Sector developments and company hires

SFSF investments disclosed
The AOFM has disclosed the recent investments it has made under the Structured Finance Support Fund. In the primary market, the fund was the sole third-party investor in the A2 tranches of FirstMac 2020-1 (it also invested in the A1 through D tranches) and Liberty Series 2020-1 on 27 March and 8 May respectively. It has also acquired 35 bonds in the secondary market between 6-11 May, issued by Firstmac, LaTrobe, Liberty, Mortgage House, Pepper, RedZed, Resimac and ThinkTank between 2011 and 2019. Finally, the fund invested in warehouses sponsored by AFG, Columbus Capital, Judo Bank, RedZed, Resimac and ThinkTank last month. The AOFM notes that to date, all of its secondary market activity has been to facilitate ‘switches’ from investors seeking to enter into new primary market transactions by the SFSF bidding for outstanding securities.

In other news…

APAC
Tikehau Capital has bolstered its investment capabilities with two hires. The firm has appointed Neil Parekh as partner and head of Asia, Australia and New Zealand, responsible for growing its business across the region. Parekh will join Tikehau at end-Q2, after completing his tenure with NAB as general manager, Asia. He benefits from more than 30 years of global experience in the financial services industry in the Asia Pacific, US and Europe. Meanwhile, Raphael Thuin has been named head of capital markets strategies at the firm, overseeing the management of its bond, equity and flexible investment strategies globally. Thuin was formerly head of fixed income management at TOBAM in Paris, having previously also worked at Topaz Fund and Société Générale in New York.

EMEA
Cairn Capital has recruited Charis Edwards as a junior portfolio manager, focusing on risk transfer and reporting to Brandon Kufrin, senior portfolio manager. Edwards joins Cairn Capital from Bank of Montreal, where she led the London-based risk and capital solutions team responsible for the structuring and distribution of risk transfer transactions. Prior to this, she worked in a variety of structuring roles at RBS, Deutsche Bank and JPMorgan, specialising in bank capital and balance sheet solutions, credit derivatives and securitisations.

Fixed severity CRT affirmed
Moody's has affirmed the ratings of the CAS 2014-C04 class 1M2 and 2M2 credit risk transfer RMBS notes, affecting approximately US$514.3m of securities. The bonds had previously been placed on review for possible downgrade, due to a lack of clarification on whether delinquencies caused by loans impacted by Covid-19 would qualify for ‘casualty event’ treatment. The rating action reflects updated guidance that reference obligations in a forbearance period due to Covid-19 in certain Fannie Mae fixed severity CRT transactions would qualify for such treatment.

Irish RMBS prepped
Barclays is in the market with the €796.99m Fingal Securities RMBS, a securitisation of part of the circa €5bn Irish mortgage loan portfolio it purchased from Bank of Scotland in May 2018 (SCI 24 May 2018). The €594.95m class A notes are expected to be publicly offered, while the class B notes have a ‘call desk’ status and the remainder will be preplaced. The provisional pool consists of 4,547 loans with a weighted-average (WA) indexed loan-to-value of 70% and a WA seasoning of 13.6 years. The portfolio comprises principal dwelling house (accounting for around 78%) and buy-to-let mortgages, with about 56% concentrated in Dublin. No loans in the portfolio are greater than three months in arrears.

North America
Nassau Private Credit has hired Vincent Chan as a portfolio manager, focusing on investments in investment grade and non-investment grade CLO securities. Chan is based in the firm’s Darien, Connecticut office. He joins NPC from Assurant Investment Management, where he was md and portfolio manager, responsible for structuring CLOs.

SME SRT performing ‘better than expected’
Scope Ratings reports that the class A, B and C notes of York 2019-1 CLO have amortised to £1.675.9bn, £185m and £65.2m respectively, representing 70% of their initial balances. Credit enhancement has increased to 26.6% from 23% since the closing date for the class A notes, to 18.5% from 14.5% for the class Bs, to 15.7% from 11.5% for the class Cs and to 10.2% from 7.5% for the class Ds. The agency notes that the portfolio performed better and amortised faster than expected, increasing the credit enhancement available to the rated notes. The transaction is a synthetic securitisation of a £2.283bn (£3.08bn at closing) portfolio of 2528 referenced obligations (3177 at closing) granted to 1121 SMEs and self-employed borrowers (1268 at closing), originated or acquired by Santander UK.