Sector developments and company hires

OMFIT debuts SOFR-linked notes
OneMain has become the first US securitisation issuer to offer a SOFR-linked floating-rate tranche. The US$500m OneMain Financial Issuance Trust 2021-1 includes triple-A rated class A2 notes - that will be sized to demand – linked to a rate that will be set in advance using 30-day compounded SOFR, although the deal documentation has provision to switch to term SOFR at a future date, according to JPMorgan ABS analysts.

The 30-day compounded SOFR will be determined two business days prior to the accrual period, in line with the ARRC’s securitised working group recommendations. Barring administrative or operational delays, the issuer would switch to term SOFR once the rate is recognised by the relevant government body.

The transaction is backed by a US$531.92m portfolio comprising 68,811 loans with an average balance of US$7,730, according to KBRA.

UK credit card ABS issuer NewDay publicly placed US dollar-denominated SOFR-linked class A2 notes earlier this year (SCI 1 February).

In other news…

Acquisition
Black Knight has acquired eMBS, which provides agency MBS performance data and analytics. Clients can access either granular agency data or summarised database-ready information, with pre-calculated prepayments and market aggregations. Leveraging eMBS' capabilities can reduce the costs of data, systems and personnel by eliminating the need for mortgage-specific data feeds, as well as programmes required to update and display this data.

CMBS maturity spike eyed
US CMBS loan refinancings are likely to remain under pressure over the next 18 months, given continued business interruption at many properties, uneven reopening of the country, depressed in-place cashflows and secular shifts caused by the coronavirus pandemic. Approximately US$7.5bn of performing, non-defeased loans within the Fitch-rated US CMBS 2.0 conduit and Freddie Mac universe are scheduled to mature through the remainder of 2021. The agency notes that maturities are manageable over each of the next three quarters - with US$1.6bn for the rest of Q2, US$3.1bn in Q3 and US$2.8bn in Q4 - but then jumps significantly to nearly US$20bn in 2022.

Performance of multifamily, industrial and self-storage properties remained resilient throughout the pandemic, sparking increased investor demand, lending capital and interest that will support the refinanceability of these loans. However, many retail and hotel properties will have difficulty refinancing.

Fitch suggests that properties that were already struggling prior to the pandemic or those with limited rebound potential, or where sponsors no longer want to inject additional equity to carry the property, will default at or prior to their maturities. The agency anticipates that extensions will continue for near-term maturing loans with committed borrowers and the expectation for stabilisation.

Further, loans secured by office properties with weak occupancies strained by limited leasing momentum, upcoming rollover and a high concentration of non-creditworthy or co-working tenancy will face refinancing difficulties. Fitch anticipates a trickle of defaults in this sector to continue through year-end.

EMEA
Guy Carpenter has appointed Luca Tres as head of strategic risk and capital life solutions, EMEA, effective from 1 June. Tres will be responsible for driving continued growth in the development and delivery of non-traditional life solutions to clients throughout the region, assisting them with achieving their short- and long-term capital, risk and financial objectives. Based in Milan, he will report to Massimo Reina, ceo, Europe, Guy Carpenter.

Most recently, Tres was a partner at Securis Investment Partners, where he led the life origination and structuring area globally. Prior to this, he was vp - structured insurance and bank solutions Europe at Deutsche Bank.

Peak Reinsurance (Peak Re) has hired Sascha Bruns as director, head of global retrocession. He will join the firm on 1 September from Hannover Re, where he was a senior underwriter in the group protections team, specialising in natural catastrophe retrocession placements and securitisations.

First US social MBS priced
Angel Oak last week priced the first US non-agency RMBS that qualifies as a social bond – the US$231m non-QM RMBS Angel Oak Mortgage Trust 2021-2. Angel Oak says it undertook a high level of diligence in qualifying loans for the deal and adhered to the standards put in place by ICMA’s Social Bond Principles and also secured a second-party opinion from ISS ESG to confirm alignment with these standards.

In addition, Angel Oak reports that it developed a comprehensive framework and used extensive data analytics to categorise and quantify the bonds’ social impact at the loan level. “The securitisation pooled loans that generally offer mortgage financing solutions for underserved US homebuyers, who are not able to borrow through traditional lending channels,” it notes. “These borrowers largely include self-employed individuals, a sector of the population that has disproportionately felt the economic strain caused by the Covid-19 pandemic.”

North America
RBC Capital Markets has hired Alex Hu as head of CLO structuring, based in New York. Previously a director in Citi’s CLO team, he will report to Mukund Sadagopan, who is currently head of CLO structuring at RBC but will be transitioning to a new role.  

Private auto ABS inked
Auto finance provider 247 Money has completed its first private securitisation, which will help support the firm’s strong origination pipeline. The arrangement provides 247 Money with total available commitments over the life of the securitisation of up to £305m, with senior funding from NatWest and mezzanine funding from East Lodge Capital. The firm specialises in hire purchase contracts for used vehicles across the UK and is a part of the 247 Group, which includes CarFinance 247, the UK's leading online car finance marketplace.

SECR implementation analysed
The Joint Committee of the European Supervisory Authorities (ESAs) has published an analysis of the implementation and functioning of the EU Securitisation Regulation (SECR), including recommendations on how to address initial inconsistencies and challenges, which may affect the overall efficiency of the current securitisation regime. The report is meant to provide guidance to the European Commission in the context of its review of the functioning of the SECR.

The report notes that some adjustments could be considered to further improve the overall consistency of the existing framework. In particular, given the increase in private securitisation issuance and considering the SECR objectives of access to information and investor protection, a more precise legal definition for private securitisations should be specified in the SECR in order to clearly identify private securitisations that should comply with the transparency requirements. Data reported for those private securitisations should also be made available by means of a securitisation repository.

Regulatory guidance would also be useful to specify how proportionality could be implemented in the area of due diligence, in order to facilitate the entrance of new investors to the EU securitisation market.

A further recommendation is targeted amendments in the STS criteria to facilitate the use of the STS label for ABCP programmes. In addition, in the medium term, as more STS issuances are executed and the STS market reaches a stable pace, further analysis should be performed by the European Commission with the ESAs’ support to determine how the STS criteria could be simplified without reducing the quality of the standard.

Finally, in order to further enhance the supervision of securitisation requirements, it is deemed necessary to explore: how to develop common EU supervisory tools; potential alternatives to the current STS supervisory framework, in particular for those jurisdictions with limited STS securitisation issuances; and the relevance of a common EU approach to the ongoing supervision of authorisation conditions for third-party verifiers.