Aircraft ABS on watch
KBRA has placed the class A, B and C notes of the US$411m Prop 2017-1 ABS on watch for downgrade. The ABS represents the first securitisation from Elix Aviation Capital, with the proceeds being used to buy 63 aircraft on lease to 17 airlines in 12 countries. KBRA notes that one aircraft was not delivered to the securitisation and the proceeds from the aircraft were used to prepay the loans, while three aircraft in the portfolio were on lease to bankrupt Islands Air – although they have now signed leases. Another stress on the transaction is late payment by lessees in the portfolio, resulting in lower than expected cashflow.

Asia
The Asian Development Bank has hired Thomas Kessler as principal disaster risk insurance and finance specialist. Kessler was previously at Swiss Re, where he was a director.

Koh Ueda has joined the Tokyo office of Greenberg Traurig as a senior associate in its real estate practice. Ueda has significant experience in structured real estate finance and joins from Japanese law firm Nishimura & Asahi.

CDO transfer
Dock Street Capital Management has replaced Cairn Capital as collateral manager on Altius III Funding. Under the terms of the appointment, Dock Street agrees to assume all the responsibilities, duties and obligations of the collateral manager under the applicable terms of the indenture. The ABS CDO’s original manager was Aladdin Capital Management, which was replaced by Cairn Capital in February 2013 (see SCI’s CDO manager transfer database).

CDS definitions eyed
As part of its ongoing dialogue with the credit derivatives market, ISDA is gathering feedback on whether further amendments to its credit derivatives definitions should be considered, in light of Hovnanian Enterprise’s recent debt refinancing deal (SCI passim). In a statement, the association says it believes that narrowly tailored defaults - those that are designed to result in CDS payments that do not reflect the creditworthiness of the underlying corporate borrower - could negatively impact the efficiency, reliability and fairness of the overall CDS market. It notes that swap market participants remain subject to relevant anti-manipulation and anti-fraud laws, and that whether any specific narrowly tailored arrangements meet the definition of a credit event will be determined by one of the determinations committees.

EMEA
Ashurst has appointed Thomas Picton as a securitisation partner in the London securities and derivatives group. Picton joins from Clifford Chance, where he has been since 2006. With over 10 years’ securitisation experience, Picton’s practice covers a wide array of asset classes, with a key focus on the consumer sector.

London-based PVE Capital is forming Prosperise Capital to continue its expert credit investing, led by cio and founder Gennaro Pucci. This evolution involves a number of legal and operational changes, including new partners and new offices in London and Milan. The investment team remains the same and expects to add to the firm’s stable of credit funds in 2018.

FNMA RPL sale
NRZ Mortgage Holdings (Fortress) and Towd Point Master Funding (Cerberus) have been named as the successful bidders in Fannie Mae’s sixth reperforming loan sale transaction, which comprised approximately 9,400 loans totalling US$1.96bn in unpaid principal balance, divided into two pools. The weighted average broker's price opinion loan-to-value ratio was 75% for pool 1 and 87% for pool 2. The cover bid on the aggregate was 92.30% of UPB (63.25% of BPO).

Fund launch
Semper Capital Management has launched the Semper Total Return Fund, a daily dealing Irish-domiciled UCITS fund. Launched with over £35m in assets, the fund will emulate the firm’s Semper MBS Total Return Strategy and will provide access for investors in the UK and Europe to Semper’s MBS strategy for the first time. It is structured as a sub-fund of the GemCap Investment Funds.

LSTA judgement granted
The opportunity for the government to file an appeal to the US Circuit Court for the DC Circuit in its risk retention litigation with the LSTA expired at midnight on 26 March, with the agencies choosing not to pursue further action in this venue (SCI passim). The DC District Court, in turn, last week ordered that summary judgement is granted in favour of the LSTA regarding the application of risk retention to open-market CLO managers, that summary judgement is vacated on the issue of how to calculate the 5% risk retention under the credit risk retention rule and that this rule is vacated insofar as it applies to investment managers of open-market CLOs. The government agencies can still ask the US Supreme Court to review the DC Circuit’s decision until 10 May, but the LSTA believes this is unlikely and that, if they did, it is unlikely that the Court would grant their petition.

MPL ABS indices
KBRA has rolled out marketplace loan ABS indices, aimed at providing high-level commentary, as well as making the underlying data available to investors. The indices include data from all rated securitised marketplace loan collateral pools, not just from deals that KBRA rates, and show annualised net losses and 30-plus delinquencies.

Nationstar fine
The New York Department of Financial Services (DFS) has fined Nationstar Mortgage US$5m for violations of New York State banking law, stemming from the company’s failure to develop effective controls that could keep pace with its rapid growth. DFS’s servicing examination focused on Nationstar’s servicing operations between 1 January 2011 and 31 March 2014, while its origination examination reviewed loans produced between 1 March 2012 and 31 March 2014. As a result of the examinations, which uncovered numerous deficiencies, Nationstar has made restitution of US$7m to New York borrowers. Under the consent order with DFS, the company will also donate US$5m in residential real property or first-lien mortgages to one or more non-profit organisations to assist in the rehabilitation of vacant and abandoned properties.

North America
Analytics firm dv01 participated in its first RMBS, acting as loan data agent for CSMC 2018-RPL2, a US$275m securitisation of re-performing loans serviced by Select Portfolio Servicing. The appointment provides investors with access to loan-level data and dv01’s cashflow engine, as well as a suite of reporting and analytics tools. The firm already provides loan data agent services for an aggregate securitised collateral balance in excess of US$25bn of marketplace lending loans.

FS Investments and KKR have formed the market's largest BDC platform, with US$18bn in combined assets under management. The new partnership – named FS/KKR Advisor – will serve as the investment adviser to six BDCs: FS Investment Corp, FS Investment Corp II, FS Investment Corp III, FS Investment Corp IV, Corporate Capital Trust and Corporate Capital Trust II. All of the BDCs are able to participate in the same transactions alongside each other and KKR Credit's institutional funds and accounts. FS Investments and GSO Capital Partners have concluded their relationship with respect to all of FS Investments' sponsored funds that were sub-advised by GSO.

Ryan Suda has joined Mayer Brown’s banking and finance practice and structured finance group as a partner in New York. Suda advises financial institutions, asset managers, private equity funds and hedge funds in structured finance transactions and other complex financings, focusing in particular on CLOs. He joins from Freshfields.

SoFi has hired Michelle Gill as cfo, effective 30 April. Gill joins SoFi from TPG Sixth Street Partners and has previously spent 14 years at Goldman Sachs, where she was most recently co-head of the structured finance business. Gill replaces interim cfo, Steven Freiberg, who will continue to serve as vice-chairman.

Single-tenant risks highlighted
Fitch has published an unsolicited comment on the TRU Trust 2016-TOYS CMBS, following the bankruptcy of the sole tenant Toys R Us (SCI passim). The agency notes that it identified a number of concerns when it looked at the deal in April 2016, including that the tenant is a specialty operator in a sector that is facing considerable weakness and that the ‘value’ of the properties is highly correlated to whether the tenant continues as a viable operating business. As such, it provided feedback to the arranger that the credit risk would not be compatible with high investment grade ratings and the arranger decided to discontinue the rating process with Fitch. The agency suggests that the risk of bond losses due to the TRU bankruptcy will give investors pause when contemplating CMBS exposed to either single-tenant names or specialised use of real estate.

Solar ABS RFC
Moody's is seeking feedback on its proposed global approach to rating solar ABS backed primarily by payments made under distributed generation solar systems and related production-dependent solar contracts, such as leases or power purchase agreements (PPA). Under the proposed methodology, four key risks to solar ABS would be analysed: variability in solar power production; variability in solar payments, due to potential future contract modifications and/or shifting solar contract prices; obligor defaults; and operations and maintenance risks. Market participants are invited to comment on the RFC by 8 May.