Contents

NPLs

Swap solution for Cyprus NPLs

Cypriot banks are increasingly using debt-to-equity and debt-to-asset swaps to reduce their non-performing loan portfolios, facilitating deal flow in a relatively dormant market. For investors, the swaps are also a useful tool for bridging the gap between bid and ask prices.

Debt-to-asset swaps enable borrowers to swap ownership of assets - usually mortgaged assets - in exchange for a reduction or discharge of the amount of bank debt. The banks, in turn, set up SPVs, to which these assets are transferred and which are managed by real estate management units under the banks' control. The effect of this is a reduction in provisioning and in their NPL ratios.

The debt-to-equity swap scheme follows the same process, but the bank receives shares or managerial control instead of the assets. So far, debt-to-asset swaps have been the most prevalent.

Driving the swap deals are the inefficiencies of Cyprus's foreclosure system. According to Thomas Keane, partner at Keane Vgenopoulou and Associates, the schemes provide banks with the practical benefit of not having to go through defective enforcement procedures and they can remove the NPLs from their balance sheet.

The schemes have their practical - as opposed to legal - challenges though. Keane observes: "Statutory priorities are effectively ignored, since tax authorities, for instance, can prevent transfers if there are outstanding taxes - even if they are unrelated to the immovable property being transferred. This results in the mortgage's loss of its status as a prime security interest."

He continues: "In Cyprus, this has in practice resulted in unsecured ordinary creditors being able to usurp secured creditors merely by obtaining a judgment and registering it with the land registry - the so-called memo."

Equity swaps require full due diligence prior to such a transaction. However, a significant information gap remains, with audited financial statements typically non-existent or heavily outdated. All of these factors are further compounded by the fact that it is difficult for owners to relinquish control of their business for both psychological and financial reasons.

Rennos Ioannides, senior manager at KPMG, states: "Banks would definitely require legal and accounting expertise pre- and post-transaction, while if company performance is not improved or deteriorates, they might face legal battles from the original shareholders - in the case of partial equity swaps."

Nevertheless, with rising real estate prices - thanks to the naturalisation scheme - investors have been taking note of the opportunities. Foreign investors can now register as Cypriot nationals if they have €2m to put into real estate, land development, infrastructure projects, participation in Cypriot companies, investment funds and financial assets.

"I'm really impressed by the proactive and pragmatic approach of the Cypriot government," says Wahid Chammas, founder and cio at TyreGate Capital Holdings. "It introduced many attractive investor incentives, while encouraging the banks to be patient with the more distressed, yet systemically important, real estate developers. Now the banking and real estate sectors are reaping the benefits from a softer market landing and engaging in amicable debt-to-equity swaps."

TyreGate Capital has been actively investing in Cypriot real estate and NPLs at hefty discounts, owing to the legacy of the 2013 crisis, while investing at the same time in project developments that employ local workers and improve local infrastructure.

While the portfolio market in Cyprus remains largely untested, with only two transactions from the Bank of Cyprus, there has been considerable progress in terms of bank restructuring. Hellenic Bank has established a servicing joint venture with Czech APS Holdings and recently sold its €2.3bn NPL portfolio and real estate management business to the entity. National Bank of Greece is also in the process of selling its Cyprus subsidiary, while Piraeus Bank has completed a similar deal.

NPL deal flow in Cyprus is expected to rise further if pending securitisation legislation is implemented. The legislation was delayed in April, but market sources anticipate that it will address the restricted scope of eligible investors in the country's NPL market (SCI 27 April).

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NPLs

Cohen and Co adds to Ukrainian NPL deal flow

Erste Group Bank has successfully sold a Ukrainian portfolio, consisting of €240m of corporate loans and €95m of commercial real estate (CRE), at a significant discount to nominal value. The transaction comes at a time when investor interest in Ukraine is gaining traction (SCI 25 August).

The portfolio sale was facilitated by Exito Partners and Cohen & Co. The investor base included both domestic and international credit and hedge fund investors with a focus on distressed emerging market opportunities.

"We ran a highly competitive sales process approaching over 200 investors, signing over 20 NDAs, delivering 14 indicative bids and taking five-plus-five counterparties on each portfolio into a final binding bid phase," says Cohen & Co md Saleem Arif.

Erste Group Bank began its Ukrainian exit in 2013 when it sold an unprofitable local lender that it had bought just six years earlier, and the bank has made significant progress in cleaning up its balance sheet in recent years. Within 1H17 the bank's NPL ratio has improved to 4.7%, compared to 4.9% in 1Q17 and 5.8% in 2Q16. The NPL coverage ratio remained stable at 68.5%.

The successful sale strategy centred on explaining to investors the exit story and the upside potential of the underlying assets. Arif observes: "When we started the process there was a lot of negative feedback on Ukraine and we thought we may not have enough investor interest. However, it transpires we were able to excite the market and eventually signed 22 NDAs."

Many of the corporate loans within the portfolio were large-cap credits, with historic secondary trading in the bonds and loans and with loan agreements under English, Austrian and Cypriot Law booked offshore. These were well-known credits such as DTEK, Metinvest, Mriya, Donetsk steel and other credits which were originated by the European Bank for Reconstruction and Development (EBRD), where Erste was a B lender.

Exito Partners and Cohen & Co used a competitive sales process. This delivered a sale price that was higher than the seller's expectations and also significantly higher than several investment bank trading desks had previously quoted the loans.

Cohen & Company has since worked on three further portfolio sales, including a €100m sale for Raiffeisen Bank subsidiary Aval Bank and a €130m deal with Intesa San Paolo subsidiary Pravex Bank. Most notable is a mandate, shared with Exitos, to sell an NPL portfolio for the EBRD.

"Selling an NPL portfolio does not imply that the EBRD is no longer committed to Ukraine, and in fact the EBRD is still doing business in that jurisdiction," notes Cohen & Co md Michele Del Bo. "The transaction was in a sense inevitable after the bank explored all restructuring options, so they are fulfilling their mandate by facilitating more specialised lenders/investors to take over those positions."

The market has its challenges, however. Legal enforcement of the collateral can take anywhere from three to 10 years. "In such cases the only viable solution for investors are out of court settlements, by reaching a consensual agreement with shareholders and stakeholders to avoid costly and time consuming court procedures," observes Arif.

Currency controls for investors who want to repatriate foreign currency out of the country also pose a significant challenge. This applies between onshore and offshore parties, rather than between two offshore parties.

Moreover, according to domestic law, interest on loans can be repatriated on an annual basis if an investor has invested onshore. "There are solutions available but it requires sensible structuring," notes Arif.

Sales in the Ukrainian NPL market are mainly government-driven, with US$15bn of NPLs having already been transferred onto the sovereign's balance sheet and earmarked for sale. The government is committed through the Deposit Guarantee Fund to sell this amount over a three-year period.

According to World Bank data, Ukrainian NPLs as a percentage of gross total loans have increased markedly from 3.9% in 2008 to 30.5% in 2016, with the bulk of the portfolios lying with state-owned banks. However, the central bank - National Bank of Ukraine (NBU) - puts the number at a much higher ratio of 57%, as of April 2017.

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Capital Relief Trades

Third Colonnade global completed

Barclays has closed its third Colonnade global significant risk transfer trade (SRT), Colonnade Global 2017-3 Financial Guarantee. In unusual fashion for capital relief trades the credit protection covers both principal and accrued interest.

The SRT transaction is a US$140m CLN that references a US$1.6bn corporate loan portfolio from thirty countries across the globe.

Rated by DBRS the deal comprises US$1.3bn triple-A rated class A notes, US$22m double-A rated class Bs, US$8.5m double-A rated class Cs, US$10.2m double-A rated class Ds, US$19.7m single-A rated class Es, US$5.9m single-A rated class Fs, US$15.5m single-A rated class Gs, US$21.4m triple-B rated class Hs, US$7m triple-B rated class Is, US$9.5m triple-B rated class Js, and US$22.5 double-B rated class Ks.

The transaction features a three-year replenishment period during which Barclays can add new reference obligations or increase the notional amount of existing reference obligations. The replenishment will follow rules-based selection guidelines that are designed to ensure the new reference obligations are not adversely selected.

Other features include a tranche thickness of 82.8% for the senior tranche, a WAL of six years and a sequential amortisation structure as expected by CRR/SRT regulations. Under the senior guarantee, Barclays will buy protection against principal losses as well as accrued and unpaid interest on the reference portfolio for a period of eight years.

"In this way it is an unusual deal," says Carlos Silva, svp at DBRS. "With this trade the financial guarantee is covering both principal and accrued interest given the likely beneficial treatment in terms of regulatory capital allocation. At the same time we have stressed it as an additional risk precisely because it guarantees both principal and interest."

This risk becomes particularly acute with the presence in the transaction of a broad number of interest rate indices. The interest rate index, spread and interest payment frequency will determine the amount of additional risk that the guarantee has to cover.

DBRS has used stressed assumptions to cover for this, in particular for interest rates, spread and weighted-average payment frequency covenants defined as part of the transaction's portfolio profile tests. The benefit of the indices though is that it offers flexibility, since it allows Barclays to add reference loans in the portfolio without being restricted by the stressed approach of DBRS.

Another challenge is foreign exchange risk since the credit facilities under the reference portfolio can be drawn in various currencies. Yet DBRS confirms that foreign exchange risk has a neutral impact in this case, because unlike cash securitisations, synthetic securitisations feature a cap on the protection.

From across the capital structure the rated tranches as opposed to the junior tranche remained unexecuted. The key to achieve regulatory capital relief on these trades is the significant risk transfer obtained by the sale of the first loss position as well as the ratings on the tranches that sit above it.

As the risk on the senior and mezzanine tranches does not need to be transferred, these contracts remain unexecuted which is why the ratings are provisional. The bank and the regulator can now use the external ratings assigned to those tranches as a method to measure the risk retained by the bank and calculate the new regulatory capital.

As of June 2017, Barclays has reported a CET1 ratio of 13.1%, a near 1% rise compared to December 2016. During the same period the lender's risk weighted assets declined by £39bn from £366bn, while the UK leverage ratio increased from 4.5% to 4.8% in the same period.

All throughout Q4 the market expects a slew of risk transfer trades given banks efforts to showcase strong capital ratios by year-end. Along with the programmatic nature of the Colonnade transactions, market sources expect Barclays to issue other such transactions during this period.

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ABS

Further ratings reviewed on margin requirements

Fitch has placed 38 ABS tranches on rating watch negative, due to the reduced likelihood of counterparty replacement, resulting from new two-way margin posting requirements (SCI passim). The rating agency notes that one of its key considerations is the ability to replace a counterparty following their downgrade below defined trigger levels and a key factor in achieving ratings above that of the counterparty.

The tranches placed on watch for downgrade are: Goal Capital Funding Trust 2006-1 class A4 to A6s; Nelnet Student Loan Trust 2006-2 class A5 and A6 notes; SLC Student Loan Trust 2008-1 A4A, A4B and B notes; SLM Student Loan Trust 2003-10 A3 and A4 notes; SLM Student Loan Trust 2003-12 A5 and A6 notes; SLM Student Loan Trust 2003-2 A5 notes; SLM Student Loan Trust 2003-5 A5 notes; SLM Student Loan Trust 2003-7 A5A and A5Bs; SLM Student Loan Trust 2004-10 A5A, A6A, A7A, A7B, A8 notes; SLM Student Loan Trust 2004-2 A5 and A6 notes; SLM Student Loan Trust 2004-5 A5 and A6 notes; SLM Student Loan Trust 2005-9 A6, A7A and A7B notes; SLM Student Loan Trust 2006-10 A5A, A5B and A6 notes; SLM Student Loan Trust 2006-4 A5 and A6 notes; and SLM Student Loan Trust 2007-4 A4A, A4B and A5 notes.

Fitch comments that the tranches on negative rating watch are exposed to currency swaps and, following the two-way margin posting requirement on US SPVs, there is a decreased likelihood of counterparty replacement. As such, any novation or change in the hedging contracts would likely "stop the grandfathering of the swap" - which would mean the transaction would not be able to fulfil certain margin requirements in its current form. The transaction would then be prevented from finding a replacement counterparty, which will require the transaction to be able to post margin.

Transactions with currency hedging are seen as highly dependent on the swap counterparty because the loss of hedging could greatly increase the default risk of the hedged tranche. Fitch adds that it views unhedged tranches rated higher than the counterparty as facing a higher risk, largely due to the current legal uncertainty on the enforceability of flip clauses in the US and the potentially large size of termination payment for currency swaps that could become senior payables in the priority of payments.

Fitch says that it is not taking any action on transactions with basis swaps, due to its view that the risk stemming from these hedges is limited. The agency adds that it is in the process of reviewing the risk for tranches with fixed- and floating-rate swaps.

Moody's is also reviewing the ratings of a number of US auto loan and FFELP student loan ABS tranches, after updating its counterparty risk methodology in response to the emergence of swap margining requirements (SCI 27 July).

RB

Structured Finance

SCI Start the Week - 4 September

A look at the major activity in structured finance over the past seven days.

Pipeline
There were relatively few pipeline additions ahead of the Labor Day weekend. The final count consisted of four ABS and a trio of Australian RMBS.

CNY4bn Driver China Seven, £438.1m Driver UK Six, Motor 2017-1 and US$1.03bn Navient Student Loan Trust 2017-5 accounted for the ABS. The Aussie RMBS were Apollo Trust 2017-2, Firstmac Mortgage Funding Trust 2017-2 and A$470m La Trobe Financial Capital Markets Trust 2017-2.

Pricings
A significant number of deals cleared the pipe. There were four ABS prints along with five RMBS, three CMBS and three CLOs.

The ABS were: US$234.13m American Credit Acceptance Receivables Trust 2017-3; US$395m GMF Floorplan Owner Revolving Trust Series 2017-3; A$500m Latitude Australia Credit Card Loan Note Trust series 2017-2; and US$900m OneMain Financial Issuance Trust 2017-1.

The RMBS were: A$350m AFG 2017-1 Trust; US$210m Bayview Mortgage Fund IVc Trust 2017-RT3; €646m B-Arena NV/SA Compartment No.4; €347m Cartesian Residential Mortgages 2; and A$500m Liberty Series 2017-1 SME.

The CMBS were: US$482.2m BBCMS 2017-DELC; US$941.58m Citigroup Commercial Mortgage Trust 2017-B1; and US$2bn Motel 6 Trust 2017-MTL6.

Lastly, the CLOs were: US$479m Race Point CLO 2015-9R; US$531m Venture CDO 2013-13R; and US$391.5m West CLO 2014-1R.

Editor's picks
Direct issuance achieves CMBS firsts: The recent US single-asset/single-borrower CMBS from the Shidler Group - HMH Trust 2017-NSS (see SCI's primary issuance database) - debuted a new direct issuance model, at least post the financial crisis. The transaction features several innovations, including a unique risk retention structure and extra borrower control...
Hurricane Harvey impact weighed: While the picture is not yet clear in terms of the total damage inflicted by Hurricane Harvey, it looks set to impact several sectors across securitisation. RMBS and CMBS appear likely to be most affected, along with credit risk transfer transactions and potentially auto ABS...
CLO secondary trading slows: Primary CLO issuance is booming, although secondary market activity has dipped this year. The glut of refinancings seen earlier in the year appears to have played a significant part in this...

CMBS

CMBS split loans on the rise

Pari-passu loans are increasing as a percentage of US conduit CMBS transactions. A recent Deutsche Bank analysis suggests that there are now 500 split loans in CMBS 2.0 deals and while split conduit loans can be of high quality, some investors prefer loan diversity over overlap.

Split loans can reduce diversification across a CMBS portfolio, particularly when individual portions of the loans often account for a big part of a transaction. Deutsche Bank CMBS analysts highlight that split loans make up 67% of the transaction with the largest split loan balance in the CMBS 2.0 universe - the US$975.4m CD 2016-CD2. In comparison, they make up 57% of the deal with the tenth largest balance - the US$820.6m GSMS 2015-GS1.

The analysis shows that the Miracle Mile Shops loan is the largest split loan in the CMBS 2.0 universe at US$580m. The average size of this split loan in a deal is 9.2% and it appears across six conduits.

The US$525m Hilton Hawaiian Village loan is the second largest split loan and features in the most conduits (eight), with the average size of the split loan in a deal standing at 7%. At the other end of the spectrum, the tenth largest split loan is the US$400m Bank of America Plaza, with an average size of 9.5% and featuring in four conduits.

The Deutsche Bank analysts note that "most investors care about overlap" in conduit deals and point out that the US$1bn GSMS 2017-GS5 and US$959.1m GSMS 2017-GS6 transactions feature the highest amount of overlap in CMBS 2.0, at 28.8%. The assets with most overlap in these transactions are the Lafayette Centre (with 7.8% deal overlap), followed by the US Industrial Portfolio (7%), the GSK R&D Centre (6.8%), the Ericsson North American HQ (4.8%) and the Pentagon Centre (2.4%).

The other top five conduits in terms of overlap are the US$800m DBJPM 2016-C3 and US$939m JPMCC 2016-JP2 transactions at 28.2% overlap. They are in joint-place with the US$973.7m DBJPM 2016-C6 and US$911m JPMCC 2017-JP7 deals, also at 28.2% overlap.

The US$1.1bn CGCMT 2015-GC35 and US$820.6m GSMS 2015-GS1 transactions have the fourth largest overlap at 27.7%, while the US$600m CSMC 2016-NXSR and US$757m WFCM 2016-NXS6 transactions have an 26% overlap.

The analysts point out that while the highest pairwise overlap is 28.8%, the average is around 13%, although many deals have much higher pairwise overlap. They add that loans may be split across singe-asset/single-borrower and conduit transactions or split only across conduits, with varying rationales behind the practice.

One reason is that splitting loans across transactions boosts conduit diversification because when a single loan is too large, it can reduce the overall diversity of the pool and negatively impact credit enhancement requirements, impacting investor demand. Additionally, loan splitting can improve credit metrics because pari-passu loans can limit concentrations of a given property type in a deal.

The approach of rating agencies can also have an impact because different rating agencies rate conduit and SASB deals and rating agency selection can impact how the loan is split between the two CMBS sectors. The analysts add that lenders can reduce their risk to a large loan by cutting and inserting it into multiple conduit deals and - as transactions remain below US$1bn - split loans seem to be the norm for the time being.

Finally, split loans can boost profitability metrics where a range of market conditions may affect whether a dealer chooses to execute more or less in SASB format. This decision can therefore be influenced by loan quality, diversity benefits, spread levels and deal costs.

The analysts conclude that split conduit loans can be high quality, but some investors prefer diversity over overlap and while they appeared in CMBS 1.0 deals, they were typically smaller as a percentage than in CMBS 2.0 transactions.

RB

CMBS

Debut conduit CMBS launched

Stonemont Financial Group has sponsored its inaugural CMBS, backed by a portfolio of office, industrial, retail and bank branch properties across 20 US states. The US$800m CMBS conduit, dubbed Stonemont Portfolio Trust 2017-STONE (see SCI's deal pipeline), is collateralised by a two-year, floating-rate, interest-only mortgage loan securing 94 properties and a leasehold interest in one property.

Proceeds of the loan, along with mezzanine loans totalling US$274.1m were combined with US$181m of preferred equity and US$72.5m of sponsor equity to acquire a portfolio from Oak Street Real Estate for US$1.294bn. The certificates will follow a sequential-pay structure, but provided there is no event of default, any voluntary prepayments including property releases will be applied to the loan components on a pro rata basis.

Fitch has assigned provisional ratings to the transaction of triple-A for the US$344.85m class As, double-A minus for the US$76.95m class Bs, single-A minus for the US$53.2m class Cs, triple-B minus for the US$76m class Ds, double-B minus for the US$115.9m class E notes and single-B for the US$93.1m class F notes. The rating agency has also assigned provisional ratings of triple-B minus to the notional US$468.35m X-CP notes, and triple-B minus to the notional US$551m X-EXTs. Final maturity on all the notes is August 2030.

The transaction features single-tenant concentration with the loan secured entirely by single-tenant properties. These are currently 100% occupied, with no tenant lease expiring during the loan term.

The top five tenants account for 67.4% of the portfolio trust amount and include MetLife, the largest tenant with 23.1% of the loan amount at six properties, First Midwest Bank, at 12.6% of the loan and 51 properties, Anthem, 11.7% of the loan at three properties and Ericsson at 8.8% of the loan with one property. These are all investment grade with long-term leases and there is strong geographic diversity with 95 properties across 20 states.

Eight of the properties serve as global, national or divisional headquarters for the tenants of Anthem BCBS of Missouri, Anthem Health Plans of Maine, Anthem Health Plans of Virginia, Ericsson, Motorola Solutions, Tate & Lyle, United Wisconsin and Weatherford International. The properties are also all located in suburban office markets in major metro areas and tertiary retail markets in the Midwest of America.

Furthermore, the transaction has a carveout guarantor in William Markwell, the managing principal and ceo of Stonemont Financial Group. Stonemont is a private real estate company headquartered in Atlanta, Georgia, focusing on the acquisition and development of single-tenant net lease projects and private student off-campus housing.

Fitch notes that while Stonemont's historical investments have typically been between five and seven years, management has stated that the firm has a long-term perspective on the current transaction and is seeking to grow its long-term investment business. The properties will be managed by Oak Street Real Estate Capital Asset Management and will receive an asset management fee of 2.25% of the aggregate net operating income.

RB

Structured Finance

Job swaps round-up - 8 September

EMEA

Tiger Risk UK has hired Michael Wade as a non-executive chair of TigerRisk Capital Markets and Advisory UK. He is also the Crown representative for insurance at the UK cabinet office and advisor to the Chancellor of the Exchequer on issues relating to Insurance Linked Securities (ILS).

Beechbrook Capital has hired Jon Petty to the role of associate director and will be based in the firm's Manchester office. He was previously at Deloitte for five years in the debt advisory practice and before that was at RBS for four years in the structured finance team. He will support investment director Matt Kenny.

Anand Damodaran has been named a partner in Kirkland & Ellis International's investment funds group in London, focusing on advising clients on the formation of credit, private equity and real estate funds. He joins the firm from Ropes & Gray, where he was a partner.

CSC has launched a European capital markets service in the UK, Ireland and Luxembourg. It will be led by J-P Nowacki, director of capital markets Europe.

JLT Re has hired Carsten Thienel to its Asia Pacific division, reporting to Stuart Beatty, ceo of Asia Pacific, JLT Re and Bradley Maltese deputy ceo, UK & Europe, JLT Re. He was previously ceo reinsurance at Ed, Asia Pacific. He is set to start at JLT Re January 2018 in the Singapore office.

North America

Upgrade has appointed John Dye as general counsel and Louis Shansky as deputy general counsel. Prior to joining the platform, Dye was evp, general counsel and secretary of The Western Union Company, as well as chairman of the Western Union Foundation. Shansky was previously a partner in Mayer Brown's securitisation team.

Conning has recruited Paul Norris as md, head of structured products. Norris will lead a team of traders and analysts and be responsible for overseeing all research, investment and trading in structured securities for Conning in the US. He joins from Mariner Investment Group, where he was a portfolio manager for a mortgage hedge fund and focused on mortgage derivatives. Prior to that, he was head of securitised products at Dwight Asset Management and held various senior roles at Fannie Mae.

Structured Portfolio Management has hired Peter Mobberley as md in the New York office. He was previously md at Axonic Capital.

David Moffit has joined LibreMax Capital in New York as md. He was previously head of asset management at JC Flowers and also co-founded Mead Park Management. Earlier in his career he was global head of Morgan Stanley's securitisation business and head of structured products at Merrill Lynch.

The board of trustees of RAIT Financial Trust has formed an independent special committee to explore and evaluate strategic and financial alternatives to enhance shareholder value. These alternatives may include: refinements of RAIT's operations or strategy; financial transactions, such as a recapitalisation or other change to RAIT's capital structure; and strategic transactions, such as a sale of all or part of RAIT. There is no definitive timetable for completion of this evaluation, but Barclays and UBS have been retained as financial advisors, while Winston & Strawn is legal advisor.

Ares Commercial Real Estate Corporation has hired Sumit Sasidharan as md and head of real estate debt capital markets at its external manager, a subsidiary of Ares Management. Based in New York, Sasidharan assumes the responsibilities of Precilla Torres, who will remain at Ares and take on a new role managing funds that invest in a variety of real estate securities, including CMBS. He previously served as md of the Annaly commercial real estate group and before that was at CWCapital Investments and Fitch.

Acquisitions

Aegon is set to become a 25% shareholder of Dynamic Credit as part of a strategic partnership between the two firms. The investment will be used to accelerate Dynamic's expansion into new lending products, such as buy-to-let and SME loans. Its LoanClear platform will also be further upgraded and extended into an investment hub for marketplace lending loans.

Newmark Knight Frank is continuing the construction of its valuation and advisory practice, with an agreement to acquire the assets of six Integra Realty Resources offices, including New York/New Jersey, Philadelphia, Wilmington, Baltimore, Washington DC, and Atlanta. The acquisitions were led by NKF ceo, Barry Gosin and valuation and advisory president, John Busi.

Product launches

MountainView has launched a risk retention valuation service for securitisation transaction sponsors. The firms says this is in response to increased demand from issuers who prefer to meet the minimum 5% credit risk retention requirement using an eligible horizontal interest (EHRI) but are concerned about the complexity of the fair value determination and valuation disclosure required with holding an EHRI.

Litigation

The Carlyle Group has prevailed in the litigation before the Royal Court of Guernsey involving the 2008 insolvency of Carlyle Capital Corporation (CCC), which invested primarily in triple-A rated RMBS. The Guernsey trial court ruled that Carlyle and the directors of CCC acted reasonably and appropriately in the management and governance of the entity. The suit was brought by CCC's liquidators and it remains unclear whether they will appeal the court's decision.