Contents

ABS

SRT prints

KIMI X prices tight

Santander has finalised a full-stack capital relief trade backed by a €450m portfolio of Finnish auto loans. Dubbed KIMI X, the transaction priced at pre-Covid levels (see SCI’s capital relief trades database). 

Rated by S&P and Fitch, the transaction consists of €411.8m AAA/AAA rated class A notes (which priced at one-month Euribor plus 13bp), €17.6m A/AA+ rated class B notes (plus 95bp), €5.2m BBB/A+ rated class C notes (plus 125bp) and €15.4m unrated class D notes (5.35%).

Cashflows redeem sequentially at the start of amortisation in accordance with the priority of payments, but switch to paying pro-rata once sufficient credit enhancement is built on the class A notes. The target credit enhancement for the class A notes is 16%. Class A features a 2.03-year WAL, while the remainder of the notes amount to 3.05 years.  

The underlying collateral comprises Finnish loan receivables for primarily cars and a smaller proportion of light commercial vehicles, motorbikes, caravans and camper vans. Around 62.9% of the current principal balance amortises with a final balloon payment.

Like the preceding transaction, KIMI X revolves for a period of six months from closing, ending in May 2022. During this time, all principal proceeds are used to purchase new assets. The revolving period would terminate earlier upon the occurrence of a revolving period termination event.

At closing, a liquidity reserve will be funded through a subordinated loan. The reserve is available to cure any shortfalls on the senior fees, expenses and interest on the class A and B notes. A servicer advance reserve is also funded at closing, to be drawn to pay any amount to an obligor or deposit with the Finnish enforcement authority on the obligor's behalf in relation to repossession of the financed vehicle.

The pool is granular and well diversified geographically and across brands. As of the preliminary pool cut-off date, the largest and top 10 borrowers account for 0.05% and 0.36% of the pool respectively. The portfolio's weighted-average down payment is 13.2%, indicating a strong loan-to-value ratio.

Stelios Papadopoulos

ABS

Pockets of resilience

European ABS/MBS market update

European ABS/MBS spreads leaked slightly wider and investor demand cooled somewhat last week as the market finally caught up with broader macro volatility. However, some sectors continue to outperform and this week is off to a strong start with a broad range of deals in the primary pipeline to follow.

“Indisputably, on a macro level, the same concerns still prevail: inflation, tax and the energy crisis in China,” notes one trader. “However, against this backdrop the primary European ABS/MBS market remains solid and I feel as though auto ABS is particularly resilient at the moment and more immune to spread widening.”

Indeed, auto ABS deals have continued to perform strongly of late. Last week, Red & Black Auto Lease France 1 landed at 13bp over one-month Euribor from initial talk in the 17-area – only 3bp north of Red & Black’s German loan deal at the end of September.

Today, Volkswagen was looking to print it’s 34^th VCL deal and the trader had high hopes, speaking before this afternoon’s pricing. “There is potential for it to land at 9bp, and that would make it the tightest deal since the GFC, which would send a strong signal to the market.”

In the end the single figure barrier remains as VCL 34’s class As came in at a post-financial crisis record equalling 10bp DM. Even so, the tranche was upsized from €705m to €941m and 1.8x covered.

Another auto ABS is slated to price tomorrow – Dowson 2021-2. The UK deal is showing guidance primarily inside or at IPTs with reasonably strong coverage, and looks set to be comfortably inside the prints for Dowson 2021-1 in April.

The remainder of the visible pipeline is a more eclectic mix, involving: equipment ABS Pixel 2021; SC Germany Consumer 2021-1; CRE CLO Starz Mortgage Securities 2021-1; and two UK CMBS – Sage AR Funding 2021 and Taurus 2021-5 UK. For more on all of the above deals, see SCI’s Euro ABS/MBS Deal Tracker.

Vincent Nadeau

Structured Finance

SCI Start the Week - 18 October

A review of SCI's latest content

Last week's news and analysis
Beyond Covid-19:
What effect has the pandemic had on the European RMBS and mortgage markets?
Big bang?
Tokenisation touted as a replacement for securitisation
Challenging valuations
Covid-19 aftermath dogs NPL exposures
SCI CRT Awards: North American Transaction of the Year
Winner: TCB CRT 2021-1
SCI CRT Awards: Transaction of the Year
Winner: Siena 2021 - RegCap-1
Transition trauma
A bumpy road ahead for shift to post-Libor world
Transitional financing
Ready Capital, answers SCI's questions

For all of last week’s stories including ‘Market moves’ and ‘Risk transfer round-up’ click here.

Recent research to download

GACS, HAPS and more? - September 2021
Given the success of both GACS and HAPS in facilitating the development of a market for non-performing loans, and consequently bank deleveraging, could similar government-backed measures emerge in other European jurisdictions? This Euro ABS/MBS Premium Content article examines the prospects for the introduction of further national guarantee schemes.

SOFR and equity - September 2021
Term SOFR is expected to be the main replacement for US Libor. This SCI Premium content article explores the challenges the new benchmark presents to US CLO equity investors.

Fannie Mae and CRT – August 2021
Fannie Mae has not issued a CRT deal since 1Q20. This SCI CRT Premium Content article investigates the circumstances behind the GSE’s disappearance from the market and what might make it come back

EIF risk-sharing deals - August 2021
Risk-sharing deals involving the EIF and private investors are yet to gain ground. This CRT Premium Content article surveys the likelihood of such collaborations going forward.

Capital Relief Trades

SCI CRT Awards: Impact Deal of the Year

Winner: Marco Polo Three

Crédit Agricole and the IFC’s Marco Polo Three transaction has won the Impact Deal of the Year category in SCI’s Capital Relief Trades Awards. The significant risk transfer trade stands out for its sustainable finance aspects and size, as well as its impact on securitisation as a tool to help banks in developing countries cope with the effects of the coronavirus pandemic.

Twice as large as the last Marco Polo deal from March 2018, the third issuance from the programme features a retained first loss tranche, pro-rata amortisation, a time call and a replenishment period that is equal to two years. The five-year deal provides a US$182m mezzanine guarantee on a US$4bn-equivalent reference portfolio comprising over 1,300 emerging market trade finance exposures. Pricing in April 2021, as the second Marco Polo trade was approaching full amortisation, the transaction came at a time when emerging market trade finance flows had been hit hard by the Covid-19 fallout.

“It is our largest synthetic securitisation to date and our third with IFC, demonstrating their confidence in CACIB’s origination and risk discipline,” notes Thierry Colin, md, private debt solutions at Crédit Agricole Corporate and Investment Bank.

The transaction further innovates through its sustainability agenda and product, which includes a sustainability-linked financial guarantee. Crédit Agricole will redeploy the freed-up regulatory capital in US$600m over four years of new lending in several social and sustainability-linked sectors in emerging markets countries, including health, agriculture, telecommunications and local industries loans.

Furthermore and unlike previous transactions from the programme, Marco Polo Three matches the IFC’s sustainability finance criteria with that of Crédit Agricole’s. According to Jean-Marc Pinaud, head of structuring at Crédit Agricole Corporate and Investment Bank, this novel aspect is particularly relevant.

“We had in-depth discussions and reflections with the IFC regarding sustainability and ESG aspects. The fact that we can rely on our internal guidance and criteria on a transaction of this nature is a strong recognition. It expands our partnership with the IFC and I think it also highlights our discipline as an originator.”

Honourable mention: GARC Energy Renewables-1

Intesa Sanpaolo’s GARC Energy Renewables-1, which references a €1.3bn portfolio of green assets, is the first synthetic securitisation of its kind in Italy and broadens the bank’s scope to renewable energy. The two-tranche synthetic securitisation transfers the long-term risk of a portfolio of 42 project finance loans for the construction of wind, (representing 50% of the pool), photovoltaic (40%) and biomass (10%) power plants.

The junior tranche of the trade was hedged via a pledge over cash collateral deposited with the originator. Investors will receive a fixed rate coupon paid on a quarterly basis.

The clean energy generated by the green plants included in the securitised portfolio is expected to equal about 7.2 GW, representing enough capacity to meet the annual needs of six million households and to reduce CO2 emissions by an amount equivalent to that produced by three million cars.

Capital Relief Trades

Risk transfer round-up - 18 October

CRT sector developments and deal news

Polish lender mBank is believed to be readying a capital relief trade referencing a portfolio of corporate and SME loans. The lender is a subsidiary of Commerzbank.

Meanwhile, Standard Chartered and Barclays are said to be each prepping a CRT from their Chakra and Colonnade programmes respectively (see SCI’s capital relief trades database).

Capital Relief Trades

SCI CRT Awards: Innovation of the Year

Winner: Colisée 2020

Societe Generale’s Colisée 2020, a private club capital relief trade that provides protection on a portfolio of equipment lease exposures, is awarded SCI’s Innovation of the Year. The deal - which closed during 4Q20, in the midst of a pressured economic backdrop - references a €1bn portfolio of equipment lease receivables distributed by Societe Generale’s French retail network to over 3,000 corporates, consisting of French SMEs (accounting for 76% of the portfolio) and midcap clients (24%). Further, the transaction complied with Article 270 for STS securitisations, at a time when the STS framework was not yet legally enforced for synthetic securitisations. 

The investors on the trade are ArrowMark Partners and Christofferson, Robb & Company (CRC). “We are pleased to support Societe Generale’s application for the SCI 2021 CRT Award under the Innovation of the Year category,” comments Kaelyn Abrell, partner and portfolio manager at ArrowMark Partners.

The credit protection is structured as a funded financial guarantee and covers a low mezzanine tranche of the portfolio, while Societe Generale retains unhedged a thin first loss tranche and the senior tranche. The transaction is particularly innovative, as leasing receivables remain an unusual asset class for significant risk transfer trades.

“Colisee 2020 was issued in a particularly challenging context referencing an asset type that had never before been synthetically securitised in France. The very high quality of the dialogue with the SG team helped us to get comfortable with the underlying credits. Moreover, SG were instrumental in the implementation of structural risk mitigants relating to the moratorium and performance of underlying corporates during the Covid crisis,” says David Fitoussi, partner and head of origination at CRC.

Furthermore, the complex macroeconomic context imposed by the coronavirus pandemic, directly impacted the SME-dominant pool. Societe Generale focused thoroughly on the monitoring and servicing of the leases and assessment of the borrowers/lessees’ creditworthiness.

Pascale Olivié, director, asset-backed products advisory at Societe Generale, explains: “Looking back at 2020, there were no CRT transactions specific to SMEs. In that sense, we had to be extremely precise in our due-diligence and risk analysis.”

Following EBA guidance, French banks applied moratoria measures on their loans to SMEs and midcap clients to a large degree. However, this brought high opacity on the performance of SME/midcap portfolios and, in this case, half of the pool was under moratoria.

“Consequently, we had to be more transparent than usual, and did so through an extended due diligence, and resulting in a selected static portfolio with a strict sectorial approach,” Olivié explains. “We adapted to the context and combined a certain risk pedagogy with extensive data. As such, closing a static synthetic securitisation within this remarkable context is a great achievement for Societe Generale.”

Honourable mention: SLG 1

Credit Suisse closed in 2Q21 a bilateral significant risk transfer transaction dubbed SLG 1. The structure references a non-granular portfolio of European mid-market loans, predominantly sub-investment grade corporate loans, originated by Credit Suisse’s Swiss Corporate Bank and provided primarily to DACH-domiciled companies.

The transaction comprises a mixed currency pool with a single equity tranche and an embedded FX mechanism to avoid currency mismatch. It further introduces variable CDS premium linked to the average spread of the reference portfolio. The forward-looking structure is designed to let the reference portfolio grow over three years to a target size of €1bn.

Capital Relief Trades

SCI Awards: Investor of the Year

Winner: Christofferson, Robb & Company

Ever-present in risk sharing transactions (RST) since its formation in 2002, the CRT awards year 2020-2021 was not an unusual one for Christofferson, Robb & Company (CRC) in many respects. However, the firm did break with usual practice in one way – it allowed more issuers than usual to make its role in their deals public and as a result give us the opportunity, at last, to award the firm investor of the year.

“It’s kind of thrilling to be recognised by SCI as we approach our 20th anniversary,” says Richard Robb, the investment manager’s ceo.

Indeed, while 2020 saw CRC invest an impressive €1.23bn across about a dozen RSTs, it was the fifth year in a row that it had made similarly high levels of investment in the sector. Consequently, the firm maintains the estimated 30% market share in bilateral synthetic RSTs it has held for a number of years.

Now with 60 staff focused on RSTs based in London and New York, as well as a new office in Tokyo, CRC continues to look at multiple regions and asset classes - typically where bank or corporate funding isn’t readily available from international capital markets, for the right opportunities for its investors. To this end, CRC was instrumental in establishing the Greek RST market this year.

March 2021 saw the closing of Piraeus Bank’s synthetic securitisation with CRC. The approximately €120m financial guarantee references a €1.4bn portfolio of Greek corporate and SME loans and is the Greek market’s first capital relief trade.

The Greek lender purchased credit protection on a portfolio that corresponds to €800m of risk weighted assets. As a result of the transaction, the bank will release around €100m of regulatory capital.

The deal is expected to open up the market both for Greek and standardised banks which will utilise the technology for their capital management. Further, Piraeus and CRC have already completed a second transaction releasing another €1.2bn of RWAs.

Though always happy to publicly advocate for the risk sharing business more broadly and insistent on transparency with investors, issuers and regulators alike, CRC is often low key at the transaction level in terms of publicity. As such, the Piraeus deals are unusual but far from unique this year.

As noted above, a number of CRC’s other investments have also reached the public domain. Notably, these include three of 2021’s award winning deals.

First, is the transaction of the year: Banca Monte dei Paschi di Siena’s ground-breaking Stage Two asset deal – Siena 2021 - RegCap-1. Second, is innovation of the year: FCT Colisée 2020, Société Générale’s residual risk STS synthetic first. In addition, CRC was investor in honourable mention recipient for impact deal of the year: GARC Energy Renewables-1, Intesa Sanpaolo’s first Italian pure renewables transaction.

So, while 2020-2021 may be just another year for CRC, it is a remarkable one by any standards and makes the firm our worthy winner this year.

Honourable mention: Seer Capital Management

Seer Capital Management’s well-established and highly experienced involvement in capital relief trades, combined with the flexibility inherent in a diverse structured credit-focused investment firm, enables it to take advantage of and support changes in the market. This year, with the increase in asset classes and structures, particularly in the US, Seer did just that and earns it the Honourable Mention for Investor of the Year.

As the US market moved incrementally into new transaction types beyond the GSE credit risk transfer space in 2020/2021, Seer was there and broadening its investment portfolio. At the same time, it maintained its reputation as a strong investor in Europe, willing to share risk in a growing array of asset classes and structures.

Seer is based in New York and has over US$1bn in assets under management, as of 30 September 2021. The firm has 29 employees and has been a registered investment advisor with the US SEC since 2009.

A number of Seer employees are former senior members of Deutsche Bank’s securitised products group, where their involvement in synthetic securitisations goes back to the development of bank reg cap through the CRAFT and GATE CRT programmes. Overall, the firm’s senior investment team has on average more than two decades of experience working in structured credit.

Seer prides itself on being a multi-asset structured credit manager, rather than a firm largely focused on CRTs referencing corporate credit alone. It argues that doing so increases its ability to be opportunistic and flexible with the timing of its investments.

Capital Relief Trades

CAS calling

Fannie Mae in the market with its first CAS deal since Q1 2020

Fannie Mae is in the market with its 40^th CAS transaction, designated Connecticut Avenue Securities (CAS) Series 2021-R01 Notes, and the deal is expected to price imminently.

The arranger, trustee and custodian is Wells Fargo.

This is the first CAS trade Fannie has issued since Q1 2020, after which it took a leave of absence from the market originally because of the Covid 19 turmoil but then due to the Enterprise Regulatory Capital Framework rules released in May and then finalised in December.

The impact of those rules has been mollified to some extent by the amendments introduced by the Federal Housing Finance Authority (FHFA) in September, and, five days after the amendments Fannie Mae announced it was coming back.

The reference pool consists of 246,836 greater-than-20-year fully amortizing first-lien fixed-rate mortgages with LTV values of greater than 60% but less than 80%.

Fannie Mae has been unavailable for comment.

There are several firsts about this new trade. It is the first CAS offering to be indexed against SOFR rather than Libor. Freddie has been issuing STACR notes tied to SOFR for the best part of the last year.

Secondly, the minimum credit enhancement test—one of the two performance tests—is not set to fail at the closing date. This will allow rated non-senior classes to receive principal payments from the first payment date.

However, non-senior rated tranches will now be locked out from receiving principal payments if any of the performance tests fail. In previous CAS deals, non-senior tranches were still allocated principal even if the pool failed the performance tests.

The notes are scheduled to mature on the final payment date in 2041, but will be subject to mandatory redemption prior to this date upon the expiry of the collateral administration agreement.

Simon Boughey

Capital Relief Trades

SCI Awards: Credit Insurer of the Year

Winner: Fidelis Insurance Holdings

Fidelis Insurance Holdings Ltd is a Bermuda-based global provider of specialty and bespoke insurance and reinsurance products, with underwriting entities in the UK, Ireland and Bermuda. For leading the insurance industry in participating in significant risk transfer transactions, the firm is SCI’s Credit Insurer of the Year.

“We strive to lead by example as a trusted execution partner and to deliver innovative, ground-breaking transactions. We are extremely grateful to the sponsors, brokers, our trusted counsel Parya Badie and Robert Simmons at A&O and our other partners who helped make this happen,” notes Mel Puskar, underwriter at Fidelis.

Insurers tend to be more comfortable with remote and longer-dated tranches of transactions, as well as risks emanating from diverse jurisdictions. More importantly, when the fundamentals are sound, the firm has appetite to move from SME and corporate debt into asset classes where its ability to assess risk and execute - such as mortgages, consumer credits, commercial real estate, and auto or term loans - is paramount.

Uniquely, Fidelis is not averse to first-loss and mezzanine risk. If a transaction makes sense holistically, and diversifies or balances its current risk exposure, the firm will participate in a meaningful way.

“The key for us as insurers is to be able to act quickly and minimise execution risk. The Fidelis team embraced lockdown as an opportunity to develop ways to reduce that risk,” observes Puskar.

She adds: “We have developed a bespoke up-front assessment process which allows us to quickly decide on a specific transaction. That makes the process more efficient and effective for everyone.”

With each transaction, Fidelis looks closely at the performance and behaviour of the underlying assets, then considers how they justify the structure. That gives the firm and its reinsurers comfort and allows it to be even more meaningful to banks by offering larger lines on a diverse set of portfolios.

Since Fidelis began to deploy this approach earlier this year, it has led three new SRT transactions and participated in many recent mortgage transactions. “We continue to believe that any potential opportunity is worth considering, and to further expand the diversity of credit type, product duration, and geography in our portfolio. For Fidelis, it is all about balance,” Puskar says.

The firm’s experienced underwriting team has operated through the economic cycle, having coalesced at Genworth Financial before moving to Fidelis. The team is supported by highly experienced legal, actuarial, reporting, claims, data and analytics, and reinsurance teams.

“We all believe the future of SRTs for the insurance industry is significant and are working diligently across multiple geographies and asset classes to help it grow. We are knowledgeable, efficient, and open-minded, and extremely proud to have earned SCI’s recognition with this award,” Puskar concludes.

Honourable mention: RenaissanceRe

RenaissanceRe is recognised as having one of the most capable teams in the significant risk transfer market and for executing a variety of different transactions. Indeed, over the last year, the firm has expanded its expertise and skill-set with the addition of two new hires. Similarly, it has increased its overall exposure limit from approximately US$500m to approximately US$650m deployed in SRT transactions.

RenaissanceRe’s appetite for risk exists across the entirety of the capital stack, with the firm having deployed limits on equity, junior mezzanine and senior mezzanine tranches across a number of different jurisdictions and asset classes during the awards period. At the same time, it continues to work with its partners and regulatory bodies to bring new forms of capacity and transactions to the market.

The firm completed the second SRT deal through its syndicated entity, RenaissanceRe Syndicate 1458, earlier this year. It assumed the pivotal role as lead reinsurer on this placement and the team’s experience allowed it to quickly navigate through negotiations, regulatory considerations and other potential implications, which saw the transaction completed efficiently.

Across the pond, RenaissanceRe is the market share leader in the US private mortgage insurance credit risk transfer reinsurance space, with a market share of approximately 25%. The firm is also a top three capacity provider for Fannie Mae and Freddie Mac CRT transactions, having deployed approximately US$1bn so far this year.

Capital Relief Trades

CAS prices

Expected Fannie Mae CAS, the return to CRT, hits the tape

Fannie Mae, as expected, priced its $1.2bn CAS Series 2021-R01 REMIC this afternoon (October 19) via joint bookrunners Bank of America and Nomura.

This represents its first CAS trade since Q1 2020, and it now intends to bring another CAS trade next month - this time referencing high LTV mortgages.

“We are pleased with the execution of CAS 2021-R01, which was met with strong investor demand across all classes,” comments Devang Doshi, svp, single-family capital markets. “Subject to market conditions, we look forward to returning to market next month with CAS 2021-R02, a high-LTV transaction.”

The deal consists of four tranches. The BBB+/BBB M1, worth $274.75m, is priced to yield SOFR plus 75bp. The $240.4m BBB-/BBB M-2 yields SOFR plus 155bp. The B+/BB $377.8m B-1 tranche yields SOFR plus 310bp while the unrated $309.9m B-2 yields SOFR plus 600bp.

In addition to the first loss tranche, Fannie retains a portion of all four tranches.

The deal references 246,836 mortgages with an outstanding unpaid balance principal of $72bn. The majority of these loans were acquired during the last three months of last year.

This trade is the GSE’s 42^nd CAS offering, but, as previously reported, it is the first to reference SOFR.

Mortgage origination is expected to decline substantially next year. However, market-watchers speculate that Fannie Mae might issue increased volumes on CRT deals in the next 12 months to make up for lost time.

Simon Boughey

Capital Relief Trades

Innovative SRT finalised

Bank of Ireland executes synthetic RMBS

Bank of Ireland has finalised a €265m synthetic securitisation that references a €1.4bn portfolio of restructured Irish mortgages (SCI 8 September). Dubbed Glen Securities Finance, the transaction is the first capital relief trade to be backed by restructured residential mortgages. 

Rated by KBRA and S&P, Glen Securities Finance consists of €66.4m A-/A- rated class A notes, €83.8m BBB-/BBB- rated class B notes, €55.8m BB-/BB rated class C notes and €59.4m unrated class D notes. The CLNs are exposed to the first 19% of losses of the portfolio, while the top 81% is unprotected and does not have corresponding CLNs.

The tranches amortise pro-rata but with triggers to sequential and they all add up to a €265m hedge consisting of funded and unfunded tranches. In fact, each tranche was split into a funded and unfunded portion that varies from one to the other. The combined initial coupon for all four notes totals €12m.   

The credit protection covers a period of 15 years from inception and no further credit events can be called after the 15-year period. Finally, there is a further two-year period to allow for realisation of security and the associated true-ups on the initial loss calculations.

“We’ve rated a lot of re-performing deals in Ireland and unlike other such trades, a meaningful portion of this pool features a long period of non-arrears,’’ says Killian Walsh, director at KBRA.

Indeed, all loans are currently performing and in the past 36 months, 95.9% of the total portfolio has shown a clean payments history, notwithstanding the economic stress of the coronavirus crisis. The weighted average current indexed LTV stands at 56.2%. Based on these values, none of the obligors in the pool are in negative equity.

The portfolio has 14 years of seasoning and has amortised meaningfully (by €989m) since origination, with 100% of the loans repaying on a capital plus interest basis. The lower indexed LTV is driven by the recovery in house prices in Ireland since 2012 and is one of the key drivers of expected losses.

The transaction features a static portfolio, which will start amortising from inception. Hence, the composition of the portfolio is known.

However, the originator has the potential to provide additional financing that is outside the securitisation but secured by the same assets and will be pari-passu to the subject loans. This allows for the possibility of the portfolio LTV to increase over time if new loans are granted against that property, including equity release and home improvements.

Yet KBRA notes that a significant increase in LTV is unlikely, given the granular nature of the portfolio and limited historical increase in LTV in Bank of Ireland’s portfolio. Over the past three years, data provided by the Group shows a very small proportion of the overall lending portfolio - approximately 15bp-20bp per annum -consisted of additional lending related to existing financing. Still, given the potential increase in LTV, KBRA conservatively applied an increase in LTV on the overall pool.

The trade forms part of a range of Bank of Ireland’s balance sheet optimisation initiatives and results in a pro-forma reduction in the average risk weight of the Group’s Irish mortgage portfolio from around 26% to nearly 22%, as of June 2021. The deal improves the Group’s regulatory and fully loaded CET1 capital ratios by around 30bp. Lloyds acted as arranger on the deal.

As of the initial pool cut-off date of 30 June 2021, the reference obligations consist of 14,657 seasoned first lien performing loans secured primarily by owner-occupied (64%) and buy-to-let (36%) properties. Most of the loans in the portfolio (76%) have been restructured in the past, with a significant majority of these restructurings (77%) occurring more than five years prior to the pool cut-off date.

Stelios Papadopoulos

Capital Relief Trades

SCI CRT Awards: Issuer of the Year

Winner: BNP Paribas

BNP Paribas has won the Issuer of the Year category in SCI’s 2021 Capital Relief Trades Awards, thanks to the volume of transactions it issued during the awards period, as well as for furthering deal innovation and expanding the market’s investor base.

BNP Paribas has led the pack this year, with five transactions including completed and pending ones. The trades include: Noria 2021, a €900m full-stack cash STS ABS of French consumer loans; AutoNoria Spain 2021, a €1bn full-stack cash STS ABS of Spanish auto loans for Banco Cetelem; and AutoFlorence Two, an €800m full-stack cash STS ABS of Italian auto loans for Findomestic.

According to Bruno Bancal, md in the securitisation products group at BNP Paribas: ‘’We are a diversified universal bank with a strong culture of risk management. As a result, there is a strong interest in risk transfer and capital management solutions within the various business lines of the Group.’’

Indeed, to meet these needs, the bank relies on the securitisation products group - a fully integrated platform situated between banking and global markets. It brings together the expertise of portfolio management, structured credit and insurance solutions, and works very closely with the ABS syndicate and the global market sales team.

‘’Thanks to this organisation and our leading position on securitisation markets, we can screen all available possibilities for any specific need and select the best solution both in terms of risk transfer and costs for the bank,’’ says Bancal.

He continues: ‘’We also keep a continuous and transparent dialogue with our supervisor and regulator, which helps us navigate a regulatory environment that has not yet fully stabilised.’’

Over time, the French lender has developed a variety of solutions on an increasing number of asset classes - ranging from full-stack SRTs for auto and consumer loans, to funded and unfunded synthetic securitisations for corporates, SMEs and more esoteric assets such as CQS loans or capital call facilities.

Moreover, following the Resonance Five transaction in 2020, BNP Paribas has further leveraged its strong internal franchise on credit insurance hedges, to execute synthetic securitisations with several credit insurers and reinsurers.

The Wagner transaction was a notable example in this respect. Wagner A and B feature a combined €2.5bn portfolio of capital call facilities directed at five different insurance investors in the mezzanine and upper mezzanine tranches, as well as some funded investors on the lower mezzanine tranches. The synthetic securitisation was finalised in June 2021.

Honourable mention: Barclays

Barclays has been one of the most active capital relief trade issuers of the last year, having closed 11 CRT transactions, representing approximately US$1.35bn of equity tranches and US$17.5bn of portfolio notional. Issuance was matched by innovation, as evidenced by the addition of commercial real estate loans into the Colonnade programme and the execution of two synthetic securitisations referencing a £4.1bn portfolio of social housing loans under the newly launched Churchill risk transfer programme for Barclays’ ringfenced entity BUK. The transaction was also the bank’s first ESG-related risk-sharing transaction.   

Capital Relief Trades

SCI CRT Awards: North American Issuer of the Year

Winner: BMO Capital Markets

BMO has for some time been one of the leading SRT issuers in the world and by far the most established in North America. This year the bank added further innovation to its offering with the establishment of two new platforms providing investors with access to additional asset classes, making it the clear winner of SCI’s 2021 North American Issuer of the Year award.

BMO completed its first SRT in 2016 and remains the only Canadian bank to have issued SRT transactions. It has now completed 12 transactions, with a total protected notional of nearly US$16bn and notes placed with 19 investors totalling US$1.6bn.

This year, the bank added to its existing successful Muskoka and Algonquin platforms two new SRT issuance programmes – Boreal and Sauble. As a result, BMO’s offering now includes loans from all of the bank’s lending divisions across multiple asset classes, including large corporates, SMEs, commercial real estate and leveraged lending.

Boreal is backed by pools of Canadian commercial real estate loan exposures from BMO’s Personal & Commercial Banking division. The programme’s first deal, the C$1.2bn Boreal 2021-1, was launched in June 2021 and met with strong investor interest.

Sauble is backed by leveraged lending revolving credit facility exposures from BMO’s Capital Markets division and structured as a flow arrangement focused on new originations. The US$700m inaugural Sauble transaction, completed in December 2020, was successfully upsized to US$1bn in June 2021, and BMO completed the US$500m Sauble II with another investor the same month.

Michael Beg, svp and head, real estate finance at BMO, whose group was the sponsor for Boreal 2021-1, recalls the motivation for the deal is a long-standing one. “Historically this business had always been funded internally. For some time though, we’ve looked at market-based options to accelerate the growth, while remaining within our overall business mix target,” he says. “That’s why we’ve developed, with our Capital Markets colleagues, alternative risk sharing options, such as traditional CMBS, and now the Boreal platform. These options are good risk management tools that enhance the bank’s overall return.”

Beg continues: “Boreal allowed us to transfer existing exposure and it gave us the flexibility to re-lend out the capital. It allows us to be more consistent in terms of supporting growth in the real estate marketplace because there are potentially times when growth can outpace our risk appetite. This is another funding option for us and is a great differentiator in the marketplace.”

Jean-Francois Leclerc, md and head, risk & capital solutions at BMO Capital Markets, adds: “The objective for Sauble on the leveraged lending portfolio is very similar. At the end of the day, everything we do as an issuer is centred on the client. Meaning that we want to support our clients, even if their need is perhaps greater than our risk appetite, and finding partners for sharing the risk on the origination is a way of doing this. It enables us to provide a bigger offering to our client base while staying within our risk appetite.”

Leclerc suggests the proof of that concept has become even clearer this year. “Launching two new programmes where we’ve had three successful transactions is a good testament to the bank’s risk management practices as it provides an external validation from investors. That stems from how we manage our business, how we originate loans and how we manage them once they are on the balance sheet,” he says.

“I think it’s helpful institutionally that we have this kind of secondary market validation for what we do,” Beg concurs. “When you’re funding only internally, your benchmark and your data points are similarly only internal.”

Honourable mention: Freddie Mac

Irrespective of the macro and micro factors that impact the US credit risk transfer market, Freddie Mac seems to just keep on going. It is that consistency, combined with the GSE’s drive to continue evolving CRT deals that ensures its honourable mention as North American Issuer of the Year.

Over the awards period 1 October 2020 to 30 September 2021, Freddie Mac issued 10 STACR and 12 ACIS deals. The GSE’s CRT programme, including both STACR and ACIS, achieved record H1 issuance of US$9.9bn, protecting US$418.9bn of unpaid principal balance of mortgage loans.

July’s STACR 2021-DNA5’s B1 and B2 tranches were the largest yet seen and the former drew a record 39 investors; while its B3H coupon was SOFR plus 0%. September’s STACR 2021-HQA3 took that a step further and removed the coupon from its B3H tranche completely and included a five-year call option.

Meanwhile, Freddie Mac has also embarked on its latest innovation – a tender offer programme to buy back STACR notes to reduce indebtedness, targeting eight deals issued between 2014 and 2017 which provided no capital relief or credit benefit to Freddie Mac. The original offer with a floor of US$650m in aggregate original principal amount saw final execution of more than US$1.6bn.

Capital Relief Trades

SCI CRT Awards: Arranger of the Year

Winner: Santander

Santander has won SCI’s Arranger of the Year category after having showcased capabilities and achievements over the last 12 months that broke new ground in the capital relief trades market on several fronts. Indeed, the lender has closed transactions backed by new asset classes, with innovative features and while further developing the sector’s investor base.

Santander’s crowning achievement this year by far was Project Boquerón. The ESG trade references a €1.6bn portfolio and builds on previous market experience.

Consequently, although the structural features are not unique to this transaction, their combination in one single ticket is highly unusual. Specifically, Boquerón champions ESG lending through three unique features, both at inception and during reinvestment.

First, the portfolio is focused on ESG assets at issuance, including projects across 21 countries and more than 50% in renewable energy projects. Second, coupon incentives exist to replenish the portfolio with further ESG assets during the revolving period.

Finally, the trade includes coupon incentives for utilising the capital released to further grow Santander’s lending to new ESG assets globally outside the transaction, using a novel approach of linking growth to megawatts funded through green projects, as opposed to simply focusing on RWA metrics. Megawatts is an objective standard that investors desired, since it can be audited and reviewed.

Another important transaction executed by Santander during the awards period was Project Brera. Brera is an unfunded synthetic securitisation backed by a €425m pool of dealer floorplan assets granted by PSA to auto dealers in Italy, with the first loss and mezzanine tranches covered by three reinsurers (one of which was advised by Granular Investments). Two of the final reinsurers were new to the SRT market.

Steve Gandy, md and head of private debt mobilisation, notes and structuring at Santander Corporate and Investment Banking, says: ‘’In the case of Brera, the underlying assets were subject to the standardised approach and require much thicker tranches. Insurers can offer a lower cost of protection than funded investors, given their return requirements.’’

A challenge during structuring was the emergence of the global shortage in semi-conductors, limiting the supply of new vehicles. In response, Project Brera included the novel feature of a ‘ramp-up’ period during the 18-month replenishment period, whereby the protection could increase pro-rata as the underlying portfolio recovered from global supply chain shortages. An additional mechanism for a potential future upsize was also retained, to provide issuer flexibility.

Yet from a structuring perspective, Santander proved its worth during the awards period with a diverse offering that includes traditional and synthetic securitisations, full deduction deals funded and unfunded, as well as full-stack, global and single-country portfolios.

More saliently though, Santander distinguished itself by successful efforts in growing the CRT market’s investor base. In fact, the bank has managed to add over 70 unique investor allocations, of which half were in first loss or junior mezzanine positions. 

Gandy concludes: ‘’We invite a number of investors to bid via a competitive process, where we always invite a core group of investors and add new ones following a KYC due diligence analysis.’’  

Honourable mention: Citi

Citi has a long track record as an arranger in the significant risk transfer market and the bank has continued to innovate by further expanding existing jurisdictions. In the US, the bank arranged the first capital relief trade issued by US regional bank Texas Capital Bank. The US$275m deal references a US$2.2bn portfolio of residential mortgages.

Across the pond, along with the EIF, Citi structured and arranged the first synthetic securitisation by a German Landesbank.

Capital Relief Trades

SCI CRT Awards: North American Arranger of the Year

Winner: Citi

As long as there has been a capital relief trades market in the US, Citi has been there. But its presence in the market has more than a historic significance. In the tombstones for a high percentage of the deals for US issuers in 2020/2021 - from the ground-breaking Texas Capital Bank trade to bilateral transactions which never hit the headlines - the name of Citi can be found.

The bank first began issuing capital relief trades for its own account in 2007 and took the skills it had learned as an issuer to clients four years later, when it completed its first trade as a placement agent in 2011. Its debut as an arranger was in 2016.

So Citi has longevity and experience in this market that others perhaps lack, and it is also gaining market share. Observers say that from the perspective of an increase in the number of mandates won in the last year, Citi deserves to be called the ‘most improved.’

“We’ve been doing CRT deals for our own balance sheet since 2007. I think that says a lot. We’re always looking to open up new jurisdictions for other banks and have been an active arranger across US, Europe and Asia,” says Alexis de Vrieze, director, bank solutions, EMEA at Citi.

Of course, the jurisdiction that everyone is talking about at the moment is the US market. After years of talk, the dam was finally breached in March 2020 when Texas Capital Bank became the first US regional to issue a capital relief trade, with Citi as its partner.

Citi sees as one of its major strengths its capacity to be the midwife for innovative, first-time deals. The big question now is whether that trade will be followed by others.

Mark Kruzel, director, bank solutions, Americas at Citi, believes so. “That transaction opened the door for us to build the US market to be the same size as Europe. We’re going to see a tremendous growth in terms of opportunities, deals, issuers and it’s going to make things even stronger on both sides of the pond,” he says.

Citi’s expertise and careful stewardship were keys to the success of the Texas deal. The bank had been looking to find a cost-effective way to gain capital relief on its mortgage warehouse loan portfolio, but it was Citi which shone a light into the darkness when it approached Texas Capital, say sources, in the spring of 2020.

The main difficulty for Citi was being able to satisfactorily detail the credit story behind the deal to potential investors. Warehouse loans are straightforward in theory, but operationally quite complex as the portfolio tends to be dynamic and fast-moving.

The bank is a strong credit, and yet this trade was to be unrated. Moreover, US investors are relative ingénues to the US market.

Yet Citi was able to satisfactorily clear these hurdles, and bring, it is believed, two investors into the trade. It also introduced the issuer to Clifford Chance, which also has plenty of experience in the CRT sector.

The US market is still in its infancy, and much of the work to be done is in building an investor base. But Citi strongly believes this can and is being done.

In particular, there will be a market for unrated trades in the future, and this is where Citi’s experience and market savvy comes to the fore. It takes a deep understanding of the sector and how these deals operate to sympathetically elucidate the mysteries of such transactions to wary and uncertain buyers.

“If we had restricted ourselves to only rated deals, a number of the transactions we’ve done would never have happened. There is now a large investor base in Europe and in the US for both equity and mezzanine risk,” adds Kruzel.

Texas Capital Bank securitised warehouse loans, as did Western Bank Corporation at the end of June, but other asset classes have great potential in the CRT market, believes Citi. JPMorgan has issued trades which have securitised auto loans, mortgages and corporate loans, but other US banks have also executed less well-reported deals in emerging markets corporate loans, shipping and subscription finance.

As the granddaddy of the US CRT market, Citi is optimistic about the future. “Next year, we as a firm want to continue to see growth. We want to work with new clients and new asset classes. The stars are aligned for healthy growth,” predicts Kruzel.

Honourable mention: JPMorgan

JPMorgan has been a prolific presence as an issuer of capital relief trades in the last 12 months with a hatful of deals securitising a variety of different asset classes. But it has started to operate as an arranger as well and was, for example, spotted as the shepherd of Western Bank Corporation’s debut warehouse loan CRT at the end of June. JPMorgan has worked its way up the league tables and is now mounting a challenge to veteran Citi as the leading arranger of CRT trades for North American issuers.

Capital Relief Trades

SCI CRT Awards: Law Firm of the Year

Winner: Clifford Chance

In a year that was heavily affected by the global Covid-19 pandemic, and the extension of the STS regime to synthetic securitisation, Clifford Chance has stood out as the leading law firm on all aspects of credit risk transfer transactions.

“We’ve always felt we have the largest and most experienced practice in this market and it is nice to win an award like this that recognises that. We have been there through the financial crisis when this was an unfashionable market. And as the market has returned since 2012, we have always been at the forefront of new developments,” Tim Cleary, partner at Clifford Chance, explains.

Clifford Chance’s primary strategic goal is to remain the ‘go to’ firm for originator banks looking to execute risk transfer transactions, in all jurisdictions, whatever the transaction type or relevant regulatory framework.

The firm has acted for many banks across both Europe and North America, and covering a wide range of asset classes. This includes both first-time originators looking to enter the market and established players looking to execute their next transaction.

In Europe, the firm was also intensively involved with market participants and industry bodies during the negotiations for the new STS rules for synthetic securitisation, and has since acted for all of the originators on STS synthetics that have closed to date. The firm invested heavily to ensure that it was able to advise clients on the new regulatory position as soon as the new regime came into effect.

Cleary adds: “When the new STS regime was being negotiated in Europe, given our extensive experience, we were asked to join a lot of calls with the various parties involved in the negotiations, including the European Commission, the EBA and many of the national central banks and finance ministries. We have since executed six STS transactions, acting for the originator bank on all of those. It’s been interesting to see the way in which structures need to change, and it’s been an opportunity to do something new.”

Another notable highlight for the firm over the last 12 months has been the work the firm has done in Europe. Alongside its continued dominance in its traditional key markets of the UK, Spain and Germany, it has also worked on a number of transactions in France and Italy. And during 2021, Clifford Chance acted for the originator on the first Greek synthetic securitisations to come to market.

Honourable mention: Linklaters

Linklaters is still the go-to law firm for investors in SRT transactions, with partners Matthew Monahan and Toby Gray and counsel Leanne Banfield advising many of the major sellers of protection. However, the firm has also established itself as an advisor to originators and arrangers, having drafted a number of significant transactions.

This year, Linklaters has worked on one of the first synthetic STS securitisations and has seen an increasing number of trades with an ESG angle. Notable transactions that Linklaters were involved in include advising a key investor in NatWest’s Chowa transaction and drafting Credit Suisse’s innovative Elvetia SLG transaction.

Capital Relief Trades

SCI Awards: North American Law Firm of the Year

Winner: Clifford Chance

Clifford Chance has developed a strong reputation in the market, ranking as North America’s top law firm of the year for the second year running. The firm has helped to navigate clients with deals of a complex nature.

The last 12 months has seen the continued growth of transactions in the US, where the firm has continued to dominate the non-agency capital relief trades market. A particular highlight in this regard has been the Texas Capital US$275m credit-linked notes issuance, which was the first issuance of credit-linked notes by a US regional bank.

“Texas Capital was an interesting deal to work on; the deal set a new ground - both in taking in what was needed and choosing the asset class,” says David Felsenthal, partner at Clifford Chance.

In the US, the biggest trend driving the market this year has been the increased activity of regional banks in this market. The firm has been involved in all of these transactions, starting with Texas Capital Bank issuing its first credit risk transfer deal in March this year. The next regional bank to jump into the market was Western Alliance just earlier this summer.

As a result, Clifford Chance has become the go-to firm for US regional banks looking to enter this market. The firm has also acted on behalf of large US commercial banks, including Goldman Sachs and Citi, as such banks continue to expand their use of CRT.

Felsenthal adds: “We have represented some of the largest banks for some time and the market has expanded over the last few years. We are constantly speaking to other banks who have an interest in using these credit risk tools and we have been actively involved in the future growth and direction. This is exciting – the area changes year to year, but the process can be opaque and hard to predict.”

Outside the US, the London office of Clifford Chance has also continued to act on all the Canadian CRT transactions to come to market over the past year.

Honourable mention: Hunton Andrews Kurth

Hunton Andrews Kurth represents the dealers in all of Freddie Mac’s STACR offerings and has provided advice in connection with the evolution of the programme to an actual loss payment structure, as well as the transition from direct debt to trust and REMIC issuances. Additionally, the firm represents the underwriters and initial purchasers in all of the Freddie Mac Seasoned Credit Risk Transfer Trust (SCRT) transactions, as well as the structuring agent and lead manager on Freddie Mac’s Multifamily Structured Credit Risk (SCR) Debt Notes transactions. 

Meanwhile, Hunton Andrews Kurth is tax structuring counsel for Fannie Mae’s CAS programme for both single family and multifamily transactions. The firm’s CRT experience also includes representing initial purchasers in structuring deals for private mortgage insurers that transfer the risk of loss under mortgage insurance policies, which – in turn - provides reinsurance credits under the GSE Private Mortgage Insurer Eligibility Requirements (PMIERs) capital requirements.

Regulation

Trustmark settles for $5m

Three agencies join forces in breach of Fair Housing Act case

Trustmark National Bank, of Jackson Mississippi, has today (October 22) settled allegations brought by the OCC, the DOJ and the CFPB that it violated the Fair Housing Act of 1968 for $5m.

According to the investigation staged by the three agencies, Trustmark denied residents of high minority and majority minority neighbourhoods in Memphis, Tennessee, equal access to mortgages between 2014 and 2016.

The action indicates not only the centrality of financial inclusion to the mission of agencies under the Biden administration but also the now close co-operation between federal agencies to achieve that end.

Speaking about the case at the DOJ today, acting OCC comptroller Michael Hsu said an “all hands on deck” approach is required to combat “redlining” - the term given to the practice of denying minority groups access to housing credit.

“This modern redlining, while equally pernicious, is often more subtle, harder to detect, and resource-intensive to find. It takes each of us marshalling all of our forces and resources to root it out and stop it,” he said.

According to the terms of the settlement, Trustmark neither admitted nor denied the claims made.

"We fully cooperated with the agencies and have entered into these settlements to avoid the distraction of protracted litigation. We share the common goals of breaking down barriers to home financing and exploring innovative ways to help residents of underserved areas achieve the dream of homeownership, " said president and chief executive Duane Dewey said in a statement.

Simon Boughey

Structured Finance

SOFR-linked green ABCP issued

Sector developments and company hires

SOFR-linked green ABCP issued
Crédit Agricole CIB has issued the first green ABCP indexed to SOFR to finance electric vehicles and hybrids in auto portfolios, as well as solar loan transactions. Issued by Atlantic Asset Securitization, one of Crédit Agricole CIB's ABCP programmes, the notes were placed with two ESG money market funds.

The ABCP met green asset ABCP eligibility criteria within Crédit Agricole’s Green Bond Framework subject to a Vigeo Eiris second-party opinion. The issuance finances EVs and hybrids in auto portfolios (clean transportation) and solar loan transactions (renewable energy).

In other news…

EMEA
Alec Innes has joined KPMG’s financial risk management team as a partner focused on balance sheet optimisation and restructuring, based in London. Previously, Innes held positions including md, head of risk & capital solutions at BMO in Toronto and md, head of relationship solutions - fixed income at Lloyds.

North America
Denham Capital has hired Iryna Voronova as a portfolio manager for its newly launched sustainable infrastructure credit platform. Voronova joins Denham Capital from Siemens Financial Services, where she held senior positions in project and structured finance, specialising in power, oil and gas for the Americas. With extensive knowledge of both debt financing and the broader energy sector, she will play an instrumental role in accelerating the growth of Denham Capital’s sustainable infrastructure credit platform, which launched with a US$2bn commitment from Aflac Global Investments.

Resi rate indices launched
Intercontinental Exchange (ICE) has launched a suite of US residential mortgage locked rate indices. The new indices will be calculated daily and will track the average interest rate of new residential home loan applications processed by ICE Mortgage Technology.

Existing mortgage rate indices are often survey-based and can quickly become outdated. By using anonymised and aggregated data from ICE Mortgage Technology, the ICE locked rate indices are calculated from actual loan applications. This provides a more comprehensive, accurate and timely reflection of current residential mortgage interest rates, according to the firm.

The ICE US Residential Mortgage Rate Lock Index Series tracks 10-, 15-, 20- and 30-year first-lien and subordinated mortgage applications on both single-family and multi-family properties. The indices include new purchase, construction and refinance applications for conventional mortgage loans, jumbo loans and those submitted under US government programmes. The indices are calculated each business day and published the following morning.

In addition to the broad ICE US Residential Mortgage Rate Lock Composite Index, ICE has launched sub-indices focused on attributes including product type (conforming or jumbo 30-year fixed rate), loan purpose (purchase, construction or refinance) and borrower attributes (FICO score and LTV).

Structured Finance

Project Frontier securitisation inked

Sector developments and company hires

Project Frontier securitisation inked
National Bank of Greece (NBG) has entered into a definitive agreement with a consortium consisting of affiliates of Bain Capital Credit, Fortress Investment Group and doValue Greece, for the sale of 95% of the mezzanine and junior notes issued via a securitisation backed by a portfolio of non-performing exposures (NPEs) with a total gross book value of circa €6bn. NBG will retain 100% of the senior notes, utilising the provisions of the Hellenic Asset Protection Scheme (HAPS), and 5% of the mezzanine and junior notes. The transaction – dubbed Project Frontier – is being implemented in the context of the bank’s NPE deleveraging strategy and is in line with the targets submitted to the Single Supervisory Mechanism (SSM).

The total proceeds for NBG mainly reflect the senior notes and the consideration for the mezzanine and junior notes, corresponding to around 50% of the total gross book value of the Frontier Portfolio. The transaction will boost NBG’s total capital by circa 150bp, with the pro-forma 1H21 Total Capital ratio increasing to 18.5%, while the NPE ratio on the same date stands at 12.7%.

The transaction is expected to be completed within 4Q21, subject to required approvals. Following the completion of the transaction, doValue Greece - a legal entity authorised by the Bank of Greece under Law 4354/2015, with several years of experience in servicing NPE portfolios - will undertake the servicing of the Frontier Portfolio.

The mandate will increase doValue’s assets under management (gross book value) in Greece to €32bn from €26bn, as of 30 June 2021. The price for the acquisition of the servicing contract by doValue is approximately €35m, subject to certain terms and conditions, which will be financed by doValue through its owns financial resources. Given the participation of funds managed by Fortress in the consortium, and the fact that Fortress affiliates own 26.73% of doValue’ share capital, certain aspects of Project Frontier have been classified as a related party transaction of major relevance, without cases of exclusion.

Morgan Stanley is acting as financial advisor and arranger on the transaction, while Oliver Wyman acted as technical advisor.

In other news…

North America
BTIG has expanded its structured finance operations with the launch of a new structured products business. The firm has appointed Alejandro Feely as md and head of structured products to lead the new unit.

Feely has over 20 years of experience in the industry and joins from Brownstone Investment Group, where he managed the mortgage credit trading desk. Previously, he worked at Morgan Stanley, Nomura and Lehman Brothers.

In addition, BTIG has recruited Conor O’Callaghan, Michael Murray and Emily Brown as members of the structured product sales and trading team. O’Callaghan will act as md and head of structured products sales, having previously been head of investment banking and an md within structured products at Brownstone Investment Group. Before that he worked at Nomura, Barclays and Credit Suisse.

Murray will serve has md and joins from Waypoint Direct Investments, where he was an md within its capital markets group. Before that, he held senior positions at Imperial Capital, Nomura and Cantor Fitzgerald.

Brown joins BTIG as a director, having previously served as a director within fixed income sales at Brownstone Investment Group. Before that, she worked at Jefferies, Nomura and PPM America.

Monroe Capital has named Zia Uddin as its president. Uddin - who is a partner and portfolio manager, institutional portfolios - will continue to report to Ted Koenig, who will remain the firm’s chairman and ceo.

As president of Monroe, Uddin will oversee and implement Monroe’s long-term growth strategies. He will remain an active participant in the firm’s investment committee, as well as co-portfolio manager, institutional portfolios, alongside newly appointed co-portfolio manager Chris Lund.

Structured Finance

Rare agricultural MBS prints

Sector developments and company hires

Rare agricultural MBS prints
The Federal Agricultural Mortgage Corporation (Farmer Mac) – a federally chartered corporation that provides a secondary market for a variety of loans made to borrowers in rural America, with the aim of increasing the availability and affordability of credit - has completed a US$302.7m securitisation of agricultural mortgage loans. The FARM Series 2021-1 agricultural MBS is backed by 384 agricultural mortgage loans underwritten to Farmer Mac's standards and acquired by the corporation between July 2019 and December 2020.

This inaugural deal included a US$280m senior tranche guaranteed by Farmer Mac and a US$22.7m unguaranteed subordinate tranche. Credit Suisse acted as the sole structuring agent and bookrunner, along with CastleOak Securities as a selling group member.

In other news…

Global
Pretium has established its first Middle East office in Dubai. The firm has also strengthened its US affordable housing and real estate teams.

Jamal Saab has joined Pretium as md to lead and expand its presence in the Middle East region. He has over 20 years of experience serving investors in the region, having most recently been md and head of Middle East at PineBridge Investments.

Meanwhile, Pretium has recruited Tatiana Gutierrez and Jeannette Arazi as mds in its affordable housing and real estate capital markets teams respectively. These appointments follow the firm’s US$1bn build-to-rent investment in partnership with Crescent Communities.

Based in New York, Gutierrez will be integral to advancing Pretium’s social impact goals, including instituting an array of supportive services for residents of all price points and adding to and preserving low-income rental housing stock. As a real estate attorney at Nixon Peabody for more than 15 years – including the past eight years as a partner – she represented a wide range of for-profit and non-profit developers, syndicators, asset managers, housing authorities and tenant organisations on affordable housing transactions and regulatory issues across the US.

Based in Chicago, Arazi joins Pretium from Sidley Austin, where she worked for the past 22 years, including the last 14 as a partner. Arazi will focus on structuring and executing transactions and strategic financial initiatives across Pretium’s residential real estate platform and portfolios.

Personal finance provider refis
118 118 Money has completed a significant refinancing that included two private securitisations and one corporate asset-backed facility, providing total funding of up to £580m. All three facilities will support the continued growth of the firm as part of its strategy to improve financing options for underbanked near-prime consumers.

The new facilities include a consumer loan facility and a credit card facility, which are supported by the investment banking arm of a UK bank, as well as funds managed by Castlelake and Pollen Street Capital. EY served as sole financial advisor to 118 118 Money.

Structured Finance

Gallatin CLO platform acquired

Sector developments and company hires

Gallatin CLO platform acquired
Aquarian Holdings has launched Aquarian Credit Partners (ACP), a syndicated high-yield credit investment management platform. Aquarian has partnered with Justin Driscoll, Bo Williams and the rest of the Gallatin Loan Management team to form ACP, which has assumed management of Gallatin’s existing CLOs, with more than US$800m of assets under management.

Gallatin has a track record of managing CLOs that spans several cycles and has produced industry-leading returns, having helped raise, structure and manage 15 CLOs representing roughly US$6bn of assets under management since 2000. Driscoll will become chairman of ACP, with Williams serving as head of ACP.

In other news…

CRE JV agreed
Cushman & Wakefield and Greystone have formed a strategic joint venture to deliver best-in-class advisory services and capital solutions to existing, joint and new clients of both firms in the US. Under the terms of the agreement, Cushman & Wakefield will make a strategic investment of US$500m to acquire a 40% stake in Greystone’s agency, FHA and servicing businesses.

Greystone intends to use the capital to create innovative product offerings which will position the company for future expansion. Meanwhile, the investment expands Cushman & Wakefield’s presence in the multifamily sector.

The transaction is anticipated to close in 4Q21, subject to customary closing conditions.