Sector developments and company hires

Multi-level Libor exposure eyed
Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of Japanese structured finance transactions the agency rates have Libor exposure and, in some cases, there is Libor exposure through notes, as well as underlying assets or other contracts.

For deals with multi-level exposure, cashflow risk will be higher than for other deals in the transition away from Libor, because interest rate mismatches between the different fallback rates or payment disruption could occur at multiple levels when deals fail to identify or lack fallback rates. In addition, operational costs and the risk of legal challenges related to Libor transition will be higher for deals with multi-level exposure.

Among the deals that Moody's rates, the transition risk is highest for repackaged securities, given their multi-level exposures and lack of credit enhancement to mitigate the risks. The majority of Japanese legacy securitisations with Libor exposure lack effective provisions to set fallback rates to replace Libor. However, the Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks released a second public consultation paper in August to provide a proposal for Libor fallback rates and spread adjustments, which is expected to help foster market consensus.

In other news…

Brexit consultation launched
The UK FCA has launched a consultation on some of the changes that may be made to its handbook, including its proposals for what happens when the Brexit transition period ends. Among the topics covered are issues in connection with securitisation, such as data templates, data repositories, STS notifications, counterparty risks and risk retention. The consultation period ends on 5 October.

EMEA
Nassau Corporate Credit (NCC) is establishing an investment management business in London that will focus on the European bank loan and CLO markets, subject to regulatory approval. The London business will apply the company’s US strategy – both managing CLOs and investing in CLOs managed by external parties - in Europe, enabling NCC to diversify geographically. Paul Meloche and Hekeani Mathieu have joined NCC as portfolio managers, both having most recently been with Ellington Management Group in London. Reporting to NCC cio Alex Jackson, Meloche (md) will focus on building the company’s capabilities to act as an issuer of European CLOs and as an investor in the securities issued by third-party European CLO managers, while Mathieu (director) will take a leading role in building out its capabilities as a portfolio manager of NCC UK CLOs and other forms of high yield corporate credit funds in Europe.

KBRA has appointed Yee Cent Wong as lead analytical manager for Europe, a role that includes oversight of credit rating services and rating methodological development. She spent seven years in KBRA’s structured finance group, having joined from Capmark Securities’ capital markets group, where she was svp. Separately, Eric Kaplan has joined KBRA as an independent board member. Kaplan is currently the director of the Housing Finance Program at the Milken Institute Center for Financial Markets and vice chair of the CFPB consumer advisory board.

The EuroABS management team has restructured the business and set up SecRep Ltd and SecRep BV as two independent companies that can provide all required securitisation repository services in the UK and the EU respectively. EuroABS ceo Ben Bates will join SecRep Ltd as ceo, while Harmen van den Hondel – who previously worked at RBS, ABN AMRO and NautaDutilh - has been appointed ceo for SecRep Europe. Darren Nesbitt will take over as the new ceo of EuroABS, having formerly been coo. SecRep intends to apply to ESMA on 23 September as a securitisation repository.