The week's structured finance hires and company developments, all in one place.

Consent solicitation

NN Bank has issued a consent solicitation seeking investor approval for the early redemption of the Hypenn 3 Dutch RMBS, of which the class A1 tranche has already been redeemed. The class A2 tranche has an outstanding balance of €467m and a FORD of 17 June 2020, according to Rabobank credit analysts. Together with Hypenn 3, NN Bank’s Arena 2014-2 NHG and Hypenn 4 deals are facing FORDs within a three-month period in 2020. The early redemption, with an expected date of 17 September, needs approval from 75% of noteholders and a meeting is scheduled for 3 September. If there is insufficient quorum during this meeting, a second meeting could follow within a month.

Disclosure standards defined

ESMA has published draft regulatory and implementing standards under the Securitisation Regulation, concerning the details of a securitisation to be made available by the originator, sponsor and SSPE, as well as the format and templates for doing so. Specific templates have been developed according to the type of securitisation and underlying exposure, to reflect relevant features for investors and authorities. The RTS distinguishes between non-ABCP and ABCP securitisation, as well as between all securitisations and those securitisations that are required to make information available via a securitisation repository. ESMA says it has sought to ensure an adequate level of data quality, while allowing some flexibility for the market to adjust to the new requirements and to deal with legitimate cases where data is not available, and aims to deliver transitional provisions “well ahead” of 19 January 2019.

Expected loss tool

Scope has launched Scope PT, a free software tool designed to analyse the default and loss distributions of non-granular portfolios of credit exposures and provide an insight into the agency’s rating analysis. Scope uses the expected loss approach to rate structured finance transactions, including significant risk transfer deals, which often require loan-by-loan portfolio analysis techniques. The tool implements a single-step Monte Carlo simulation of portfolio defaults, using Merton default logic together with a multifactor Gaussian correlation framework. It enables users to provide their own asset-specific, default probability, value correlation, recovery and amortisation assumptions.

India

IIFL Asset Management has hired Pranob Gupta and Abhinav Jain to lead the structured debt fund under the Alternative Investment Fund management platform. The duo will lead investing in structured credit opportunities, for Indian corporates and promoters. Gupta was most recently at KKR India where he was a senior structured finance originator. Earlier, he was associated with Citibank NA, Credit Suisse and Deutsche Bank among others. Jain used to run his own advisory and previously worked with Capital First and Deutsche Bank.

Partnerships

solarisBank has partnered with CrossLend to offer digital and fully automated loan securitisation. The partnership allows solarisBank to establish a so-called 'Balance Sheet Light' model with loans generated in a way that makes it possible to pass them on to investors directly or with a delay and without putting a long-term strain on the bank's balance sheet. In order to set up the processes between both companies, solarisBank will use the CrossLend platform to purchase and securitize loan portfolios. This will allow solarisBank to expand its balance sheet to reach an optimal return on equity value. Once this value is reached, the balance sheet light model takes effect using automated securitisation.

Refi not pursued

Dine Brands has decided not to pursue a refinancing of its existing securitisation, Series 2014-1, comprising 4.277% fixed rate senior secured notes (the Class A-2 Notes). The Class A-2 Notes have a maturity date of September 2021. The firm will continue to refinance the class A-1 notes from the 2014-1 securitisation. The new notes will allow for drawings of up to US$225m and have more favorable fees and interest rates.  The current Class A-1 Notes allow for drawings of up to US$100m.

RFC on reverse mortgage approach

DBRS is requesting comments on its rating European structured finance transactions methodology and appendix relating to European reverse mortgages. For securitisations of portfolios that consist of European reverse mortgage loans, DBRS’s analysis focuses on: expected and stressed values of mortality and morbidity rates of the borrowers; expected and stressed values of property prices; the granularity of the securitised pool; available sources of liquidity; and generic structured finance legal and structural considerations. Comments on the approach are invited by 20 September.

SFR pilots end

Fannie Mae and Freddie Mac are set to conclude their single-family rental pilot programmes and terminate their participation in the SFR market (except for their Multiple Financed Properties and Investment Property Mortgages programmes). Parallel to the GSEs’ pilots over the last two years, the FHFA conducted an impact analysis and reached out to a wide array of industry stakeholders. As a result, the FHFA says it has learned that the larger SFR investor market continues to perform successfully without the liquidity provided by the enterprises. However, the move does not preclude the GSEs from proposing changes to their existing programmes to meet the needs of the SFR market or from developing proposals that are calculated to utilise single-family rentals as a pathway to homeownership.

Toys R Us auctioned

Bids totalling US$116.9m – equal to US$93 per square-foot – from several third-party purchasers were accepted for 32 TRU 2016-TOYS CMBS trust assets during the Toys R Us auction held last week. Ollie’s Bargain Outlet was responsible for the bulk of the total bid price, having submitted an offer of US$42m for 12 stores, followed by Scandinavian Designs, which bid US$36m for 15 stores, according to KBRA. The agency notes that various objections have been raised to the release of these assets, but the debtors have requested the bankruptcy court overrule the outstanding objections. Should the sale be approved and the funds applied to the trust waterfall – assuming advances and any additional fees associated with the auctions are paid – the class A note balance is expected to be reduced to a factor of 0.46.