Contents

ABS

Restructurings eyed

Real estate and hospitality assets targeted

Arrow Global’s new corporate restructuring unit in Portugal is expected to focus on the real estate and hospitality sectors (SCI 25 November). The move comes as moratoria in the country draw to an end amid a scarcity of capital for local corporates.

The new business builds on Arrow Global’s experience and capabilities in Portugal through its Whitestar and Norfin servicing and asset management businesses, as well as its broader capabilities across Europe. It will cater to single-name restructuring cases in the region that are currently held up in the banking sector due to complexity - whether in unlikely-to-pay (UTP), non-performing loan (NPL) or bankruptcy situations. Arrow Global will own the dedicated unit, deploying Arrow’s Credit Opportunities Fund capital alongside its institutional clients, as well as being a third-party servicer.

According to Paulo Barradas, chief transaction officer at Norfin: ‘’The pandemic created many challenges for corporates and, at the same time, Portugal has the second highest level of moratoria in the EU after Italy. Moratoria also ended in September, with any remaining ones finishing in December.’’

He continues: ‘’On top of this, there’s a scarcity of capital, so they must rely on banks. We can help with financing and turnarounds, and we have a strong local presence in the country as well.’’  

André Nunes, cio at Whitestar Asset Solutions, notes: ‘’Two sectors that we will primarily focus on are real estate and hospitality. If you look at real estate, you had developers that got burned through the crisis and the exposures are now sitting within investor portfolios. Norfin gives us the ability to take on unfinished assets, refurbish them and extract value from them by selling them as a finished product at a later point in time.’’

He adds: ‘’It’s a similar approach with hospitality. We can repossess assets and add capex or reposition them from a commercial or target market point of view. The latter, however, is difficult with hospitality assets.’’ 

The coronavirus crisis forced the Portuguese government to introduce and then subsequently extend loan moratoria until September 2021. At the close of 2020, €41.5bn of loans remained with unexpired moratoriums, consisting of 45% of mortgages and consumer credit, and 55% of corporate debt, according to Deloitte data.

Portuguese banks were steadily reducing their NPL stocks prior to the pandemic, with the NPL ratio down to 4.9% in December 2020 from a peak of 20% in June 2016. The pandemic is likely to delay efforts to reduce these levels further.

The Portuguese banking system is concentrated largely in five financial institutions: Caixa Geral de Depósitos, Santander, Banco Comercial Português, BPI and Novo Banco. These lenders continued to push forward with their deleveraging agendas and were involved in eight of 10 transactions in 2020.

The majority of these happened in the second half of the year, reflecting the impact of virus containment measures on business activity and market sentiment. Approximately €1.2bn of gross exposures were sold through competitive processes throughout the year.

Looking forward, Deloitte states: ‘’It is expected that banks will continue to bring NPL portfolios to market, as well as sub-performing exposures. We expect a focus on the disposal of mid-sized portfolios, single names and corporate portfolios, and some freshly defaulted granular portfolios.’’

The restructuring unit will be launched in January next year.

Stelios Papadopoulos

Structured Finance

ESG countdown

ECB climate stress tests pending

The ECB’s pending climate stress tests are expected to offer some answers around the data and modelling challenges pertaining to the analysis of climate risks. Indeed, the stress tests could also prove definitive for ESG significant risk transfer issuance, given the presence of the same data challenges.

The two main challenges pertaining to the analysis of climate risks are data and modelling gaps. According to Eduardo Areilza, senior director at Alvarez & Marsal: “One data challenge is figuring out Co2 emissions by firm. The latter might be more straightforward for larger companies, but this can’t be said for SMEs. For smaller firms, you might need to use indexes, and you also must consider what metrics does each firm use for its decarbonisation targets.’’

Another data challenge is when and how transition and physical risks interact. For example, the carbon footprint of real estate collateral will have to be measured and then have that collateral reinsured. Modelling though is perhaps where the paradigm shift will be more acute.

Areilza explains: ‘’All modelling is now based on historical data, but there are clearly no historical and granular data for climate risks. The ECB carried out a stress test in the summer that used a top-down approach, whereby they gathered data from central bank hubs and used it to model PDs and LGDs. It was a starting point.’’

Yet, workable models will likely have to use historical data with ‘what if’ assumptions. Scott Aguais, md and founder of Aguais & Associates, notes: ‘’Climate models are going to have to be mixed in their design. On the one hand, they will require economic input and output models, along with a sector-by-sector impact analysis where historical data are ample. On the other hand, carbon pricing details driving low carbon incentives could be modelled more as a ‘what if’ administered price, such as a carbon tax, and there are of course no historical data for that.’’

Markets will need to wait for the ECB’s new stress tests for more clarity. The latter will target transition and physical risks and begin in 1Q22.

It assesses how extreme weather events would affect banks over the next year, how vulnerable banks are to a sharp increase in the price of carbon emissions over the next three years and how banks would respond to transition scenarios over the next 30 years. Lenders will provide starting points and their own projections under a common scenario and methodology prepared by the ECB. Supervisors will then challenge banks’ starting points and projections.

The stress tests will be important for significant risk transfer transactions as well, since the same data challenges apply to the asset class (SCI 14 July). However, this more general issue features an additional dimension in an SRT context.

Michelle Russell-Dowe, head of securitised products at Schroders Capital, explains: ‘’You must think what kind of transparency you are getting. Is it at the individual exposure or is it sector level or portfolio level default expectations?”

She continues: “We prefer the former, since it’s the obvious way to make exclusions from a portfolio - such as those for brown assets - but it can come at a cost in terms of the available data for the analysis of the underlying default risk. We hope that better quality in terms of granularity won’t require any trade-off or sacrifice of other things. Further engagement here between banks and investors will be crucial.’’  

If climate risk is understood and reflected in capital requirements, it will likely offer a welcome boost to ESG SRT issuance. Robert Bradbury, head of structured credit execution at Alvarez & Marsal, notes: ‘’There aren’t any rules now with any direct impact on SRT trades, but the possibility of a future Pillar Two capital charge will make these transactions more attractive. Additionally, the data issues will at some point have an impact for IRB modelling, since you need multi-year and granular historical data.”

He continues: ‘’So large IRB banks have an incentive to move faster on this than standardised banks, if they want to retain their IRB status. IRB is linked to the ability to model PD and LGD inputs. So, if there are critical data points that are key to defining the performance of a modelled group of assets, banks can’t simply ignore it. More data granularity in this respect is important.’’

Originators can have different scenario buckets for different asset classes. In the past, banks blended asset classes from different backgrounds - even though they arguably performed somewhat differently - to compile a statistically relevant dataset. The implication of recent regulatory announcements is that green assets should not necessarily perform the same as brown assets.

Areilza concurs: ‘’Modelling approaches by banks aren’t broken down by sector, but by size. Covid-19 laid bare the issues with this approach, since clearly some sectors performed worse than others. The same logic applies to climate change.’’

Looking forward, Bradbury concludes: ‘’The direction of the regulation is clear. Putting aside data considerations, from an internal pricing and capital allocation point of view, it can be easier to do a specific ‘green’ SRT than redeploy capital from one asset class to another and we should expect more of these.’’

For more on the ESG securitisation debate, attend SCI's seminar on 2 February.

Stelios Papadopoulos

ABS

GACS pair print

Mixed NPE pool debuts

A pair of Italian non-performing loan securitisations have closed over the past week that are expected to benefit from the GACS government guarantee (see SCI’s Euro ABS/MBS Deal Tracker). UniCredit has completed OLYMPIA SPV, its third GACS ABS and the fourth for the UniCredit Group, under its non-core portfolio disposal programme. Most recently, Iccrea Banca has finalised the first Italian ABS backed by both non-performing loan and lease receivables.

Representing Iccrea Banking Group’s fifth NPL securitisation, the €336.5m BCC NPLs 2021 is a static cash transaction secured by receivables originated by 77 banks (74 belonging to Gruppo Bancario Cooperativo Iccrea, alongside Banca Ifis, Cassa di Risparmio di Asti and Guber Banca) and extended to approximately 7,000 SME, self-employed individual and individual debtors located in Italy. The assets have a gross book value (GBV) of €1.31bn, as of the 30 June 2021 selection date, of which around €164m are receivables derived from real estate financial lease agreements. The gross collections from the selection date until 25 October 2021 amount to approximately €1.8m, representing cash available at closing for the transaction.

The inclusion of lease receivables in the securitised portfolio is positive, according to Monica Curti, senior credit officer at Moody’s - which rated the transaction, alongside ARC Ratings and Scope. “Leased real estate assets have already been repossessed and are ready to be sold on the open market, thus partially offsetting the long recovery timing expected for the loan sub-portfolio. The loan assets have only recently been classified as non-performing loans and, hence, are mainly in the initial phase of the legal proceedings,” she explains.

The transaction envisages the option, upon request of the mezzanine and junior investors, to activate the involvement of a Real Estate Operating Company. Should the ReoCo be activated before October 2023, the special servicer (doValue) may propose the ReoCo's intervention at the auction of real estate properties. The resale of such properties will need to occur within 20 months after the purchase, otherwise the ReoCo will grant an irrevocable mandate to a professional to sell the properties.

The ReoCo can at any time own properties for an amount no higher than €4m. The financing of the ReoCo will be provided by a replenishable funding reserve of €400,000, which represents part of the upfront costs of the transaction financed via a limited recourse loan. The ReoCo funding reserve may be replenished over the life of the transaction via partial retention of the surplus on sold properties and with third-party financing under certain conditions.

The portfolio will be serviced by Italfondiario and doValue in their roles as master and special servicer respectively. Servicing activities will be monitored by the monitoring agent Zenith Service, while Banca Finanziaria Internazionale has been appointed back-up servicer.

Meanwhile, UniCredit’s OLYMPIA SPV transaction is also intended to be recognised as a significant risk transfer, as of 31 December 2021. The deal involves the transfer of a €2.2bn claim amount of an NPL portfolio that comprises both secured and unsecured exposures.

OLYMPIA issued three classes of notes: a €261m senior note, a €26.1m mezzanine note and a €2.9m junior note. The senior note is rated Baa2/BBB/BBB by Moody's, S&P and Scope respectively.

UniCredit has accepted a binding offer to dispose of 95% of the mezzanine and junior notes to another financial institution, while retaining the minimum 5% net economic interest in OLYMPIA in accordance with regulatory requirements.

The transaction was structured by UniCredit Bank as sole arranger. Italfondiario and doValue act respectively as master and special servicer of the securitisation, while Banca Finanziaria Internazionale covers the roles of monitoring agent, calculation agent, representative of noteholders and back-up servicer facilitator.

Corinne Smith

ABS

Winding down

European ABS/MBS market update

The European ABS/MBS primary market appears to have begun winding down for year-end this week. With softening prices, macroeconomic concerns and the upcoming festive season, it seems that participants are already looking ahead to 2022.

“For me the year is already over,” says one ABS/MBS trader. “Most issuers have already come to market and the ABS market is almost or even completely closed – we are just eagerly waiting for 2022.”

Despite such sentiments, there has been some activity this week – for example, two UK RMBS deals printed. Most recently, pre-placed non-conforming RMBS Harbour No.1 priced this afternoon with all tranches coming in below par.

Meanwhile, after having opened its books last Thursday, right before news of the new Omicron variant hit markets, Morgan Stanley managed to price its latest UK BTL RMBS deal from the Tudor Rose programme on Wednesday, 1 December. Pricing for the broadly offered notes ended up either wide or at the wide end of price thoughts. For example, the class As printed at an 82DM versus high-70s IPTs.

However, despite such results, the trader observes: “I don’t think Omicron had a significant impact. Outside of the ABS/MBS spectrum, we did witness a small weakening – equity dropped and credit spreads widened – but the ABS/MBS market is stable and its products are fundamentally solid. The ABS market is also typically more detached from broader credit market developments.”

Instead, the concerns are being directed elsewhere. “At this stage, we are focusing on central banks, as we are anticipating monetary policies to change significantly and be a driver for next year. If central banks start to withdraw, or programmes are renewed through less favourable conditions, spreads should widen. So, we are expecting a much more volatile year,” the trader concludes.

Aside from the abovementioned UK RMBS, three retained prime RMBS and one pre-placed NPL ABS also printed this week, while UK CMBS Highways 2021 was due to do so as well, though no confirmation was received by the time of writing. For more on all of the above deals, see SCI’s Euro ABS/MBS Deal Tracker.

Vincent Nadeau

Structured Finance

SCI Start the Week - 29 November

A review of SCI's latest content

Last week's news and analysis
Advanzia advances
German credit card ABS debuts
Partial placement dropped
Montepio opts for full-stack SRT
Robust fundamentals
Positive outlook for GSE CRT market
SCI forum: The benefits of forward flow structures
Our panel of market practitioners respond to readers' questions
Scores on the doors
Significant shift in scorecard augurs increased CAS/STACR
Slowly widening
European ABS/MBS market update
Spitfire launched
Santander completes capital relief trade
SRT chronicle: part two
In the second of a three-part series on bank risk transfer transaction
US expansion
Tikehau answers SCI's questions

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

Free report to download - US CRT Report 2021: Stepping Up
The US CRT market – as with every other area of society – was tested by the Covid-19 fallout. But the sector arguably finds itself in a stronger position now.
This SCI Special Report tracks the major developments in the US CRT market during the two years since JPMorgan completed its ground-breaking synthetic RMBS in October 2019, culminating in a sea-change in policymaker support for the sector ushered in by the Biden administration.

Recent Premium research to download
Irish & UK Banking Evolution - October 2021
Consolidation among lenders and the proliferation of fintechs is driving change in the Irish and UK banking sectors. This Premium Content article investigates the impact on the jurisdictions’ RMBS markets.

Defining 'Risk-sharing' - October 2021
Most practitioners agree that ‘risk-sharing transactions’ is the most appropriate moniker for capital relief trades, but there remains some divergence around the term. This CRT Premium Content article explores what it means for investors and issuers alike.

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.

SCI Events calendar: 2022
SCI’s 1st Annual ESG Securitisation Seminar
2 February 2022, London
SCI’s 6th Annual Risk Transfer & Synthetics Seminar
April 2022, New York
SCI’s 3rd Annual Middle Market CLO Seminar
June 2022, New York
SCI’s 2nd Annual CLO Special Opportunities Seminar
June 2022, New York
SCI’s 3rd Annual NPL Securitisation Seminar
September 2022, Milan
SCI’s 7th Capital Relief Trades Seminar
October 2022, London

Capital Relief Trades

Ramp-up continues

Barclays completes capital relief trade

Barclays has finalised a US$90m synthetic securitisation that references a global corporate portfolio. Dubbed Colonnade Global 2021-4, the transaction adds further impetus to the Colonnade programme, following the integration of commercial real estate pools this year for both size and granularity purposes (see SCI’s capital relief trades database).

Colonnade is a programmatic platform offering a high level of consistency across all transactions, both in terms of documentation and portfolio construction. One of the key features of all deals is that they are bilateral, with the aim of building strong long-term relationships with investors.

Barclays launched the programme in 2016 to replace CDS structures with the financial guarantee format. The drivers of the programme are to secure both capital savings and risk protection, as well as mitigate IFRS 9 impairment volatility.

The mitigation of IFRS 9 volatility works better for fully funded first loss tranches attaching at 0%, as opposed to mezzanine or unfunded tranches, given counterparty risk. Another driver is stress test mitigation, since banks can model losses, as well as factor in associated hedges.

However, despite their consistency, Colonnade deals have undergone some changes following the coronavirus crisis, as evidenced by shorter replenishment periods and higher pricing. However, since December 2020, replenishment periods have expanded back to the typical three-year period and pricing is now closer to pre-Covid levels.

Stelios Papadopoulos

Capital Relief Trades

Mespil refinanced

BOI completes leveraged loan CRT

Bank of Ireland has finalised a synthetic securitisation that references a US$2.85bn portfolio comprising nearly 200 US and European leveraged loan borrowers. Dubbed Mespil Securities 2021-1, the transaction is a refinancing of an existing deal from the programme that was executed four years ago (SCI 29 November 2017).

The capital relief trade consists of US$199.5m class A notes and US$256.5m class B notes (which priced at SOFR plus 10%). The class A notes feature a US$70m unfunded portion and a US$129.5m funded portion (which priced at SOFR plus 5%).

The tranches amortise on a pro-rata basis. Further features include an 18-month revolving period and a portfolio WAL that is equal to approximately three years. Additionally, the transaction benefits from synthetic excess spread and a retained first loss tranche that are both 0.5%.  

The deal will improve the Irish bank’s pro-forma June 2021 CET1 capital ratios by around 40bp and forms part of a range of balance sheet optimisation initiatives it is undertaking.

The latest ticket from the Mespil programme coincides with a pick-up in the issuance of significant risk transfer transactions referencing leveraged loan exposures. Indeed, Credit Suisse and JPMorgan have deals in the pipeline and follow previous ones this year issued by NatWest and Bank of Montreal (see SCI’s capital relief trades database).  

Stelios Papadopoulos

Capital Relief Trades

SRT chronicle: part three

In the final instalment of a three-part series on bank risk transfer transactions, Olivier Renault* explores the outlook for the market in 2022 and beyond

We have seen in part one of this series how far the SRT sector has developed in the past 10 years from a niche market with 10-12 transactions issued a year to a much larger and more diversified market. Barring a material downturn in the credit cycle, the SRT market should continue to enjoy strong growth in the next few years.

Supply could easily double in a five- to seven-year horizon on the back of several key drivers. These drivers include:

1. Greater adoption by banks: As more and more banks acquire the technology, supply should mechanically increase. The first transaction for a bank takes a year to execute and requires significant time and cash investment to complete, as it involves multiple teams at the bank (portfolio management, risk, legal, IT, accounting, capital, etc), as well as its regulator.

Once this sunk cost is spent, the bank is incentivised to continue issuing and to roll out the technology across asset classes and jurisdictions. As shown in Figure 2 (see part one), around 55 banks have executed SRT transactions with private investors and many more have done bilateral guarantees with the EIF, which require much of the same upfront work. This will provide a strong basis for growth as a greater pool of banks applies SRT to a variety of portfolios.

2. STS: As shown in Box A (see part one), the STS framework is a game-changer for standardised banks and many of them will realise that SRT can now be executed in a cost-efficient manner. It is already very clear that this trend started as soon as the STS rules were published in EU law and supply from standardised banks will increase significantly in the coming years (mainly in Southern and Central Europe). The full extent of the impact of the STS classification on supply should be visible in the next 2-3 years.

3. Geographical diversification: We are just at the beginning of the roll-out of SRT hedges in the US, with most of the large US banks still not active but looking at their peers in the context of the binding Collins floor⁵. The top five US banks hold US$2trn in wholesale loans. If they were to securitise 10% of this, it would create an additional circa US$25bn of tranches versus a current stock of circa US$35bn. An increase in supply in Canada, Japan and new jurisdictions (emerging markets) is also likely, based on many conversations investors and arrangers have had with potential issuers.

4. More than RWA relief: While most transactions are driven by the desire to free up RWAs, a number of SRT transactions are executed for other reasons, either as the main driver for the transaction or as a significant motivation.

New accounting rules (IFRS 9 provisioning and CECL in the US) can allow banks to release provisions, either at the inception of the hedge or if/when loans deteriorate in the reference portfolio. This provides banks with a P&L offset to losses arising from increasing provisioning and has been a key motivation for a few recent transactions referencing deteriorated (Stage 2) credits.

Tranche hedges were often ignored by risk departments, as it can be hard to allocate the benefit of a partial hedge to specific credits (if the bank hedges a 0%-10% tranche, should the risk team grant full credit limit on the portfolio, 90% limit release or 100% on the 10% riskiest names?). But increased recognition of their efficiency and the need to better align economic and regulatory capital have pushed risk departments to increasingly accept credit limit relief for tranche hedges, which provides further impetus for issuance.

As these additional benefits are better understood and recognised, the attractiveness of SRT transactions for banks will grow and consequently so will the number of transactions.

Basel 4 has often been touted as a potential catalyst for growth in the market, but the group of measures encompassing Basel 4 can have mixed impact on the efficiency of the SRT market. On the positive side, risk weights of many asset classes are likely to go up - in particular, for assets with low default rates, for which banks may no longer be able to use their own LGD estimates. This is positive for SRT, as banks would free up more RWAs for the same cost, so the cost of freeing up capital would be even cheaper than it is currently.

However, the overall risk weight floor could be more problematic (see Box C). Banks will be required to calculate their capital requirements under both the standardised and the IRB approaches, with the IRB requirements being floored at a certain percentage of standardised capital.

Because the formula to calculate risk weights on senior tranches of standardised portfolios (SEC-SA) is so much more punitive than that for IRB portfolios (SEC-IRBA), an efficient transaction under the IRB approach may bring little or no benefit once the standardised floor is applied. It is still a point of negotiation between the industry and local rule-makers (e.g. the EU) as to how precisely the Basel 4 floor will be applied to SRT transactions. But the initial proposal could be a significant hindrance to issuance - in particular, for non-STS transactions where the gap between SEC-SA and SEC-IRBA is greatest.

Conclusion
The SRT market is now a mature market, with banks, investors and regulators comfortable about its resilience and usefulness. The product is part of the capital toolkit of many banks as AT1 bonds or other well established capital instruments. This market still has considerable room for expansion, as only 50-60 banks have yet adopted the technology globally, and market and regulatory tailwinds should push many more to follow suit while existing issuers continue to apply SRT hedges to more asset classes and in a greater number of jurisdictions.
 

Notes

1. See SCI article on Collins Floor, published on 22 March 2020

*Olivier is md and head of risk sharing strategy at Pemberton Asset Management

RMBS

Enhanced value

Securent president Justin Vedder and SitusAMC ceo Michael Franco answer SCI's questions

Q: Securent is a newly formed SitusAMC entity that provides comprehensive risk management and insurance programmes for MBS and mortgage stakeholders (SCI 18 November). Tell us about your vision for the company.
JV: Securent is designed for mortgage lenders, investors, RMBS issuers, warehouse lenders and other market participants. Securent takes a proactive and preventive approach to managing loan risk and pricing it appropriately.

We offer loan defect insurance (LDI), mortgage application fraud insurance and are expanding to offer RMBS pool defect insurance and mortgage servicing rights (MSR) loan defect insurance policies. We offer portable insurance that protects against manufacturing defects, such as miscalculation of income, data corruption, fraud, misrepresentation, appraisal errors and guideline and compliance-related violations.  

MF: This is something that we have contemplated for over five years at SitusAMC. As the leading third-party review firm in the private label securitisation space and a leading provider of valuation services on residential mortgage assets (MSRs and whole loans), being able to offer risk management and loan insurance programmes was a natural extension of our existing offerings.

JV: The launch of Securent is only the first of many steps toward creating a more efficient and profitable origination, purchase and securitisation process for agency and non-agency market participants.

Q: How will the company mitigate MBS risk?
JV: Our goal is to be able to offer an insurance product in the MBS space; however, we’re still working through the various stakeholders, issuers, ratings agencies and review firms on how best to structure our offering. Where we see major benefits is in both establishing a more consistent representations and warranty framework across issuers and shifting the daisy-chain of potential claims on conduit transactions - securitisation to issuer, to loan originator, to a single party with proven claim payment history.

Q: What makes this product unique?
JV: The innovation is in the combination of Securent’s proprietary insurance model and technology, and SitusAMC’s platform, and is something that the industry has not previously seen or experienced. When humans are handling loan files, finding errors occurs by performing quality control on the loan after origination.

Securent combines a unique insurance model and leverages SitusAMC’s dynamic technology tools in a powerful, seamless solution that offers end-to-end risk management for loan manufacturing. We drive increased efficiency, better accuracy and cost-effectiveness in our review process.

We believe our unique product offering and process increases the value of residential mortgage loans, as it brings consistency to the origination and evaluation process and drives surety through comprehensive insurance programmes backed by a proprietary risk-rating model and London single-A rated insurance carriers. 

In addition to our model, technology and deep expertise in the space, our approach to how we serve clients and market segments is also unique. We create custom-tailored policies for clients based on their assets and risk profiles. We also bring flexibility to the table, giving our clients coverage optionality ranging from their entire book of business down to specific pools.

Q: What is in the pipeline for 2022?
JV: We just launched and have already seen strong demand in the market from existing SitusAMC clients, as well as potential new relationships. This includes a strong pipeline of both small and large mortgage bankers and loan purchasers with orientations in non-GSE and GSE execution strategies.

MF: We have a lot in the pipeline for 2022 across our business. We’ve got plans to announce multiple new service business lines that we’ve been incubating internally and releasing several new technologies that we’ve been building and enhancing over the last several years. These offerings will significantly expand our footprint in both the services and technology space.

Q: SitusAMC recently expanded its workforce by 1,500 employees globally (SCI 2 November). Can you talk us through the drivers behind this?
MF: With mortgage production skyrocketing in 2020, the real estate finance industry faced shortages in due diligence capacity - especially in the secondary market, where billions of dollars in private-label mortgage portfolios heading for securitisation are awaiting review, with months-long wait times in some cases. To best support demand in the market for our third-party review services, we ramped up hiring to beef up our capacity and support our clients’ needs and enable a broader pool of market participants to leverage SitusAMC’s solutions, including the review of mortgage portfolios for rated securitisation transactions or for acquisition of loans into investment portfolios. While this sounds like a lot to do in one year, as mentioned above, it’s been only one of many initiatives that we’ve been working on during 2021 in order to best serve our clients and the end markets.

Angela Sharda

Structured Finance

BWIC workgroup formed

Sector developments and company hires

Mortgage Industry Standards Maintenance Organization (MISMO) has formed a BWIC data development workgroup, with the aim of standardising the BWIC format to facilitate accuracy, liquidity and rapid pricing for MBS transactions. The initiative focuses on creating a standard format for MBS sellers to present BWIC data to security dealer desks. The workgroup intends to address the growing number of MBS transactions and the challenges that dealers have of keeping up with increased demand.

In other news…

North America

Horseshoe has recruited Ben Wright as senior vp of Insurance Management for the Bermuda-based ILS specialist. Wright will lead the Artex-owned firm’s client servicing efforts in Bermuda, and is joining from EY in Bermuda - where he worked for over 10 years gaining expertise in asset management, ILS and insurance or reinsurance management.

Vida Capital has announced the appointment of Zachary Ainsberg as new md and chief of staff. With over a decade of investment management and business development experience, Ainsberg will join from Sculptor Capital Management where he most recently worked in corporate strategy. He will join the alternative investment manager’s New York office, and report to new president and ceo, Blair Wallace, where he will work to build on the firm’s strategic projects and growth initiatives.

Structured Finance

RFC issued on ABS tax policies

Sector developments and company hires

RFC issued on ABS tax policies
HMRC is seeking feedback on two draft statutory instruments: the Taxation of Securitisation Companies (Amendment) Regulations 2022 and the Securitisation Companies and Qualifying Transformer Vehicles (Exemption from Stamp Duties) Regulations 2022. The UK government consulted on making changes to clarify or reform certain aspects of the taxation of securitisation companies and the stamp duty loan capital exemption as it applies to securitisations and to ILS (SCI 29 October).

This latest technical consultation aims to gather feedback from stakeholders on the drafting of the statutory instruments to ensure they deliver the policy correctly and effectively. The consultation closes on 10 January.

In other news…

EMEA
Hogan Lovells has expanded its international debt capital markets division in Frankfurt, with the hire of Johannes Rothmund as counsel. He most recently worked as general counsel at CORESTATE Bank and will move to Hogan Lovells on 1 January 2022. Rothmund’s advisory activities focus on derivatives and securitisations of trade, credit and leasing receivables.

Olivier Renault has joined Pemberton Asset Management as md, head of risk sharing strategy, based in London. Renault was previously global co-head of FIG solutions at Citi, which he rejoined in April 2015 from StormHarbour Securities, where he was head of structuring and advisory. Before that, he was a director, global structured credit products at Citi and associate director at S&P Risk Solutions.

Structured Finance

Bosphorus CLOs transferred

Sector developments and company hires

Bosphorus CLOs transferred

Cross Ocean Adviser, an affiliate of Cross Ocean Partners Management, has assumed collateral management of the Bosphorus CLO IV, Bosphorus CLO V and Bosphorus CLO VI transactions from Commerzbank. Moody's has confirmed that the move will not impact its current ratings assigned to the affected notes. Under the terms of the associated novation, termination and amendment and restatement deeds, all of the rights, duties and obligations as collateral manager under the transaction documents will be transferred from the original collateral manager to the successor collateral manager.

In other news…

EMEA

AXA IM has launched a Regulatory Capital Fund called Partner Capital Solutions VIII. The Fund has raised around €1.2bn and has been met with positive demand from institutional investors across Europe. AXA IM has a more than 20-year track record in Regulatory Capital Solutions, with seven generations of funds and manages several billions in assets under management across its Regulatory Capital platform, on behalf of global institutional investors. AXA IM Structured Finance manages over €54bn in global assets across the non-traditional credit spectrum.

WhiteStar Asset Management has announced the launch of its European CLO business – WhiteStar Europe. Brian McNamara and Conor Powell will join the WhiteStar team from McKay Shields Europe Investment Management to launch the new European CLO business. The two firms will work in collaboration as WhiteStar Europe assumes the investment management of McKay Shields’ €560m in European CLOs. An eight-person team is projected to be created across Dublin and London to ease the transition.

North America

Sycamore Tree Capital Partners has announced leadership roles on its debut US CLO. The asset management firm’s inaguaral transaction, STCP CLO 1, will be co-managed by Sycamore Tree md’s, Scott Farrell and Paul Travers. The pair will bring several decades of joint experience in CLO management to the US$403.3m CLO.