory framework, since UTPs are already classified as defaulted exposures under the CRR.”

Moreover, synthetic UTPs are more complicated, since structurers will also have to contemplate the difficult task of conceptualising a UTP, which require a judgement about the “unlikelihood” of fullfilling 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, borrowers whose critical financial situation could force them into non-performing status.

Biagio Giacalone, head of active credit portfolio steering at Intesa Sanpaolo, concluded: “You have to distinguish between real UTP loans and UTP loans that are close to default. The best exit strategy for real UTPs is to return them to performing status through restructuring. For the bad loans, on the other hand, you have to monetise the collateral. Real UTPs require a deeper and more comprehensive analysis - not only from a legal and real estate point of view, but also a going concern view.”

Stelios Papadopoulos

Capital Relief Trades

Goodwill hunting

Higher recoveries from Interserve insolvency expected

Interserve became the second UK outsourcer to suffer a credit event in a risk transfer transaction, following Carillion's liquidation last year (SCI 27 March). The former company's recoveries are expected to be higher than the latter's, given that it is in administration and owns some profitable subsidiaries. Nevertheless, both insolvencies raise questions as to how capital relief trade market participants assess the credit risk of investment grade firms going forward.

James Parsons, portfolio manager at PAG, notes: "Carillion recovery rates have been close to zero, since the firm had no fixed assets, although Interserve is expected to be higher. Yet investors shouldn't automatically be comfortable with an investment grade status in the case of a disclosed portfolio. These names still need to be followed closely, and both the equities markets and company earnings reports can provide early warning indicators."

Capital relief trades have performed well, thanks to low historical losses. According to Moody's, ultimate recovery rates for corporate loans average 80% over a 30-year period (1987-2017). Average recovery rates for distressed first lien corporate loans -as measured by trading prices - are 67% over a 34-year period (1983-2017). These numbers are in stark contrast to Carillion loans, where recovery rates totalled approximately 1%-2%, according to market sources.

Analysts suggest that the reason lies in broader industry trends. As UK outsourcing firms were often competing for the same projects, profit margins took a hit.

"Once this starts, the only way to boost sales and profits are through debt-fuelled

acquisitions and goodwill then becomes a greater part of the balance sheet. If the goodwill amounts are excluded, the company's liabilities quickly exceed its assets," says Denis Baker, co-founder and director at Company Watch.

Goodwill is an intangible asset that arises when one firm acquires another, representing the difference between the net assets of the acquired firm and the price paid for it. It is supposed to represent an estimate of future earnings.

In the 2010s, Interserve carried out acquisitions that coincided with growing volumes of net debt and goodwill. Support services were the primary driver of goodwill write-downs in 2017 and 2018 and - as with Carillion - the bulk of it resides in UK support services.

However, the catalyst for the firm's downfall was losses from Energy from Waste contracts (EfW). On 15 March, Interserve went into administration in order to keep trading as a going concern.

Interserve's recoveries are expected to be higher than Carillion's for several reasons, but payment priority is crucial. Interserve's lenders had taken guarantees from a large number of the companies in the group, whereas pension funds were only owed contributions by a couple of them.

Interserve also has some profitable businesses. RMDK, in particular, has benefited from high and stable operating profit margins.

Nevertheless, much will depend on the extent of asset impairments. Adam Leaver, accounting professor at Sheffield University, explains: "If you look at the 2018 accounts, the balance sheet of the group deteriorates through significant write-downs, while the parent's balance sheet remains relatively robust. Much of the asset value of the parent rests on the carrying value of the subsidiaries. However, I have tried to reverse engineer the valuation of the subsidiaries reported, but I can't get it to square without including goodwill." 

Goodwill requires an element of discretion, so various possibilities that don't necessarily imply goodwill impairments are conceivable. Consequently, recoveries will hinge more on the future performance of EfW contracts and the confidence of suppliers. However, both are clouded by uncertainty.

EfW, for instance, remains an unproven technology. Equally, supplier confidence issues could trigger termination rights in contracts - although suppliers may not have to worry about payments, given that the UK government has provided public reassurance that they will get paid. 

Finally, the notion that the firm can keep trading as a going concern is questionable.

Bruce Bell, partner at Linklaters, concludes: "If you compare UK administrations to Chapter 11 bankruptcy in the US, the toolkit available to UK administrators is incomplete. In Chapter 11, you have the ipso facto rule that renders termination rights unenforceable. In the UK, you also require shareholder consent and the administrator is also limited in its ability to raise money, since you can't use debtor-in-possession financing."

Stelios Papadopoulos

This is a shortened version of an article that will appear in SCI's quarterly magazine, due to be published at the end of this month and distributed at the Global ABS conference.

ABS

US student loan sector 'in crisis'

Servicers 'unlikely' to handle big rise in distressed loans

The US student loan ABS sector continues to be dominated by deals backed by FFELP loans, while the growing number of private student loan securitisations continue to perform well, providing investors with comfort in the asset class. Despite this, some regard the US$1.5trn student loan sector as being ‘in crisis’, particularly for borrowers and also with regard to servicers that may struggle to handle a large rise in distressed loans.

Philip Stein, partner at Bilzin Sumberg, suggests that the US SLABS sector displays many worrying trends, with one of these being the growth of the private student loans. He says that “private student debt is often extended for enrolment at certain for-profit colleges, which have long been deemed questionable venues for educating students sufficiently to allow them to attract higher-paying jobs, meaning that there is an increased likelihood that the students will not be able to repay their debts.”

Additionally, he suggests that the sector deserves comparison with the subprime mortgage crisis, as it has the potential to cause widespread damage to the US economy. Stein adds that the “key distinction” between US student loans and subprime mortgages should cause additional alarm in that there is no physical collateral to collect on a student loan.

In terms of what he thinks should be done to remedy the situation, Stein suggests that private student loans should be “circumscribed, with meaningful restrictions on interest rates and perhaps a prohibition on extending loans to permit enrollment in for-profit colleges.” He says, however, that no tangible efforts have yet been taken to address the key issues and most worrying trends.

Similarly, another major concern is the ability of servicers, like Navient and Nelnet, to effectively and fairly service student loans, particularly in the event of a downturn. Stein suggests that it is “highly doubtful” that these firms will be able to ramp up their capabilities to handle a large rise in defaults and notes that there are already a number of legislative actions being taken against these firms.

Mike Pierce, policy director and managing counsel at the Student Borrower Protection Center, agrees with Stein and says that the servicers have “a very rigid system whereby they get paid a fixed amount by securitisation trusts for the loans they service which has already been contractually agreed upon.”

He continues: “As such, the difference in their ability to service performing loans compared with those in distress is huge. They won’t necessarily have the money to scale up in the event of a big rise in distressed loans – they can’t just ask investors in the securitisations for more money.”

Pierce equally says that, in terms of what these firms provide investors, they do “by all appearances meet their obligations. The transactions they securitise and the deals they service do, from an investor perspective, perform as expected.”

The story is not the same for borrowers, however, where servicers, “consistently fail to provide a good service to debtors for a number of reasons—and, in doing so, may routinely break a range of federal consumer laws. As a result, a number of legal challenges have been announced and others are likely to arise.”

Despite this, Pierce says that “FFELP loans guaranteed by the government, investors in these securitisations are more or less immune to the default rate on FFELP loans.  Across the student loan market, default rates continue to be incredibly high and actually eclipses the volume of individual defaults on mortgages that triggered the subprime mortgage crisis in 2007/8.”

This sentiment is generally echoed by the investment community in US SLABS. Brian Linde, md at Raymond James, comments: “The vast majority of US student loans currently securitised were made under the FFELP programme, which are guaranteed by the government.”

He continues: “They have about nine years of seasoning and, while the default rate is not necessarily low, the government guarantee means that recoveries are high. Investors are therefore very comfortable with the risk they’re taking on and appetite is still strong.”

Despite this, Pierce says that the student loan situation in the US should still be described as a crisis, but notes that this isn’t “so much like the subprime mortgage crisis, in that there isn’t a risk of widespread economic contagion like in 2007/8 or that there is systemic risk in the industry itself.”

However, Pierce suggests that the parallels with the subprime mortgage are still valid, particularly around the issue of the servicers, which will continue to be faced with ongoing legal action, particularly around violation of consumer rights. Furthermore, he concludes that, for investors, they should ask themselves why the number of distressed student loans has remained elevated since the financial crisis “despite falling across other areas of consumer lending.”

Richard Budden

This is a shortened version of an article that will appear in SCI's quarterly magazine, due to be published at the end of the month and distributed at Global ABS.

CLOs

Heading in the right direction

US CLO market update

The US CLO market is making up some lost ground after a tough start to the year.

“We’re at last heading in the right direction, after five to six months of widening or trading sideways,” says one trader.

“The arb is tough and loan issuance is slow right now, making new issuance tricky, and at the same time reset volumes have slowed significantly,” the trader explains. “Despite this, even though corporates have moved strongly for some time, CLOs didn’t move until the last two weeks when we’ve seen CLO mezz rally and triple-As have stabilised in primary and started to tighten in secondary.”

As a result, the trader says: “There’s a positive feeling for the first time for quite some time, the trade war notwithstanding. It’s still hard to know whether that’s the real thing or just a Twitter thing. If it does last, then the general improvement in tone could, of course, dissipate.”

If not, these technicals should support spreads for a while. Equally, secondary activity is being boosted by practical changes.

“In general, dealers hold less inventory these days. So when demand picks up, they’re back in the market more regularly to re-load,” says the trader.

There are currently six US CLO BWICs circulating for trade today (see SCI’s BWIC calendar).

Mark Pelham

Structured Finance

SCI Start the week - 13 May

A review of securitisation activity over the past seven days

Transaction of the week

Last week saw an unusual Irish CMBS hit the European pipeline, from debut issuer Finance Ireland. Dubbed Pembroke Property Finance, the €228.6m transaction is backed by 139 loans on 244 seasoned small CRE loans located across Ireland and originated by Finance Ireland Credit Solutions.

Finance Ireland is jointly owned by the Ireland Strategic Investment Fund, Pimco and by its management and other third parties. The transaction has received provisional ratings from S&P and Fitch of AAA/A on the €105.8m class A notes, AA+/A- on the €14.5m class B notes, AA/BBB on the €25.6m class Cs, A/BB+ on the €18.9m class Ds, BBB/BB on the €22.3n class Es and BB/B on the €17.8m class F notes.

S&P notes that the loans were originated between April 2016 and February 2019 with loan terms of 1 to 5.6 years, with the largest concentration of properties in the Dublin region where 60% of the portfolio is located. The rating agency adds that the properties have different usage types, with the largest being in the multifamily sector, which accounts for 31% of the portfolio.

Other deal-related news

• The first Italian STS compliant securitisation is being marketed from Agos Ducato. Dubbed, Sunrise 2019-1, the €1.1bn Italian consumer ABS transaction is backed by a 12 month revolving pool of around 137,000 fixed-rate loans, with an average size of €8,000.
• Caixa Montepio Geral is marketing its second ever NPL securitisation, Gaia Finance. The €70m transaction has a gross book value of €234.3m and is backed by a pool of residential and/or commercial properties located across Portugal.
• TPG Sixth Street Partners is marketing a European CMBS, dubbed ERNA. Arranged by Bank of America Merrill Lynch, the €300m transaction is backed by 4 loans on 648 mixed use properties located across Italy.

Data

Pricings

Things have picked up again in Europe with numerous ABS deals having priced across asset classes. There were auto ABS deals in the form of €1.027bn Cars Alliance Auto Loans Germany V 2019-1, €451.83m RevoCar 2019 and a consumer ABS deal in the form of €500m Wizink Master Credit Cards 2019-01, €156m Youni 2019-1. A handful of RMBS also priced: €408m Dutch Property Finance 2019-1, €150m Fucino RMBS, £1.1bn Silverstone Master Issuer 2019-1, £329m Twin Bridges 2019-1.

The US saw another busy week, particularly in auto ABS, with the following pricing: $456.60m DT Auto Owner Trust 2019-2, $1.37bn Fifth Third Auto Trust 2019-1, $350m GLS Auto Receivables Trust 1019-2, $1.216bn GM Financial Automobile Leasing 2019-2 $1.264bn Toyota Auto Receivables Owner 1 2019-B, $828.05m World Omni Auto Lease 2019-B.

There was also a SLABS in the form of $609.67m Navient Student Loan Trust 2019-C, and a consumer deal in the form of $549m Sofi Consumer Loan Programme 2019-2 while, going against the grain, a container deal priced: $375m Seacube Container 2019-1.

RMBS was relatively muted, with only two deals pricing: Freddie Mac STACR Trust 2019-HQA2 and $172.8m Visio 2019-1.

BWIC volume

Upcoming SCI event

Middle Market CLOs, 26 June, New York

Capital Relief Trades

Risk transfer round-up - 16 May

CRT sector developments and deal news

Caixabank has completed a synthetic securitisation of Spanish SMEs with the European Investment Fund. Dubbed Gaudi Synthetic III, the €100m mezzanine guarantee is for an existing loan portfolio and will enable the Spanish lender to mobilise up to €600m of additional financing to Spanish SMEs and mid-caps.

The deal is the first guarantee for a mezzanine tranche of an SME loan securitisation in which the EIB, the EIF and CaixaBank are jointly participating in Spain. The agreement was made possible by the support of the European Fund for Strategic Investments (EFSI). Further EFSI funds will be available to Caixabank in the future for SME financing.  

Caixabank’s last transaction, called Gaudi Synthetic II, was executed in August 2018 (see SCI’s capital relief trades database).

Meanwhile, Credit Suisse’s exercise of an optional redemption for Magnolia Finance V 2015-3 has been confirmed. The deal was de-listed from the Cayman Islands Stock Exchange, following full redemption of the notes earlier this month. The US$75.23m eight-year CLN was completed in 2015 with a scheduled maturity of eight years (SCI 10 May).  

RMBS

Buy-to-let bonanza

Two BTL RMBS debut deals prepped

Two European buy-to-let (BTL) RMBS transactions from non-bank issuers are marketing. One comes from a first-time Dutch issuer and another is an inaugural issuance from a UK lender.

The Dutch transaction from Domivest is dubbed Domi 2019-1 and is a static €267m securitisation backed by 960 loans with an average current balance of €277,643. According to Rabobank’s structured finance analysts, most of the loans are backed by multiple properties with the average being 1.6 houses and average seasoning of 6.8 months and it is a fully static deal.

The transaction is provisionally rated by S&P and Moody’s as AAA/Aaa on the €214m class A notes, AA+/Aa2 on the €13.7m class B notes, AA-/A2 on the €8.7m class Cs, A-/Baa3 on the €5m class Ds, B+/Ba3 on the €5m class Es and CCC/Caa3 on the €11.2m class X notes. The €3.8m class F notes (700bp) are pre-placed but unrated and all the other notes are offered.

Domivest was set up by Cervus Capital Partners and started originating loans in 2017, building up a portfolio of €365m. Rabobank’s analysts add that the deal is not STS compliant, but will seek ECB repo eligibility.

The analysts comment further that while it is a “welcome” deal for the Dutch ABS market, it deserves some caution with the firm being a new, small lender operating in a niche segment of the market. They add that Dutch BTL loan origination is largely unregulated, with little history or data available to develop a comprehensive risk-return profile for the deal.

Another European debut BTL RMBS issuer is marketing, this time in the UK, from Shawbrook Bank. The £308m static transaction, dubbed Shawbrook Mortgage Funding 2019-1, comprises loans secured by mortgages on UK buy-to-let residential properties extended to 1,141 borrowers.

A notable feature of the transaction is the use of the Sterling Overnight Index Average (SONIA) as a reference rate, as opposed to Libor. As such, on each quarterly interest payment date the coupon on the notes is calculated by compounding the daily SONIA rate for the calculation period.

The transaction is provisionally rated by S&P and Moody’s as AAA/Aaa on class A notes, AA/Aa1 on the class Bs, A/A2 on the class C notes, while the class Z notes have not been retained. Only the class A tranche is offered.

Moody’s notes that the transaction is supported by none of the borrowers in the pool having adverse credit history. The rating agency also says that the transaction has a better interest coverage ratio compared with other similar transactions it rates and, on top of this, it has low weighted average LTVs of 67.7%, with no loan having an WA LTV of higher than 80%.

Similar to the Domivest transaction, however, the Shawbrook deal has limited historical data, with performance data going back only to 2011 and a further potential weaknesses, Moody’s notes, is a higher borrower concentration than similar BTL RMBS transactions. Additionally, the majority of borrowers are companies with owners and directors personally guaranteeing the loans – a potential risk if the owners/directors are involved in multiple companies.

Richard Budden

Structured Finance

Senior appointments abound

Company hires and sector developments

Acquisition

Priority Income Fund has completed its acquisition of Stira Alcentra Global Credit Fund (SAGC), after the latter’s shareholders approved the transaction at a special meeting on 6 May. The exchange ratio at which common shares of SAGC were converted to common shares of Priority was based on the applicable class of SAGC shares and Priority’s most recent estimated net asset value per share of US$13.70. Priority is managed by a team of investment professionals from Prospect Capital Management and primarily invests in senior secured loans and CLOs.

CDO manager transfer

Dock Street Capital Management has replaced State Street Global Advisors as investment manager to Diogenes CDO I.  Moody's has determined that the appointment will not at this time impact the ratings of any notes issued by the ABS CDO. (Further CDO manager transfers can be viewed on SCI’s database.)

Joint venture

Barings BDC has entered into a joint venture with South Carolina Retirement Systems Group Trust (SCRS) to create and co-manage Jocassee Partners, which will invest in a highly diversified asset mix, including middle market loans, private debt investments, structured products and real estate debt. Barings BDC and SCRS have committed to initially provide US$50m and US$500m respectively of equity capital to Jocassee. Equity contributions will be called from each member on a pro-rata basis, based on their equity commitments.

Private placement facility

Freddie Mac has introduced a new offering designed to help financial institutions with less than US$10bn in assets access additional liquidity for the financing of affordable housing. The newly created Private Placement PC Swap execution (PPP) facility – a variant of Freddie Mac’s 55-day Multifamily PC Swap – enables a lender to swap a pool of loans backed by affordable properties for Freddie Mac Multifamily PCs backed by the loans, which can then be sold to investors, returning liquidity to the financial institution. IMPACT Community Capital was the first investment manager to benefit from the facility, swapping 77 loans totaling nearly US$141m for Multi PCs. All the properties involved in the transaction received financing through 9% Low-Income Housing Tax Credits and approximately 3,400 of the units financed are affordable to low-income residents, earning 50% or less of area median income.

Securitisation venture between EIB Group and CaixaBank

The EIB and the EIF has provided CaixaBank with a €100m guarantee for an existing loan portfolio, which will enable CaixaBank to mobilise up to €600m of additional financing for Spanish SMEs and mid-caps. This is the first guarantee for a mezzanine tranche of a SME loan securitisation operation, in which the EIB, the EIF and CaixaBank are participating together in Spain. This is in conjunction with a digitalisation project between CaixaBank and the EIB.

Senior global hires announced

AGL Credit Management (AGL), has hired Wynne Comer as coo, effective immediately. In the new role, Comer will manage key functional areas, including leading the roll out of new products, structuring related financings and managing the firm's infrastructure, finance and administrative functions. She will report to Peter Gleysteen, ceo and cio at the firm. Comer was previously md and global head of CLO primary at Bank of America Merrill Lynch, where she led a team across New York and London.

GoldenTree Asset Management has announced that Christopher Hayward has been named partner, president and member of the executive committee. Hayward succeeds Robert Matza who is retiring. He brings over 27 years of experience in the investment management industry to GoldenTree and was previously mp and co-head of JPMorgan Global Alternatives and, within this group, mp and coo of Highbridge Capital Management.

Intermediate Capital Group (ICG) has hired Alan Ross as md, special situations investments. He joins from Cerberus Capital where he worked was svp with a focus on sourcing and executing credit, special situations and distressed debt opportunities for more than a decade. He will report to Zak Summerscale, global head of credit fund management.

Ostrum Asset Management has appointed Brian Yorke as US head of structured and loan credit management, headquartered in New York. His remit will include CLO issuance, managed accounts, fund platforms and related credit solutions for institutional clients. Yorke will report to Ibrahima Kobar, deputy ceo and global cio of Ostrum AM, and was most recently head of trading, head of global performing credit portfolio management and portfolio manager for Bardin Hill Investment Partners. Prior to that, he worked at Seix Advisors and Prudential Investment Management.

Sun Life Investment Management has appointed Elaad Keren as senior md and head of mid markets lending, responsible for sourcing and approving investment opportunities within North America. Reporting to senior md and head of private fixed income Candy Shaw, Keren will lead a team of 18 investment professionals, with an expanded mandate that includes private securitisation. Concurrently, Jeff Mayer will take on a broader role the firm as md, head of private securitisation finance for North America, reporting to Keren. Keren replaces Keith Cressman, who will be retiring effective 1 September, and was previously with CWB Maxium Financial.

Thorofare Capital has hired Denis Barreto as director of credit, bringing over 12 years of institutional experience underwriting commercial real estate investments, including structured finance transactions. He was previously a director of investments at RealtyShares and a vp in the Miami office of Fifteen Group. Barreto has also held positions with Metro 1/Dragon Global, Jamestown Properties and Holliday, Fenoglio & Fowler.

Structured Finance

CMBS sees prompt prepayment

Company hires and sector developments

Auction platform

Mortgage Capital Trading has launched Trade Auction Manager (TAM) to enable more efficient bidding of TBA MBS used by lenders to hedge their open mortgage pipelines. The browser-based software module is accessible via MCTlive!, the company’s capital markets platform. TAM digitises a formerly manual communication process to confirm time-sensitive TBA trades that were once largely phone-based and was developed in collaboration with a number of lender clients and broker-dealers.

CMBS prepayment

The US$503.5m Cloverleaf Cold Storage Trust 2019-CHL2 is believed to have become the first CMBS to pay off a month after making its inaugural bond payment. The single-borrower deal - collateralised by Cloverleaf Cold Storage facilities - had its first interest payment in April and then paid off with the May remittance cycle, according to Trepp. The firm suggests the fact that Cloverleaf was acquired by Americold Logistics in April may be a driver behind the pay-off

Independent investment bank bulks out

EA Markets has hired Fouad Onbargi as md, responsible for expanding EA’s asset finance advisory service and developing new client relationships. He previously built the asset-based banking effort at KGS-Alpha and led securitisation banking teams at JPMorgan and Barclays Capital.

Niche SF firm nabs investment vet

Hildene has hired Jatin Dewanwala as director of investment research. Prior to joining Hildene, Jatin was md at Bay Crest Partners, where he led efforts to modernise the broker dealer’s fixed income business.

Pension firm seeks analysts

PGGM is hiring an analyst and a quant analyst to the credit and ILS team. The analyst position will start with a focus on credit risk sharing transactions and, at a later stage, may expand its focus to ILS investments as well. The quant analyst position will be working on the proprietary models that PGGM is using in managing its €11bn investment portfolio, focussing on both credit risk sharing transactions and ILS investments.

US investor creates UK position

Ellington Management Group has hired Jonas Frantz as md and head of business development, Europe and the Middle East. The newly created position will see him based in London. Frantz joins from JCF Consilium Consulting, which he founded and where he was md and prior to that he was at Paulson & Co where he was md, responsible for investor relations in Europe.

Structured Finance

CLO director nabbed

Company hires and sector developments

Europe

Hermes Investment Management has hired Kevin Roche as a director for private debt and CLOs. Reporting to the head of direct lending, Laura Vaughan, Rochewill be based in London and will work across the private debt platform. He was previously a director at Allied Irish Banks, where he was responsible for delivering leveraged finance loans to mid-market private equity backed companies.

US

Regions Bank has appointed Joel Stephens executive md and head of Regions Capital Markets, succeeding Terry Katon, who has chosen to leave the company. Stephens joined Regions in 2008 and most recently led its real estate capital markets group in Atlanta, which included its CMBS efforts. Katon will work with Stephens through 2H19 to ensure a smooth transition for clients and associates. Before Regions, Stephens worked at Countrywide Commercial Real Estate Finance, Bank Alliance Group and Wachovia.