Contents

Capital Relief Trades

Risk transfer boost

Barclays tops annual SRT issuance

Barclays has finalized twelve significant risk transfer transactions from the Colonnade programme last year which all total US$1.6bn in equity tranche notional. The number of deals renders Barclays the most active SRT originator of 2021 as capital relief trades continue their post-Covid surge.

According to Frank Benhamou, head of funding and capital solutions at Barclays, ‘’SRT transactions help us improve our return on equity and capital velocity as well as mitigate impairments. Market conditions were particularly attractive last year both in terms of pricing and investor demand.’’

Colonnade is a programmatic platform offering a high level of consistency across all transactions in terms of both 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.

‘’The bilateral format helps us develop strong relationships with investors and it works very well in case we need to amend the deals as happened in the case of Brexit and the Libor transition’’ remarks Benhamou.

The drivers of the programme include capital savings and the mitigation of 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.

Fitch referred to the lender’s routine use of risk transfer technology in July 2021 as one factor behind the revision of the Issuer Default Rating (IDR) from negative to stable.

According to the rating agency’s press release, as stage three losses pick up following the retrenchment of government support, the bank’s unsecured consumer loan book and Covid sensitive sectors such as oil and gas and leisure are expected to be affected.

Nevertheless, ‘’we believe the deterioration will be manageable, reflecting the improved economic outlook and the group's conservative underwriting standards in domestic mortgages and corporate lending, including the routine use of risk transfer deals to help mitigate losses’’ says Fitch.

Another milestone from last year was the addition of commercial real estate loans for both size and granularity purposes.

Benhamou concludes: ‘’Commercial real estate was well received by investors. The pool of a typical CRE deal generally features forty names and consists of relatively large exposures. What we do unlike others is mix them with corporates since in that way we can maintain low concentration limits. Investors can therefore take a portfolio approach where they can look at our lending practises in the sector rather than carry out an asset level analysis.’’

Stelios Papadopoulos

Capital Relief Trades

Sea sick CRT

GSE CRT investments punished by January blues

The GSE CRT market provided only a very thin positive return in January as inflationary pressures build and the yield curve moves into bear flattening mode.

The CRTx, the flagship index of Charlotte, NC-based consultancy Mark Fontanilla & Co, provided only a 6bp return last month, according to data released at the beginning of this week.

“It was the worse monthly returns for CRT since March of 2021. With the latest higher/bear-flatter curve and increased volatility impacting financial markets and overall fixed income credit spreads, CRT may continue to feel near term pressure,” Fontanilla told SCI.

While the overall CRT market nudged into positive territory, some sectors dived into the red. Newer B classes were hit the hardest while seasoned issues performed better. Credit risk remains moderated by higher home prices.

Despite the weak performance, CRT investments still out-performed corporate credit, stocks and rates.

The index also shows the impact of new issuance, which shows no sign of slackening. The February 2022 starting basket market value has increased 3.7% from January 1 to $49.5 billion, the highest since the March 2020 pre-Covidbasket.

Fannie Mae sold CAS 2022-R01 and Freddie Mac sold STACR 2022-DNA1 in January, adding add $2.9bn and nine new constituents to the index.

Simon Boughey

Capital Relief Trades

Climate stress tests launched

ECB releases climate scenarios

The European Central Bank (ECB) has launched its climate risk stress test to assess the financial and economic impact of climate change for bank balance sheets. The recent disclosures offer some clarity around the physical risks of climate change, but questions around transition risks persist.

According to the ECB press release: ‘’this test is a learning exercise for banks and supervisors alike. It aims to identify vulnerabilities, best practices and challenges banks face when managing climate-related risk. Importantly, this is not a pass or fail exercise, nor does it have direct implications for banks’ capital levels.''

The test consists of a questionnaire on banks’ climate stress test capabilities, a peer benchmark analysis to assess the sustainability of banks’ business models and their exposure to emission-intensive companies, as well as a bottom-up stress test. Smaller banks won’t be asked to provide their own stress test projections for proportionality purposes.

The exercise targets specific asset classes exposed to climate risk rather than banks’ overall balance sheets. It focuses on exposures and income sources that are most vulnerable to climate risk, combining traditional loss projections with new qualitative data collections.

The macro-financial scenarios of the test reflect possible future climate policies and assess both physical risks, such as heat, droughts, and floods, as well as short and long-term risks stemming from the transition to a greener economy.

Eduardo Areilza, senior director at Alvarez and Marsal notes: ‘’you can’t do any calculations without the scenarios and the ECB has finally released them, but it would’ve been better if they had done so during 4Q20 since banks have only 50 days to run the scenarios.’’

Banks will submit the first cycle of results at the end of March and the supervisor will then provide feedback. Aggregate results will be published in July.

The latest release doesn’t make it clear whether the models should be historical or not, other than provide variables and break down the time horizon between a short and long-term one (SCI 3 December 2021). The key variables for transition risks are credit spreads, GDP, carbon prices and CO2 emissions and here there are issues.

Areilza explains: ‘’If you look at the impact of climate transition risks for credit spreads, the only sector that’s really stressed is mining and the link between scenarios and spreads is tricky. GDP is another factor, but it hasn’t been broken down by sectors while gauging the impact of carbon price increases is a big challenge since you must look at the impact for your book on a loan-by-loan basis. Here you might have to use sectoral benchmarking approaches.’’

Nevertheless, gauging the impact of physical risks might be somewhat more straightforward. ‘’The ECB has broken this down by regions. So, banks need to just cross reference what they have in their loan book with what the ECB provides and see whether their exposures are in high or low risk regions’’ states Areilza.

He continues: ‘’for floods central Europe and the areas near the Danube River will be affected the most, so German banks will face issues. Similar with Ireland given its coastal nature as well as Greece, Italy, and Spain. For droughts and heat waves, construction, and real estate as well as agriculture will be a key focus, with Southern European countries affected the most.’’

The exercise will have no direct impact on bank capital requirements. However, the results will feed into the Supervisory Review and Evaluation Process (SREP) in the sense that it could indirectly impact Pillar two requirements through SREP scores. 

Structured Finance

SCI Start the Week - 31 January

A review of SCI's latest content

Last week's news and analysis
Electric avenue
Electric cars aren't as green as they seem
Inflection Point?
European ABS/MBS market update
Multi-family moves
SitusAMC Insights speaks up on the US multi-family market
Remarkable restructuring
Re-tranched NPL ABS set to benefit from GACS
Risk limits
US corporate SRT issuance to remain constrained
SME uplift
Further details on Banco BPM SRT revealed
Trigger concerns
EBA complicates CRT thickness requirements

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

SCI CLO Markets
CLO Markets is SCI’s new service providing deal-focused information on the global primary and secondary CLO markets. It offers intra-day updates and searchable deal databases alongside BWIC pricing and commentary. Please email Jamie Harper at SCI for more information or to set up a free trial here.

CRT Training
SCI offers a Capital Relief Trades training course, providing complete, deep-dive intelligence on the CRT sector. Aimed at new market entrants, this is a fast track opportunity to get the intelligence you need on the Risk Sharing sector. The course will take place on the 8-9 March 2022, and will be held online.

To find out more about the course, the people who will be leading the training and to download a brochure, please click here or to book click here. If you’d like to discuss any aspect of this course please email David McGuinness at SCI here.

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
16 March 2022, London

SCI’s 6th Annual Risk Transfer & Synthetics Seminar
27 April 2022, New York

SCI’s 3rd Annual Middle Market CLO Seminar
June 2022, New York

SCI’s 4th Annual NPL Securitisation Seminar
September 2022, Milan

SCI’s 8th Annual Capital Relief Trades Seminar
October 2022, London

Capital Relief Trades

Fannie surge

Second CAS of 2022 in the market

Fannie Mae is in the market with its second CRT trade of the year - a $1.24bn transaction designated CAS 2022-R02.

The deal should price in the next day or two.

Its inaugural 2022 CAS deal printed less than three weeks ago. That was a low LTV deal, but the deal now before investors is a high LTV deal in which all loans have an LTV in excess of 80% but no greater than 97%.

Fannie Mae is expected to have a prolific presence in the CRT market this year as it makes up for an 18-month absence from the market

The lead managers are Morgan Stanley and Nomura, while the co-leads are Bank of America, Citi, StoneX and Wells Fargo.

There are four tranches to the transaction - the M1-2, M2-2, the B1-2 and the B2-2, with credit ratings from BBB to B.

The reference pool consists of 149,333 residential mortgages, the bulk of which are 30-year loans, and the outstanding balance is $44.3bn. The retained amount is just over $43bn. Scheduled maturity is 20 years

Borrowers in the pool have a weighted average LTV of 91.4%, a WA credit score of 748 and a debt-to-income (DTI) ratio of 35.9%. The loan acquisition period was January 1 to April 30 2021.

Average loan balance is $295,387, maximum loan balance is $1.03m and minimum is $5,850. Single family homes constitute 88% of the mortgages.

Considerable geographic diversity is represented in the deal. No state has more than 14.7% of the loans. The three biggest are California (14.7%), Texas (7.8%) and Florida (7.8%).

Simon Boughey
 

Capital Relief Trades

Fannie CAS prices

New high LTV CAS, second CAS of 2022, prints

Fannie Mae has priced the $1.2m CAS 2022-RO2, reported to be in the market on Monday.

The transaction consists of four tranches. The $357.5m 2M-1, rated BBB/BBB, has priced at 1m SOFR plus 120bp. The $378.5m 2M-2, rated BB/BBB-, has priced at 1m SOFR plus 300bp, the $273.4m 2B-1 has priced at 1m SOFR plus 450bp while the unrated/B rated $231.4m 2B-2 has priced at 1m SOFR plus 765bp.

Morgan Stanley is lead and Nomura is co-lead.

The deal transfers risk on a pool of 149,000 single family loans with an outstanding unpaid principal balance of nearly $44bn. This is a high LTV deal, with LTVs of between 80% and 97%.

Fannie Mae has now issued 46 CAS deals since the programme’s inception in 2013 with a face value of $52bn, transferring risk on a little south of $1.8trn in single family loans.

The GSE is expected to be especially busy in the CRT market this year as it makes up for a self-imposed isolation from the market between Q1 2020 and Q3 2021.

Moreover, the new regime at the FHFA looks favourably upon the CRT mechanism and expects the GSEs to lean heavily upon it as the credit box is widened to accommodate the new affordability mandate.

Simon Boughey

Capital Relief Trades

Freddie fever

Freddie in the market with 2nd STACR of 2022, 4th GSE CRT deal

The frenetic start to the new year in the GSE market shows no sign of abating as news spread today that Freddie Mac is in the market with a new STACR deal.

The $1.92bn trade, designated  STACR DNA 2022-2, is Freddie’s second of 2022 and comes in the same week as Fannie Mae’s CAS 2022-R02. The latter was also Fannie Mae’s second CRT deal of the year.

This new trade is a low LTV transaction, referencing nearly 144,000 single family loans with LTVs between 60% and 80%. The outstanding unpaid principal is approximately $44bn, and the loans were acquired in August 2021.

Higher attachment points are now the norm for Freddie Mac STACR deals, and this new transaction includes a split M-1 tranche and an M-2 tranche, both of which receive investment grade ratings. In addition, there are BB-rated B-1 B-rated B-2 tranches.

The weighted average (WA) LTV is 74.5%, a WA FICO score of 748 and a WA debt to income ratio of 35%.

This deal exhibits considerable geographic diversity, with California providing 17.3% of loans, Texas and Florida 7.3% each and Colorado and Arizona 3.9% each. This is a typical feature of CRT deals, but it is seen less obviously in jumbo RMBS transactions.

Simon Boughey

Capital Relief Trades

Risk transfer round up-4 February

CRT sector developments and deal news

Helaba and Bayern LB are each believed to be readying significant risk transfer transactions for this year. LBBW became the first Landesbank last year to execute an SRT. The latter was finalized in June 2021 (SCI 22 June 2021).

Stelios Papadopoulos 

Capital Relief Trades

STS SRT finalized

BNP Paribas completes synthetic ABS

BNP Paribas has executed two significant risk transfer transactions from the Resonance programme that together reference a €10bn global corporate portfolio (SCI 6 October 2021). The first transaction was executed with PGGM and Alecta and is the first STS synthetic securitisation from the Resonance programme.

‘’We feel strongly that this market is more robust with an STS label, which is important for the long-term stability of the asset class and will help us support the real economy going forward’’ says Angelique Pieterse, Senior Investment Manager at PGGM.

She continues: ‘’It’s also good for new entrants who come to familiarize themselves with high quality transaction standards including deal analysis, servicing, and risk retention. It’s just good practice.’’

PGGM has been growing its credit risk sharing portfolio for its client PFZW since late 2006. Indeed, allocations to the strategy currently stand at €5bn.

The total hedged exposure for both deals is equal to €510m. The first trade with PGGM and Alecta is backed by an €8bn portfolio while the second one is sized at €2bn.

BNP Paribas ran a competitive process which along with the static nature of the portfolio among other factors drove down the pricing to very tight levels.     

Stelios Papadopoulos 

RMBS

MBS meltdown

Fed ends MBS purchases, will reduce portfolio

MBS yields have risen 15bp since the beginning of the year and are set to rise at least another 15bp and probably more, say market analysts.

Mortgage securities have been buffeted by a combination of inflationary pressures and the rapidly attenuating Fed MBS purchase programme.

Things could also turn a lot worse if the Fed decides to hike rates more often and to run down its MBS portfolio more vigorously than expected. 

“The last time we went through quantitative tightening was in 2018/19, but the added risk this time is that you have a more aggressive Fed which is also hiking rates. This would affect the bank demand outlook too, and this dual combination is where the risks are today. We could have a very swift technical turn,” says Satish Mansukhani, chief mortgage-backed securities strategist at Bank of America.

Current coupon MBS yields are 15bp wider than the interpolated five year/10 year Treasury curve than they were on January 1, but have been as much as 20bp wider.

Three inter-related factors are driving yields higher. Firstly, MBS are suffering, as all fixed income securities are, thanks to surging inflation and the likelihood of higher rates.

“We’re in a bear flattener, which is no good for anyone. The curve is moving up, but led by the front end,” says a mortgage market analyst.

Front end securities are more sensitive to interest rate rises than medium and long term notes, but all sell off as rates move higher.

However, there are other influences which specifically affect MBS. The Fed taper is due to end in March, taking the Fed bid out of the market. The Fed began purchasing $40bn of MBS every month alongside $80bn on Treasuries in an effort to stimulate the markets and reduce yields as Covid 19 hit the markets. This is coming to an end.

The Fed now holds about in $2.7trn in MBS, double what it held pre-pandemic. It has said that it intends to have a Treasury-only portfolio and will accomplish this by reducing “securities holdings over time in a predictable manner by adjusting the amounts reinvested of principal payments received from securities.”

As Mansukhani notes, “The Fed wants portfolio reduction to be orderly and predictable and running in the background.”

In other words, it will simply wait for securities to mature. However, if inflationary pressures continue to build the Fed may be compelled to take more drastic action. In this case, it will not only cease buying MBS but start selling as well. The Fed bid would be replaced by the Fed offer in quick order, pulling down MBS prices even further.

Finally, US banks invested heavily in MBS in the early days of the pandemic as retail and corporate deposits grew significantly. Bank of America, for example, had over $0.5trn of MBS on its books at the end of 2021, it was reported this week.

As interest rates rise, there will be more attractive investment options than MBS, and banks will be tempted to sell MBS and reinvest the proceeds elsewhere. This will put further upward pressure on yields.

All this feeds through to Main Street USA. Following the FOMC meeting and press conference last week on January 26, most lenders increased rates by 6bp. As MBS yields rise, so mortgage rates will rise also.

In time, this should also mean less MBS supply. Higher rates will mean fewer loans and less refinancing and thus fewer MBS bonds.

But that is some way distant. At the moment, the chief concern is rising MBS yields and the prospect of more to come. “The taper ends in March. The next FOMC after that is May. This gives the market two months to assess what is likely to happen next,” says Mansukhani.

Simon Boughey

Structured Finance

Positive outlook

Tapan Jain, portfolio manager at Hildene Capital, shares his views on the CLO market

2021 proved to be a banner year for the CLO market, from a returns perspective and also through the lens of the market’s “maturity”. Relentless issuance was met by strong demand that pushed the total market size through $1trn. CLOs are now the largest asset class within the securitised products space and have firmly moved out the realm of specialists and into the mainstream investor universe.

The outlook for CLOs in 2022 remains positive across the capital structure albeit with lower beta upside than 2021. Some new developments – both fundamental and technical, will likely come into play, which should provide opportunities for alpha generation and execution of structural options.

At Hildene, when it comes to structured credit investments, the process revolves around three key pillars.

The value of the assets: with respect to the broader leveraged loan universe that represents the CLO universe’s asset base, CLOs stand to benefit from the strong economic backdrop and healthy credit fundamentals: leverage remains lower than post-GFC averages and interest coverage ratios are sustainable for most credits. Idiosyncratic credit impairments do remain a risk, particularly for those companies that are less able to pass rising input costs on to their customers. Highly levered companies that rely more heavily on floating rate debt may face difficulty in absorbing increased debt servicing costs as the Fed begins to hike rates without meaningful spread tightening. Broadly speaking, leverage loan borrowers remain healthy and the outlook for assets in CLO portfolios remain positive. Lastly, restructured and reorganised equity holdings in CLOs have continued to rally as energy and reopening companies specifically continue to outperform broader markets.

The value of the structure is another key pillar. Structural features unique to CLOs should similarly serve as meaningful performance drivers for the year ahead. A crucially important structural component of CLOs is the active management of the vehicle – for CLO investors, manager selection is a key part of the investment process. For CLO equity in particular, active management of CLOs is what creates an investment that is simultaneously long carry and volatility – and this is especially relevant in an environment in which idiosyncratic defaults and rate-driven volatility are likely to increase.

Beyond active management, other structural features will play a role in performance as well. For instance, there are numerous deals outstanding that took impairments through the pandemic and are currently, or close to, trapping cash and deleveraging. These features – while an important component of the asset class – are not always identified properly and can provide valuable trading opportunities.

The last pillar is the value of the options - optionality in CLO equity is often the most mis-priced component of the asset class, and there are still opportunities in the market to derive outperformance and generate value here. For one, the demand for floating-rate paper should increase as the Fed raises rates, driving CLO debt spreads tighter and bringing refi or reset options further into the money. Similarly, demand for floating-rate loans and monetisation of reorganised equity by managers should take equity NAVs higher, pushing call options further into the money as well. Finally, re-issuing or resetting deals is an attractive option to execute in order to monetise reorg equity that may not be fully priced, while reducing cost of financing in a rate rising, spread tightening environment.

CLO structures demonstrated their versatility and protective covenants through the pandemic in 2020, and saw solid outperformance through 2021 on the back of lower defaults. As the market continues to gain legitimacy and investors continue to enter the space, we are optimistic that the asset class is poised to experience another strong year for astute investors. 

Structured Finance

Maltese SME guarantee inked

Sector developments and company hires

Bank of Valletta and the EIB Group have renewed their partnership to support the business needs of SMEs in Malta. Under this new agreement, the bank will provide an additional €28m to Maltese SMEs on favourable terms and with long tenors over the next two years.

The favourable conditions on the loans are achieved through risk transfer, implemented by combining funds managed at the national level with resources from the EU programme and EIB Group resources. The agreement involves an uncapped guarantee operation on a portfolio of new loans to be originated by Bank of Valletta, using these funds to cover first losses on the portfolio.

The agreement is supported by the EU’s SME Initiative, which is based on EU Structural and Investment Funds (ESIF) made available by the government of Malta and implemented in combination with funds from the H2020 programme as well as the EIF’s own resources.

In other news…

EMEA

EdenTree Investment Management has announced the launch of two new sustainable investment funds - the EdenTree Green Future Fund (GFF) and the EdenTree Global Impact Bond (GIB). The GFF will be led by EdenTree’s cio, Charlie Thomas, and fund manager, Tom Fitzgerald, which will enable investors to position their portfolios to help build upon the opportunities of the transition to a more sustainable economy. The GIB fund will focus on using responsible, sustainable, and ethical fixed income instruments, and will be co-managed by senior fund manager, David Katimbo-Mugwanya, and fund manager, Michael Sheehan. This second fund will invest in fixed interest securities issued by firms, seeking to have a positive impact through socially and environmentally sustainable practices.

Hayfin has appointed Marc Chowrimootoo as md and portfolio manager within its private credit business as the firm beefs up its private credit investment team. Chowrimootoo brings extensive experience to the leveraged finance business, joining the firm from Goldman Sachs where he also served as md on its leveraged finance team in Paris and led its European credit finance expansion. Chowrimootoo will be a part of the private credit team based in London, and will work alongside Hayfin’s other local investment teams across Europe.

North America

Powell Eddins has joined Credit Suisse’s CLO trading team as vp and desk strategist, based in New York. He was previously vp, CLO and ABS research at Wells Fargo, which he joined in June 2016.

Structured Finance

Team expansion

Sector developments and company hires

Apollo has beefed up its Asia Pacific business, with the addition of Anthony Hermann as a partner and head of Asia Pacific credit, based in Sydney. Together with fellow new hires mds Vidyasagar Pulavarti and Julian Longstaff, he will be responsible for building and expanding the firm’s yield business across the APAC region.

Hermann was previously executive general manager, global markets and institutional banking at Commonwealth Bank, and before that worked at JPMorgan – including within the firm’s New York securitised products group. Pulavarti and Longstaff were also formerly at Commonwealth Bank, employed as head of credit portfolio management and head of global capital markets respectively. Prior to Commonwealth Bank, the former worked at a number of investment banks – including Citi and JPMorgan – while the latter worked at Deutsche Bank and Merrill Lynch.

In other news….

EMEA

Alantra has announced the opening of its first Middle East office in Dubai – expanding its presence into 21 countries with a total of 25 offices. Joining as managing partner of its new office is Saad Ashraf, who brings over 25 years of experience in both conventional and Islamic finance in the Middle East to the firm. Prior to joining Alantra, Ashraf served as principal and md of the Middle East business – StormHarbour. The new office will be based in the Dubai International Financial Centre.

Securitisation and structured finance lawyer Aurélie Le Griel has joined CMS Francis Lefebvre as an avocat, based in Paris. She previously worked at Clifford Chance, Hogan Lovells, Credit Agricole, Linklaters, Societe Generale and BNP Paribas.

Moody’s has agreed to acquire a majority stake in one of Africa’s leading credit rating agencies - Global Credit Rating Company (GCR). The firm hopes 51% stake in GCR will expand its presence across Africa, and further demonstrate its continued commitments to economic growth in South Africa, as both Moody’s and GCR hope to play a positive societal role in the region. GCR will continue working on issuing its ratings and methodologies and will keep its own separate management team. The transaction, which is expected to close in Q2 2022, will have no material impact on Moody’s financial results for 2022.

North America

Bridge Investment Group has closed on the earlier disclosed transaction to acquire certain assets from Gorelick Brothers Capital. The deal will see the pair working as a joint team in the rapidly expanding single-family rental market, with Bridge acquiring a total of 60% of GBC’s business – worth approximately US$50m. The transaction includes the acquisition of the majority of GBC’s asset and property management business, and a portfolio of single-family rental homes owned by GBC-managed vehicles. As well, the firms have completed a US$660m recapitalisation of the single-family rental portfolio with more than 2,700 homes across 14 markets in the US through Bridge-sponsored investment fund vehicles.

Structured Finance

STS register rolled out

Sector developments and company hires

ESMA has launched its STS Register for the notification of securitisations under the Securitisation Regulation. The entry into force of the Securitisation Regulation on 1 January 2019 introduced an obligation for originators and sponsors to jointly notify ESMA and their National Competent Authorities that a securitisation meets the STS criteria for being granted the STS label.

ESMA has put in place an automated process to facilitate these notifications and makes them available in the new STS register. The new STS register replaces the previous interim solution of an STS list on the ESMA website.

Until further notice, originators and sponsors should still notify their synthetic securitisations eligible for the STS label using the interim STS solution.

In other news....

EMEA

Mount Street Group has appointed a new member to its supervisory board – Matthias Wargers. The hire of the financial services and banking practitioner follows two other recent appointments to the Mount Street Portfolio Advisors (MSPA) supervisory board. Wargers has worked for 25 years at the helm of Germany’s financial services industry and joins the firm from his most recent full-time role as founding board member and ceo of Erste Abwicklungsanstalt (EAA). Wargers served as Chairman of EAA portfolio advisors until 2017, when it was acquired by Mount Street. In his new role, Wargers will support the development of the firm’s offering in credit management and outsourcing, as the firm seeks to expand its offering in the face of rising demand for its services.

North America

GLAS has welcomed two further team members to its US office as the firm continues to expand its debt administration services into the American market. Hugh McKee and Tino Mehlmann will join the firm to serve as general counsel of the Americas and vp of its business development team, respectively. McKee will be responsible for the firm’s legal function in the US and will work to build relationships with its clients. Prior to joining GLAS, McKee served as regional general counsel for the Americas at Greensill Capital. Mehlmann will also join the firm from Greensill, where he worked as vp, and in the new role at GLAS will be responsible for the expansion of the firm’s technology capabilities and establishing relationships with direct lenders.

Oak Hill Advisors has announced the hire of Jeffrey Cohen, who will serve as the firm’s first head of ESG and sustainability and report to president and senior partner, Bill Bohnsack. Demonstrating OHA’s commitment to the integration of ESG into its practices, Cohen will maintain responsibility for developing sustainability metrics across the firm’s portfolios alongside its investment team. Cohen has extensive experience in the development and integration of ESG factors and joins OHA from the Sustainability Accounting Standards Board Foundation (SASB), where he worked as director of capital markets integration and head of private investment initiatives.