Contents

Structured Finance

Diversification offered

European ABS market update

The European ABS pipeline is swelling in the run-up to March. Newly announced deals are providing sought-after diversification, not only in terms of assets but also jurisdictions.

Notably, Domivest is in the market with its second Dutch buy-to-let RMBS. Dubbed Domi 2020-1, the transaction is backed by a provisional €340m pool consisting of 1,288  mainly interest-only mortgage loans to professional landlords.

One portfolio manager says: “It is quite possible that we will see more BTL RMBS issuance, as it is a growing sector in the Netherlands. Domivest is growing and there are some other names in the market. At one point, it will have its limits.”

Domivest debuted its Domi programme in May 2019 (SCI 15 May 2019). Expectations for the new deal are similar to the first deal.

“I assume it would sort of price the same as the previous time, with pricing in the 70s for the seniors. The timing is not perfect,” the portfolio manager notes.

Pricing is due next week.

LendInvest has also announced a UK BTL RMBS, dubbed Mortimer BTL 2020-1. The £285m pool mainly comprises loans to professional landlords and 8.7% concerns new build properties.

Elsewhere, Credit Agricole is out with a rare French RMBS. The €2.04bn Habitat 2020 is its fifth deal to securitise loans from the 39 regional banks of the Credit Agricole group, but only the third to be offered to investors. The revolving pool comprises 15,783 seasoned loans, with relatively high LTVs.

Meanwhile, the Taurus 2020-1 NL CMBS is due to price today. Guidance for the senior notes is three-month Libor plus 80bp-90bp, with the books 1.3x covered. Guidance for the class B notes is set at plus 130bp, at the wide end of IPTs, while guidance was tightened for the class C and D notes and widened for the class Es.

Finally, two auto ABS priced this week. Vauxhall’s E-CARAT 11 £361m triple-A rated class A notes printed at Sonia plus 58bp (IPTs were high-50s), the £35m double-A rated class B notes printed at plus 120bp (125bp area), the £25m single-A rated class C notes printed at plus 155bp (150bp-160bp), the £20m triple-B rated class D notes printed at plus 185bp (180bp-190bp), the £16m double-B rated class E notes printed at plus 280bp (280bp-290bp) and the £8.8m single-B rated class F notes printed at plus 380bp (between high-300s and 400bp).

Demand was also strong for VW’s €1bn VCL 30. The €941m class A notes priced at one-month Euribor plus 16bp and were 1.7x oversubscribed. The €19m class B notes priced at plus 70bp and were 1.9x oversubscribed.

Jasleen Mann

CLOs

Strong liquidity

European CLO market update

Liquidity continues to be strong in the European primary CLO market, with three deals pricing last week. Notably, the Carlyle Euro 2020-1 deal was upsized to €460m from €409.8m.

"The market has been stronger over the last few weeks. There has been robust demand and managers have been able to get the liabilities away cheaply," confirms one portfolio manager.

St Paul's CLO XII and Voya Euro III priced last week, alongside the Carlyle Euro 2020-1 deal. The triple-A rated tranches of all three transactions printed at a tight three-month Euribor plus 92bp.

Spreads have generically remained flat this month, as demonstrated by the Man GLG Euro CLO, whose senior notes printed at plus 90bp at the beginning of February.

Further down the capital structure, primary spreads for last week's pricings were in the regions of 150bp-165bp at the double-A level, 200bp-210bp at the single-A level, 315bp-330bp at the triple-B level and 580bp-585bp at the double-B level.

Meanwhile, the visible pipeline includes CIFC 2 and Dryden 72, which are expected to price this month. Their prints would bring issuance so far for 2020 to €4.7bn, the largest volume for the first two months of any year for the European CLO 2.0 market, according to BofA figures.

Looking ahead, Halcyon 2017-1 is exploring a refinancing, while Cairn CLO V, Arbour CLO, Harvest CLO X and Newhaven CLO have already issued cleansing notices. "I cannot think of a reason why this supply would not be absorbed - unless there was a major market correction," the portfolio manager concludes.

Jasleen Mann

Structured Finance

Social factors

Positive ESG scores for post-crisis vintages

ESG relevance scores (ESG.RS) are more likely to be negative for seasoned securitisations, according to Fitch. The most recent issuance vintages demonstrate a balance of positive and negative ESG factors.

Weak transaction structures prior to the crisis are identified as a factor contributing to the negative ESG.RS found in those vintages. In addition, Fitch says: “Some governance issues - especially related to operational and counterparty risk - only become evident following a turn in the credit cycle, whereas others are more visible at issuance.”

The impact of ESG factors differs depending on asset class. The ratings of 9% of all post-crisis ABS, CMBS and RMBS transactions are considered to be negatively affected by ESG factors in Fitch’s sample. This figure is lower than the 22% which was associated with pre-crisis transactions.

Post-crisis transactions are less likely to be assigned an elevated ESG.RS of ‘4’ or ‘5’. For example, from data recorded in October 2019, it appears that only 2.5% of 1,094 ABS were rated ‘4’ or ‘5’.

Social factors have a higher impact than governance and a much higher impact than environmental factors.

Research by Fitch shows that ESG scores for post-crisis vintages are more positive. The year 2010 is identified as the year when positive ESG scores were recorded.

Jasleen Mann

Structured Finance

SCI Start the Week - 24 February

A review of securitisation activity over the past seven days

REMINDER: SCI NPL Securitisation Awards 2020
Nominations are now open for the inaugural SCI NPL Securitisation Awards with a deadline of 20 March.
Further information and details of how to pitch can be found here.

Transaction of the week
Samas Asset Management (SAM) has launched its debut fund, a closed-end vehicle dubbed SAMAS FUNDING PACE FUND LLLP Series 2020. The Samas entities are now the ''largest standalone commercial PACE origination platform in the US''.
The PACE bonds in this fund represent a diversified portfolio associated with small- and medium-sized commercial properties. See SCI 20 February for more.

Stories of the week
Auction house
Online AMR, BWIC matching services debut
Distressed debt unit formed
Oaktree establishes Chinese subsidiary
Manager discretion
Direct lending securitisations on the rise
Moving down
Insurers target first-loss CRTs
Refinancing strategy
VW master trusts augment auto ABS volumes
SME double
EIF closes pair of EFSI guarantees

Other deal-related news

• Fitch RMBS analysts have identified flaws in the CFPB's proposal to replace DTI with a pricing threshold - such as a spread over the average prime offered rate (APOR) - for defining a qualified mortgage (QM), in response to lender criticism of DTI (SCI 17 February).
• LendingClub is set to acquire Radius Bancorp and its wholly owned online subsidiary Radius Bank in a cash and stock transaction valued at US$185m (SCI 19 February).
• A US District Court judge last week ruled in favour of the planned merger between T-Mobile US and Sprint Corporation. Moody's says the move is credit positive for Sprint's spectrum ABS as the merged entity's credit profile would be stronger than Sprint's as a stand-alone company (SCI 19 February).
• dv01 has partnered with HouseCanary to leverage the HouseCanary Home Price Index (HPI) and provide investors with a more detailed analysis of the non-QM and credit risk transfer datasets on the dv01 platform (SCI 20 February).
• AXA Investment Managers has completed its eighth partner capital solutions fund. With the move, the firm is seeking to capitalise on diversification opportunities and volume growth in the risk transfer market (SCI 21 February).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
20 February 2020
USD CLO
3 reported covers today, all BBB rated. At the long end, a recently priced East West BSL CLO (pre-trustee reporting) EWIM 2019-1A D covers 468dm / 10y WAL with a 2025 RP end, we have seen one other comp recently which is BABSN 2019-4A D (Barings) around 2 weeks ago at 402dm with a slightly shorter WAL 9.1y so today's trade looks largely in line.
Furthermore there were 2 x 2020 RP profile BBBs today that trade 305dm-320dm / 5.3y WAL, with recent comps towards the tight end of this range - at the wide end of the range today is KVK 2018-1A D (Kramer Van Kirk) at 320dm with weaker MV metrics (than the WELF 2016-1A DR at the tight end) with MVOC 108.7 v 110.4 and a high ADR 1.38% but otherwise performance metrics look good. The manager Kramer Van Kirk is also inexperienced with only 3 deals under management and prevailing performance metrics lagging its peers in key areas.
EUR CLO
Looking at AAAs TIKEH 2X AR traded at 100.15. It has a margin of 88bps, only slightly back of the recent print from the Carlyle deal at 92bps however it is quite short having a RP End Date of Dec 2020. It traded at 125dm|mat or 102dm|call. OHECP 2017-6X A1E has a margin of 73bps and traded strongly at 100.16 / 109dm|mat / 9dm|call.
For AAs the below par margin bonds have traded 175dm|mat and the above par margin bond HAYEM 3A B1 (Hayfin) at 202dm|mat.
For BBs, which are all below par margin, the general trading range is 530dm|mat to 570dm|mat but there is one bond that has traded a lot wider. PENTA 2017-3X E (Partners Group) which has a 490bps margin traded at 628dm|mat.
CORDA 3X SUB traded at 59.89 / 15.34%. NAV is 54.50. It does have lower than average MVAP (-4.8%) and MVDP (6.2%). The AAA pays a margin of 78bps.
BLUME 2016-1X SUB traded at 76.76 / 13.65%. Its NAV is 66. AAA margin is 79bps. Both deals are very clean.
SCI proprietary data points on NAV, CPR, Attachment point, Detachment point & Comments are all available via trial, go to APPS SCI + GO on Bloomberg, or contact us for a trial direct via SCI.

Structured Finance

Rare CMBS prepped

BofA brings 'one-off' Dutch transaction

BofA is in the market with a Dutch CMBS, dubbed Taurus 2020-1 NL. The €620.6m deal is the first from the programme to be backed solely by Dutch assets.

Rated by KBRA, the transaction comprises €324.7m triple-A rated class A notes, €98.8m double-A minus rated class B notes, €65.9m single-A minus rated class C notes, €65.9m triple-B minus rated class D notes and €65.3m double-B rated class E notes. These tranche sizes are considered to be relatively rare for euro-denominated CMBS.

There is also a €200,000 unrated class X note and a €32.5m issuer loan, which represents the retained eligible vertical interest in the deal.

The transaction is backed by a single floating rate loan, which has an LTV of 65.9% and an initial two-year term with three one-year extension options.According to KBRA, the loan is secured by Blackstone’s (the borrower) freehold (76 properties) and leasehold (29) interests in 105 office (73), industrial (29), car park (two) and leased hotel (one) assets.

The properties are all located in the Netherlands, with the top five locations being in Amsterdam (36.7% of loan balance), Utrecht (22.2%), Schiphol Area (11.2%), Rotterdam (10%) and The Hague (8.9%). The properties are leased to approximately 700 tenants, with the top three tenants accounting for 4.5%, 3.5% and 2.9% of the pool’s total 687,155 square metres.

“Generally, it is quite concentrated in the Randstad, in areas like Amsterdam,” says one portfolio manager.

The pool represents the Dutch component of a Dutch/German portfolio (the Dream Global REIT) that the borrower acquired in December 2019 for a total purchase price of US$6.2bn, according to KBRA.

The portfolio manager notes: “There is a fixed release price for asset sales, which is protecting investors from deteriorating asset quality. Another notable aspect is the management team working to get a high energy label, resulting in 90% of the portfolio with A to C labels.”

During the loan term, the borrower plans to invest approximately €90m in tenant improvements and enhance certain properties to increase occupancy. There is a €67m capex facility, with the remainder expected to be contributed by the borrower.

Site visits are scheduled to take place tomorrow (25 February). The portfolio manager suggests that it is possible that this type of transaction may remain a “one-off” for a while.

Meanwhile, elsewhere in the Dutch market, there is talk of another couple of deals entering the pipeline over the next few weeks - including a buy-to-let RMBS. A Dutch auto ABS is also expected, with the portfolio manager concluding that it will be “interesting to see whether the amount of electrical vehicles included in the pool increases versus previous deals.”

Jasleen Mann

Capital Relief Trades

Risk transfer round-up - 28 February

CRT sector developments and deal news

Banca Monte dei Paschi di Siena is rumoured to be readying an SME SRT for next month, with the counterparty allegedly already selected. The transaction would be the bank’s first synthetic securitisation and it was reportedly scheduled initially for 4Q19.

Capital Relief Trades

UK SRT debuts

Opel prepping full-stack auto ABS

BNP Paribas is marketing Opel’s second full-stack auto ABS from the E-CARAT programme. Dubbed E-CARAT 11, the capital relief trade is the issuer’s first to reference UK auto loans.

Boudewijn Dierick, head of ABS markets at BNP Paribas, notes: “The residual value is the novelty and main challenge here, as different investors take different views on UK RV exposure. It was also heavily penalised by rating agencies, which resulted in a tranche thickness for class H of 5%; much thicker compared to continental full cap-stack auto deals without residual value risk.”

S&P and DBRS are rating the deal and the notes will amortise pro rata until either a performance trigger is breached or the portfolio has amortised to the clean-up call level (10% of its initial size). It will then amortise sequentially until redemption.

The deal revolves for one year and features a loss-based PDL. The latter records gross defaults less recoveries received during a month and is divided into eight sub-ledgers from class A to class H.

Principal proceeds can be used for curing interest shortfalls for classes A to G, subject to certain conditions. A liquidity reserve will be funded at closing, with the proceeds of a subordinated loan. The reserve fund will provide liquidity support to the class A, B, C and D notes.

According to S&P, residual value risk is particularly pertinent for the PCP loans (personal contract purchase agreements) in the deal, which can comprise up to 73% of the pool and have an optional final balloon instalment. These final instalments are capped at 40% of the pool balance.

If borrowers choose to return their financed vehicles in lieu of making the final balloon payments at contract maturity, the transaction would be exposed to residual value risk if the sale proceeds of the returned vehicles are lower than the balloon amount. As a mitigating factor, S&P has accounted for potential RV losses.

Nevertheless, the rating agency qualifies that the deal features a number of strengths, such as the granularity of the portfolio - with the top 20 obligors accounting for less than 0.20% of the outstanding balance. Furthermore, the portfolio does not contain any contracts that are overdue for more than 30 days or in default as of the cut-off date and classes A, B, C and D benefit from an amortising liquidity reserve.

As with previous full-stack ABS deals that BNP Paribas has arranged, excess spread is in ‘use it or lose it’ form, with any income not used to cover losses returned to the originator as a deferred purchase price mechanism. Opel’s last E-CARAT transaction was finalised in September 2019 amid a wave of full stack SRTs (SCI 2 October 2019).

The preliminary portfolio mainly comprises loans on petrol-fuelled (accounting for 85% of the pool) and new vehicles (73.5%) granted to private individuals (99.5%). Loans on new vehicles are further divided into so-called supported (prime with a preferential interest rate, at 42.3%) and unsupported (57.7%). PCP loans (70.5%) are primarily granted to finance new vehicles.

The portfolio is exposed to the South-East, including London (22.4%), Scotland (17.3%) and the North West (12.2%).

Stelios Papadopoulos

CLOs

VAT switch

European CLO managers hit with backdated bill

Dutch tax authorities have changed their interpretation of VAT law in connection with CLO management fees, impacting an estimated 30% of European CLO SPVs. Dutch lawyers disagree with the change and are appealing the decision, but it remains unclear how long the appeal process will take and whether CLO managers will have to pay the bill in the meantime.

Directors of CLO SPVs domiciled in the Netherlands last week received a letter from the Dutch authorities stating that VAT is owed backdated from 1 April 2019, and going forward. The amount owed is 21% on management fees paid.

The typical management fee is 50bp, which represents a “dramatic hit from an equity return perspective”, according to Cameron Saylor, partner in Paul Hastings’ structured credit practice. “Management fees are described in CLO documentation as exclusive of VAT; if VAT is charged, there is less cash in the waterfall. However, the move shouldn’t impact the rated notes,” he suggests.

About 70% of European CLOs are Irish vehicles, as many managers switched domiciles to Ireland after the Brexit referendum. While some managers have a couple of outstanding Dutch SPVs, but mainly Irish SPVs, a number of larger managers – including Alcentra, Ares and PGIM – have continued to use Dutch SPVs and so have a significant number of deals each that are impacted by the change in VAT treatment. 

“New CLOs will likely be domiciled in Ireland going forward, but we’re trying to figure out whether existing ones can be moved there too,” Saylor notes. “We believe there is a good chance of using the substitution clause in documentation – whereby issuers can be substituted, if required for tax purposes – and it doesn’t typically require the consent of noteholders. But it is unclear how much the process will cost and how long it will take - and it doesn’t cure the back bill.”

He says the industry is still trying to clarify how long managers have to pay the bill and whether the liability increases the longer it is outstanding. “It is clear that managers don’t want the liability to continue, but CLO deals don’t typically have the cash available to pay such a bill all in one go. We anticipate that the Dutch authorities will likely be understanding about managers staging the payments, as they wouldn’t want the deals to become insolvent.”

Corinne Smith

NPLs

Project Cairo prepped

Eurobank applies for HAPS guarantee

Eurobank has applied to the Greek government for a senior tranche guarantee under the Hercules Asset Protection Scheme (HAPS). The guarantee is sized at €1.65bn and concerns two non-performing loan securitisations dubbed Cairo One and Two. Further applications are expected following a series of announcements of pending HAPS NPL ABS deals by Greek systemic banks (SCI 4 February).

Eurobank announced the Cairo transactions last year, when it launched a previous NPL ABS called Pillar. The latter was the first Greek NPL ABS to receive a public rating as the market was waiting for European Commission approval of the HAPS scheme (SCI 31 May 2019). The Commission approved the scheme in October last year (SCI 11 October 2019).

Project Cairo consists of a €7.5bn portfolio and will feature three securitisations of different sizes and different types of loan claims. Eurobank noted in an investor presentation last year that 50% of mezzanine notes will be sold to shareholders, while the other half will be sold to investors. Both Project Pillar and Cairo enable shareholders to benefit from an upside.

However, the Cairo securitisation features a more complicated structure that protects shareholders from dilutions. Under normal circumstances, shareholders would have to suffer a dilution in their shares, given the recognition of losses that follow NPL disposals. However, the Cairo securitisation structure escapes the clause that triggers such dilutions by hiving of assets to an SPV, while raising capital and recognising losses at the holding level.

Eurobank aims to reduce its NPE ratio to 15% in the first quarter of this year. Looking forward, the lender concludes that it will submit another application for a guarantee on a third Cairo NPL securitisation in the coming weeks.

Stelios Papadopoulos

RMBS

MRT evolution

US Mortgage Risk Transfer report now available

Pioneered by Fannie Mae and Freddie Mac the US mortgage risk transfer (MRT) market is growing strongly and is now attracting the interest of potential new participants. Both the sell- and buy-side are hoping the sector will evolve to include non-agency issuance and kick-start a US capital relief trades market to rival and eventually even exceed the one seen in Europe.

SCI has published a new Special Report on the sector. It is available to download for free here.

The report is sponsored by Aon, Arch MI, Fannie Mae and Hunton Andrews Kurth. It traces the development of MRT from the origins of the CAS and STACR programmes; the adoption of ILS techniques and the involvement of mortgage insurers; through to the potential for non-agency issuers to enter the market and how the sector might evolve in the years ahead.

RMBS

Irish recovery?

Domestic, external challenges remain

This year will be key for Ireland in terms of domestic and external challenges. Nevertheless, reperforming RMBS issuance is expected to remain strong.

The recent election in Ireland is one factor influencing the future of the Irish mortgage market, according to Gordon Kerr, head of European structured finance research at DBRS Morningstar. He says: “Political uncertainty remains, even after the election results.”

The ‘no consent, no sale’ proposal is an issue that continues to be outstanding. Other issues include the debate surrounding Irish reunification and the lack of clarity regarding Brexit. In addition to this, change to tax policy may affect competition in the mortgage market.

Against this backdrop, there has been an increase in diversification within the Irish securitisation market. “In the past five years, RMBS has largely been dominated by retained issuance,” notes Kerr. “[But] we are likely to see more [reperforming] transactions forward into 2020 and beyond.”

The Irish RMBS market is supported by recovering house prices, albeit they have not returned to their peak levels. Some regions have come closer than others. For example, the mid-East region has recovered closest to peak levels.  

There is also a difference between the recovery of prices for flats and houses. “First-time buyers are going to be purchasing at a higher price to income level, but over time this ratio has remained relatively flat. There has been a large rise in house mover price to income ratios in the past several years, making affordability more of a challenge,” says Kerr.

He concludes: “Most notably, in Dublin, price to income rates are much higher than other regions. For house movers which should have lower levels, we are seeing higher levels, similar to those for first time buyers.

Jasleen Mann

Structured Finance

High-profile bankers exit SRT

Sector developments and company hires

SRT departures
Last week saw a couple of high-profile exits from SRT banking teams in London. Structuring specialist Jeremy Hermant is understood to have left Santander, while md Bob Paterson has reportedly been put at risk of redundancy at Lloyds.

Spokespeople at both banks declined to comment, although the latter stated: “Whenever we make role reductions, these changes do require making difficult decisions. We are focused on supporting our colleagues during these changes.”

Paterson has been head of credit sales at Lloyds since February 2016 and before that was head of ABS syndicate. He had led sales for the bank’s risk transfer programmes.

Hermant worked in Santander’s private debt mobilisation, notes and structuring team, assisting md Steve Gandy with issuing and arranging true sale and synthetic capital relief trades. He had been with the bank since September 2016 and before that was an equity derivatives trader at Triton Square.

One London-based headhunter told SCI that management on the Spanish side of the business at Santander is “less keen on the risk transfer area” and may have taken the strategic decision to re-evaluate its involvement.

“While the strategy continues to be increasingly popular among investors, on the banking side, SRT teams appear to be reducing in size,” he adds. “SRT bankers have niche – but transferrable - skills and limited opportunities, given the size of the market. As such, they are often looking for something new, as they perceive that their careers aren’t really going anywhere.”

However, the headhunter concedes that two departures in one week could just be a coincidence. “It’s a small market, so it seems like a significant development,” he concludes.

Digital ABCP
LBBW’s ABCP programme Weinberg Capital has executed another issuance via its digital DLT platform to MEAG, the asset management company of Munich Re and ERGO. Like the first issuance a year ago, the ABCP was tokenised and transfered over the Corda-based Weinberg DLT platform without any parallel process. Payment was also triggered via the platform, ensuring a full payment versus delivery in a T+0 settlement time. But this time the platform also provided email notifications and additional settlement information. The firm says its vision for the technology is to become a multi-issuer, multi-investor and multi-banking issuance platform.

EMEA
Dow Schofield Watts has appointed Phil Tarimo to lead its new debt advisory arm, DSW Debt Advisory. Tarimo joins DSW from DF Capital, where he was an executive board member, having previously been the North of England regional md for corporate and structured finance at RBS among other roles. The DSW Debt Advisory service is aimed at medium-sized companies seeking debt funding of at least £20m and will operate from its Northern offices until it begins work nationally. 

Structured Finance

GM withdrawal from Aussie autos 'credit negative'

Sector developments and company hires

CMBS analytics platform
Thetica Systems has launched a web platform for CMBS pricing and analytics tools, which can be used to quickly analyse bid lists, gather market colour and perform deep analysis. Clients control the requirements for access to inputs and calculations.

EMEA
PGGM recently promoted Youssef Sfaif to the position of director, credit and insurance linked investments. The role involves responsibility for origination, structuring and the execution of ILS investments. Sfaif joined PGGM in 2017 as an investment manager and was promoted to associate director in 2018.

Holden withdrawal ‘credit negative’
General Motors’ withdrawal from the Australian and New Zealand vehicle market by June 2020, along with the eventual retirement of its Australian car brand Holden is credit negative for Australian auto ABS, Moody's suggests. The removal of support for the Holden brand will reduce these vehicles' resale values, while borrowers with residual value loans or leases will be more likely to return the car at the end of the loan term rather than pay for it. In terms of Moody's-rated ABS, the highest exposure to Holden vehicles are 23.5% and 16% in two seasoned deals, with no exposure to residual value. The remainder of the exposures are approximately 10% or below, with some of these deals containing residual value and balloon payments.

Share acquisition
SVS Opportunity Fund has acquired 16.61% of the outstanding share capital in VPC Specialty Lending Investments from a major shareholder in the company. SVS is a newly formed investment vehicle managed by Victory Park Capital Advisors and backed by a large US insurance company, alongside the manager and certain of its principals. Pro forma for the contribution of existing shares owned by the manager and its principals, SVS now owns 18.12% of the company.

Structured Finance

Green ILS framework rolled out

Sector developments and company hires

EMEA
Nick Holman has joined Kartesia to lead investments in the UK from the Kartesia Senior Opportunities (KSO) I fund. Holman joins Kartesia from Santander’s structured finance team, where he was a director. He will work alongside Javier Castillo, Charles-Henri Clappier and Thomas Poehler in the KSO senior team.

Green ILS framework
Generali has developed a ‘Green Insurance Linked Securities Framework’, in line with its sustainability strategy. Under the framework, green ILS are characterised by the investment of collateral in assets with a positive environmental impact and by the allocation of the transferred solvency capital to sustainable initiatives. The framework has received a second-party opinion from Sustainalytics.

Structured Finance

MSR subservicing transfer agreed

Sector developments and company hires

EMEA
Michael Fiebig has been appointed coo at responsAbility Investments. Fiebig will be responsible for the firm’s regional offices and central functions, such as legal, finance and business technology. Previously, he was responsible for private equity investments at responsAbility.

MSR transfer
Ocwen Financial Corp is set to transfer the subservicing of agency loans currently subserviced by its subsidiary PHH Mortgage Corp to New Residential Investment Corp subsidiary NewRez. As part of the agreement, PHH will transfer the subservicing of approximately US$41.8bn unpaid principal balance of agency MSRs, representing approximately 310,000 loans. Transfers are expected to occur during the second and third quarters of 2020. Following the transfers, New Residential will continue to have a subservicing relationship with Ocwen related to the portfolio of non-agency loans currently subserviced by PHH. In addition, New Residential will continue to own 4.3% of Ocwen’s common shares outstanding.

North America
Eldridge Industries has promoted John Kim to principal. Kim leads the firm’s structured products team, which it says has seen significant expansion since inception. He works closely with Security Benefit and serves on the boards of Stonebriar Commercial Finance and Elliott Bay Capital Trust. Prior to joining Eldridge, Kim served as an md in Natixis North America’s US structured credit and solutions group, where he focused on middle market and broadly syndicated CLOs, structured credit advisory and other credit solutions. Before that, he held senior roles at Deutsche Bank - where he was head of CLO structuring - and Lehman Brothers.