Contents

Structured Finance

SCI Start the Week - 10 October

A review of SCI's latest content

Last week's news and analysis
CLOs in an age of economic uncertainty
A ‘Talking Point’ from Pemberton
Consumer SRT launched
Santander prices significant risk transfer trade
Full stack SRT launched
BNP Paribas executes capital relief trade
Staying on track
IQ-EQ answers SCI's questions
Testing the waters
European ABS/MBS market update
US CRT return continues
Morgan Stanley finalizes capital relief trade
Wide Arch
Pricing wider and more reinsurance in latest Arch MILN

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

Podcast
SCI has launched a new podcast series covering all things securitisation and engaging with some of the best minds in the industry! To access the podcast, search for ‘SCI In Conversation’ wherever you usually get your podcasts (including Spotify and iTunes), or click here.

SCI CLO Markets
CLO Markets provides 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 David McGuinness at SCI for more information or to set up a free trial here.

Recent premium research to download
US CLO ETFs - October 2022
The popularity of CLO ETFs is set to increase, given the current rising interest rate environment. This Premium Content article investigates how the product has opened up the CLO asset class to a broader set of investors.
STS synthetic securitisation - September 2022
The adoption of STS synthetic securitisation has helped legitimise the capital relief trades market. However, this Premium Content article outlines how the EBA’s most recent consultations could prove challenging.

SCI events calendar: 2022
SCI’s 8th Annual Capital Relief Trades Seminar
20 October 2022, London
SCI’s 3rd Annual Middle Market CLO Seminar
15 November 2022, New York

Structured Finance

Non-calls to continue?

Extension risk on the rise, particularly for non-bank issuers

Following the announcement that buy-to-let RMBS Towd Point Mortgage Funding 2019 - Auburn 13 will not be called at its first call date this month, “given current market conditions”, extension risk in the European ABS/MBS market is expected to increase. Indeed, noting continued rate volatility, Barclays European securitised research analysts have revised their earlier opinion (SCI 31 August) and now believe that the remaining backbook deals due in 2022 are also unlikely to be called.

They note that there are only three backbook calls remaining in 2022 – two are from shelves that already have non-called deals, plus Warwick Finance Residential Mortgages Number Three, which does not have any coupon step-up, providing no incentive for the issuer to call the deal. However, they add: “Given that the interest rate volatility has not abated over the last few weeks (and has even increased in the UK) and that spreads have widened following the recent sell-off, we think the economics of calling deals will be called into question for longer. Therefore, we also flag backbook deals with calls in 2023.”

Market conditions also mean that frontbook deals from non-bank lenders now have greater exposure to extension risk, the Barclays analysts suggest. “We include deals from non-bank lenders acquired by banks, although in such cases we see a higher likelihood of a call than in deals from other non-bank lenders,” they note.

The analysts continue: “We continue to expect established banks and building societies, as well as captive banks of auto manufacturers to call deals at call dates, due to their access to cheaper financing options. Additionally, ABS deals such as auto ABS and credit card ABS tend to be shorter dated - due to amortisation - and should continue to paydown with little risk.”

Bank of America’s global research analysts observe that access to funding and the cost of funding are the key for specialist lenders to ride out the turbulent markets. “The main differentiation factor among specialist lenders is access to retail deposits (or private equity funding), which offer both security/stability and lower cost of funding,” they say.

They argue that without such funding, it would be very challenging to lend in the current climate, making such lenders more vulnerable and reducing refi opportunities for their existing borrowers. While lenders with access to retail deposits or PE funding (i.e. mainly banks) may afford to refi at higher cost, given that their average funding cost would still be reasonable, lenders with high funding costs may have more incentive not to call (at least initially) if their step-up margins are sufficiently low relative to current spreads.

Therefore, the BofA analysts conclude: “We believe that extension risk has risen considerably for transactions originated/sponsored by such lenders that do not have access to retail deposits. But even such lenders are likely to still call the deals once the primary market conditions normalise, as was illustrated during the pandemic when a few deals postponed their calls by a few months. In BTL RMBS, extension risk may be partially mitigated by higher CPR, if there is an increase in the number of landlords exiting their investments via private sale.”

Mark Pelham

Capital Relief Trades

Risk transfer round up-11 October

CRT sector developments and deal news

US regional lender Customers bank has finalized a capital relief trade rendering it the latest US regional bank to execute a capital relief trade after the recent CRT from PacWest (SCI 20 September). The transaction hedges capital for a portfolio of US$500m of personal loans. The asset class is unusual for US capital relief trades. The deal was executed in September but it's not a synthetic ABS. Instead, the bank sold its loans to an investor that securitized them. Customers then bought US$400 million of senior notes from the transaction. 

Stelios Papadopoulos 

Capital Relief Trades

Regional bank CRT pipeline builds

New SCI Global Risk Transfer Report published

A couple more US regional bank capital relief trades are in the pipeline for late 2022 or early 2023, according to SCI’s new Global Risk Transfer Report. In terms of reference pools, a current area of focus is relatively high-quality assets that have a good credit story and are available in some depth.

“I can think of at least five regional banks that are looking quite carefully at the product, but very critically. There's a very significant investment that is required before you start putting together CRT transactions. You’ve got to have confidence that not only is there a case for the current portfolio, but also that you will come back to the market again,” says Gareth Old, partner at Clifford Chance in New York.

The first regional bank to enter the US CRT market was Texas Capital Bank in March 2021 with a mortgage warehouse deal. Western Alliance Bank has since executed three transactions, referencing mortgages and capital call facilities. More recently, in September, California-based Pacific Western Bank entered the market with a four-tranche CLN referencing residential mortgage assets (SCI 20 September).

“So far, there are three different asset classes, but discussions are going on around more or less anything the bank has on its books in large volumes - for instance, auto loan transactions or more consumer loans,” Old notes. “There has been discussion about doing synthetic credit card transactions. We’ve spent a lot of time figuring out how they would work, but it’s a stretch to figure out whether that's better for the bank than the cash transaction.”

Tim Armstrong, md at Guy Carpenter, agrees: “We have seen a sharp increase in inquiries from a variety of risk holders who are looking to CRT to diversify sources of capital and manage a variety of regulatory objectives across an increasing range of asset classes.”

The most recent Western Alliance deal was done on a principal protected basis, marking a first for the market. Old suggests that it will be interesting to see whether that feature is repeated and develops into being essentially a mandatory feature of any regional bank-issued CRT programme, or whether it's something done through a pricing uplift.

Looking ahead, he is optimistic about the prospects for the US private CRT market. “There are a lot of economic headwinds, but capital remains king and we are confident that CRT is going to be able to hold its own against competitors. Because it is very directly focused on maintaining the deep relationships between the banks and their customers and asset bases, while also developing the risk transfer capabilities shown in the European CRT markets for the last decade.”

Sponsored by Arch MI, ArrowMark Partners, Credit Benchmark and Guy Carpenter, SCI’s Global Risk Transfer Report traces the recent regulatory and structural evolution of the CRT market, examines the development of both the issuer base and the investor base, and looks at its prospects for the future. The report can be downloaded, for free, here.

Capital Relief Trades

Corporate SRT priced

Natixis executes capital relief trade

Natixis has executed a synthetic securitisation backed by a global portfolio of senior unsecured corporate loans. Dubbed Lhotse, the transaction is riding a wave of SRTs from French banks this year.

French and other banks are feeling the pinch from higher costs of capital and raising equity in this environment is challenging. The latter renders synthetic technology a more attractive proposition. SCI data now count seven pending and completed deals this year from French banks.  

Large unsecured corporate loans are very standard for the CRT market with large corporates overall forming the bulk of issuance. Well known programmes backed by large corporate loans include Deutsche Bank’s CRAFT, Bank of Montreal’s Muskoka, Credit Agricole’s CEDAR, and BNP Paribas’ Resonance programme.

Banks have large exposures of corporate loans on their books and hedging the asset class enables them to benefit from substantial RWA savings and access to a large investor base which understands the risk.    

Stelios Papadopoulos  

Capital Relief Trades

Custom-built capital relief

Customers Bank perhaps side-steps regulators with true sale deal

The unusual regulatory capital relief trade closed by Customers Bank on September 30 is likely to have achieved de-recognition of the assets, meaning that it did not require approval from the New York Federal Reserve Bank, surmise well-placed sources.

Under the terms of the transaction, Pennsylvania-based Customers Bank sold a $500m portfolio of unsecured customer loans to a large asset manager. At the same time, it purchased a $400m securitization which was collateralized by the loans.

Consequently it is not a synthetic securitization like a normal regulatory capital relief trade. However, the end purpose is the same. According to the bank’s 8-K filing, “Through this transaction it is expected that Customers Bank will reduce its risk-weighted assets, receive capital relief under current risk-based capital rules, and result in a significant CECL reserve release…”

The key point, however, is that under GAAP accounting rules, the sale of assets in this manner means that they can be de-recognised on the balance sheet. It accomplishes capital relief, but is regarded as a true sale. This means it does not need to receive the green light from regulators as a pure regulatory capital relief trade.

This is significant as US regulators, particularly those on the east coast, are said to have become un-enamoured with synthetic securitizations designed to achieve capital relief and are now more likely than not to withhold approval.

This has road-blocked the development of the US CRT market for the last year.

“It’s more of a trade as opposed to a risk transfer transaction. They’re swapping the full credit risk for just the senior financing and a good amount of reduced capital requirement,” comments one US CRT expert.

Not only is the structure unusual, so are the assets. It is far more common for US banks to securitize corporate loans or mortgage warehouse loans but in this case Customers Bank seeks credit relief for consumer loans  However, the de-recognition structure is not appropriate for corporate loans.

“The big Wall Street banks can’t use this structure for corporate loans,” affirms an investor.

It has been speculated that the “global asset manager” which bought the $500m portfolio mentioned in the 8-K filing is Blackstone, but that is unconfirmed. Blackstone did not respond to inquiries.

Customers Bank, which has reports assets of $12bn, has been unavailable for comment.

Despite the regulatory opposition, US regional banks are said to be prepping more deals. Whether these will be based on the west coast - and thus not reliant on New York Fed approval - remains to be seen.

Simon Boughey

Capital Relief Trades

Climate boost

Sabadell completes project finance SRT

Sabadell, Glennmont partners and Newmarket have executed a synthetic securitisation that references a €1bn portfolio of European project finance exposures as more banks tap synthetics to hedge these exposures (SCI 11 October).

The significant risk transfer trade features over 75 loans diversified across five European countries. The portfolio covers a range of sustainable infrastructure sectors including onshore and offshore wind, solar PV, solar CSP, and digital infrastructure.

The trade was agreed shortly after Glennmont raised €250m for what it dubs its ‘’energy transition enhanced credit strategy.’’ The strategy seeks to capitalise on investment opportunities supporting the energy transition.

The project finance SRT from Sabadell is the latest one from a Spanish bank following BBVA’s deal with PGGM in January (SCI 17 January) and there’s one more from a Spanish originator that’s expected to close this year.    

Project finance loan books are not as diversified as corporate exposures, so the transactions must be well-structured and have a robust risk-return profile. The latter means that the performance should not be fully driven by one or two single defaults.  

Indeed, concentration risk, along with project finance idiosyncrasies - such as construction and technology risk - require specialist knowledge of each project from the investor side. Consequently, not many synthetic ABS investors have been able to participate in such deals.

However, new partnerships such as Whitecroft’s joint venture with Copenhagen Infrastructure Partners (CIP) aims to overcome these challenges, and efforts to develop a green securitisation framework have  strengthened the case for renewable energy assets (SCI 26 September).      

Santander has acted as the arranger in the transaction and Linklaters as legal advisor.  

Stelios Papadopoulos 

Capital Relief Trades

CRT Seminar line-up finalised

Women in risk sharing breakfast to debut

SCI’s 8^th Annual Capital Relief Trades Seminar is taking place in-person on 20 October at the offices of Allen & Overy in London. Chaired by Pemberton Capital Advisors’ Olivier Renault, the event will cover the latest regulatory developments, key trends and emerging opportunities within the significant risk transfer market.

The seminar begins with an overview of CRT issuance trends and activity, including the impact of the introduction of STS synthetics on the sector. The following panels focus on regulatory developments, such as how banks are demonstrating commensurate risk transfer in practice, and structuring considerations – including how issuers are approaching synthetic excess spread.

Next, a roundtable will explore the growing use of unfunded SRT and the role of insurers in the market. A further pair of panels will examine issuer and investor perspectives on the SRT sector, while a discussion on emerging trends across jurisdictions and asset classes will conclude the panels.

The event will kick off with a networking breakfast for women in risk sharing, hosted by Allen & Overy’s Parya Badie, Clifford Chance’s Jessica Littlewood and Newmarket’s Molly Whitehouse. There is also a fireside chat between the ECB’s Fernando Gonzalez and Santander’s David Saunders.

Rounding off the event is SCI’s CRT Awards ceremony, which will be hosted by the BBC’s Tanya Beckett. This will be followed by a cocktail reception, sponsored by RenaissanceRe.

SCI’s 8^th Annual Capital Relief Trades Seminar is additionally sponsored by Allica Bank, ArrowMark Partners, Assured Guaranty, Barclays, Chorus Capital, Clifford Chance, Egan-Jones, the EIF, Guy Carpenter, Liberty Specialty Markets, Linklaters, Marsh, Newmarket, Santander, Societe Generale and Standard Chartered. Credit Benchmark is exhibiting at the event.

Panelists also include representatives from Alantra, Christofferson Robb & Co, D. E. Shaw, Nordea, PCS, PGGM, PIMCO, Risk Control and STS Verification International. For more information on the event or to register, click here.

CLOs

Stormy weather

Increased default and downgrade risk for CLOs

The US CLO market has thus far sailed through the storms of 2021 and 2022 in eminently seaworthy condition. However, with recession now looming, the sector faces increased downgrade and default risks.

“Loan defaults have started to pick up in the US since August, and six loans totalling US$12bn have defaulted. Meanwhile, loan downgrades have also escalated in some of the largest sectors in US CLO collateral, such as technology, health care, consumer products and telecoms,” says Maggie Wang, global head of structured products strategy at Citi.

Wang will be sharing more of her thoughts next week at IMN’s ABS East Conference (17-19 October) in Miami, Florida. She is speaking at the CLO equity roundtable on Tuesday afternoon at 4pm EST.

The underlying collateral is also displaying signs of market weakness.  Loans trading below 60 cents on the dollar now account for 1% of all collateral, and those trading below 80 cents account for 4.4% of the collateral pool. These are the highest levels seen since the early days of the pandemic - which was short-lived anyway - and mid-2016.

More and more deals are also exceeding the triple-C threshold as a result of downgrades. As measured by S&P at the end of September, some 5% of all CLO deals breached the triple-C barrier, or 4.5% as measured by Moody’s.

An increase in defaults and downgrades will lead to an increasingly wide bifurcation between mezzanine and equity tranches - which has been widening anyway over 2022. Equity tranches have dropped in price from 50 points on the dollar in January to about 36 points at the end of September.

Investment grade CLO debt prices have not been immune to negative price action either. Debt tranches have widened this year by between 107bp and 378bp, with particularly savage spread widening seen last month in the wake of Federal Reserve Chair Jerome Powell’s uncompromising message at Jackson Hole and the now widespread belief that only the depth and the length of the imminent recession are now in question.

In the five days following the September FOMC meeting, at which rates were hiked by another 75bp, CLO debt widened by between 28bp and 65bp across tranches.

In view of these headwinds, CLO issuance is expected to slow down until the market finds a point of stabilisation. Citi still believes that this year will see US$120bn of new supply, which indicates just another US$10bn before year-end.

Nonetheless, while equity tranches are in for an exacting period, investment grade CLO tranches will remain resilient, says Wang. “We run stress tests all the time and CLO triple-B rated tranches and above are extremely unlikely to crack, even if economic conditions worsen. This confidence has underpinned CLO liquidity and supply, which has been the most important surprise of the year to date,” she says.

Supply in CLO BWICs had increased by 89% year-on-year by the beginning of October. This surge was led by a 194% increase in triple-A tranches, but double-As increased by 82%, single-As by 81% and triple-Bs by 53%.

For the greater part of the year, increased volume has been met by solid demand. The did-not-trade (DNT) ratio for investment-grade rated CLO debt tranches has never exceeded 13%.

Indeed, there has been very healthy secondary market supply, in the face of the gathering volatility. This is due to a number of different factors.

First, investors have been selling outperforming CLOs to raise cash and reinvest in cheaper assets. At the same time, asset managers have been rotating to safer investment grade classes.

The split between debt and equity tranches is expected to increase rather than lessen. Despite the gloomy economic picture, the structure of investment grade CLOs is trusted to protect investors from calamitous loss; this is much less true of equity tranches.

At the beginning of 2022, the abolition of Libor hung over the market like a threatening cloud. By far the greater part of CLO collateral referenced Libor, and yet new CLO deals could not be priced against Libor any more. The possibility of grievous mismatch was everywhere.

A degree of basis risk is always inherent in the CLO market, as the underlying leveraged loans often allow the issuer to take a different Libor term every month. But with the advent of SOFR, the risk became more complicated.

However, while 83% of CLO collateral still references Libor, the market appears to have negotiated this particular minefield adroitly. “The transition has been much smoother than people thought it would be. There was a difficult time leading up to the changeover, but the market worked it out,” says Wang.

There was a round of price discovery deals at the beginning of the year, aided by reams of research - and nine months on, the change to SOFR is no longer a troublesome issue. “The market settled down to a consensus in two to three months,” Wang concludes.

Simon Boughey

CMBS

Keeping it competitive

Greystone's Jenna Unell, senior md in special servicing, and Rob Russell, president of special servicing, answer SCI's questions

Q: Greystone recently purchased its first primary B-piece in a US$1.09bn conduit CMBS. What makes now the right time to enter this market?
RR: We purchased what was C-III Asset Management at the end of 2019, just before the pandemic, and we are working towards growing that business - which was special servicing. The best way to grow that business is to be an active buyer in B-pieces in the conduit market, so further into that strategy we bought some transactions in the secondary market. This is our first new issuance transaction and so it was very important to us, and we saw that this was the best way to do it.

We intend to be an active participant - we really like the yield on the B-piece, and we have the staff and expertise to underwrite the underlying collateral. At Greystone, we have roughly 50 people in Dallas that assist us with this, and we think we are a perfectly positioned player.

Q: What are you hoping is Greystone’s role as a participant within the B-piece market?
JU: We have obviously seen that the flow has decreased, but we certainly see opportunity still in this market as we move forward within it. Greystone is very well positioned to be a B-piece buyer because we have the ability within our own group to complete all of the due diligence, as well as being able to name ourselves as a special servicer on those deals too.

Q: Where does purchasing CMBS B-pieces fit into the wider Greystone strategy?
RR: It is really a full circle operation. By definition, a conduit is always going to be a broad range of collateral and - like with anything - there will be certain deals you like more than others. However, with where the market is now with the underwriting - especially compared to, say, CMBS 1.0 - the underwriting is better, the collateral is better and the sponsorship is good.

The issuer (BANK 2022-BNK43) that we purchased from in this transaction are really solid underwriters, which gives us a lot of comfort too because, when you are in the position to buy a B-piece, you look at who the issuers are, find out what their collateral standards are, assess that they know all top-notch underwriters, have good origination and have great credit. So that certainly helps us get our arms around it and get comfortable with the position.

Q: How do you expect Greystone will differentiate itself from the larger B-piece purchasing players?
RR: First of all, our team down in Dallas has a tremendous amount of experience. A lot of B-piece players will use third-party underwriters, but we are able to do this in-house – which not only allows us to work quicker, but also allows us to better evaluate the risk in a certain security than some who are in our peer group.

One of the reasons we are in the B-piece business in special servicing is that it lines up with Greystone’s efforts as a conduit originator with our CMBS platform. I think it’s a great story for originators to say to potential borrowers in the B-piece space that we are buying our own B-pieces.

So, if we tell you that a loan is good to go, you won’t hear from another B-piece buyer re-traded us or wants to change the terms of the structure. So, it’s just a really good pairing with our CMBS platform, which we work closely with and as that ramps up in the future, we expect to do a lot more with them.

Q: What are the prospects for development of the CMBS side of Greystone’s business?
RR: We redesigned our CMBS platform at the beginning of the year, which is now growing, and we expect that platform will have a lot of origination capacity and see a lot of transactions. As that increases, we will look at purchasing B-pieces we contribute into.

Right now, our B-piece strategy going forward is - like in this transaction - that we have gone out and been a contributor in the transaction, but we are kind of independent of that. Going forward, the idea is that we will work closely with them and look at their deals. Now, exclusive to the Greystone-pond, we can do what we just did and buy B-pieces that Greystone is not a part of - so we’ll do it both ways.

This is a core business for us that we really want to build. We didn’t buy the C-III Asset Management company to let it flounder - we want to grow the business in line with our wider strategy. Any business that we enter, whether it is CMBS or special servicing, we tend to grow those businesses - and that’s the mantra of the firm.

Q: How will Greystone’s expansion into buying CMBS B-pieces benefit the broader market?
JU: I think that competition is good in this market. There may be some buyers that drop out as the market changes, but we have a reason to be here, and it is a part of our wider plan to build an entire CMBS platform as well as our special servicing business.

We are also quite different to a lot of the other active B-piece buyers that are currently in the market because we have this special servicing platform – it means we can control our ability to do the due diligence on these deals. It is difficult to break into this market, but ultimately it benefits everyone if there are more players available to be active in this market.

Claudia Lewis

Structured Finance

'Too early to tell' for Sec Reg

Sector developments and company hires

‘Too early to tell’ for Sec Reg

The European Commission has released its report on the functioning of the Securitisation Regulation, as mandated under Article 46 of the Securitisation Regulation. The headline takeaway is that since the regulation only came into force in 2019, the Commission believes it is too early to tell whether the regulation is working and so no meaningful changes were proposed.

“The full implementation of the framework is still ongoing, with a few regulatory technical standards still under preparation. Likewise, as the questions on the jurisdictional scope show, for example, both market participants and supervisors are still in the process of translating the legal provisions into practice. Hence, the Commission believes that more time is needed to get a full picture of the impact of the new securitisation framework,” the report states.

Nonetheless, the Commission believes that the Securitisation Regulation contributes significantly to achieving the legislation’s core objective of establishing an EU securitisation market that helps finance the economy without creating risks to financial stability. “Overall, the market seems to work reasonably well, even though expectations for a highly dynamic market with increasing volumes and a growing number of participants do not yet seem to have been fulfilled. However, this first official stock-take of the new securitisation framework also raised a number of issues with the new framework that are considered to play a role in why the EU securitisation market has so far not grown as much as the initiators of the new framework had hoped,” it notes.

The report points out that concerns focus mainly on claims that complying with transparency obligations is resource-intensive, without producing much added value for the investor, particularly in the case of private transactions. The Commission acknowledges that there is room for improvement, but believes that improvements could be implemented without the need to change the Securitisation Regulation. As such, it has invited ESMA to revisit the regulatory and implementing technical standards that set out the details of the transparency regime.

The Commission says it remains “fully committed” to the aim of creating the framework for a thriving and stable EU securitisation market. “Such a market is an indispensable building block of a genuine Capital Markets Union and might become even more important for tackling the challenges of financing economic activity in the significantly more difficult market environment that seems to be evolving at the moment. The Commission will therefore continue to closely monitor the securitisation market and intervene, if and when deemed appropriate, to fully reap the benefits of a thriving securitisation market for the EU.”

In its analysis of the report, PCS suggests that there was “little to cause surprise to anyone who had been listening to the clear messaging coming from Brussels”. The organisation argues that the real battlefield that will determine the success or failure of the European securitisation market is not reform of the Securitisation Regulation, however.

“It lies with the necessary changes to the prudential rules, specifically the capital requirements under the CRR and Solvency II for insurance companies and the rules on the Liquidity Coverage Ratio. Those were explicitly not in scope of this review, but are subject to a now overdue response to a call for advice by the Commission to the Joint Committee of the ESAs,” PCS notes.

The organisation says that it - like many other market participants - rejects the notion that the rules are too recent to be changed and would be “loath to see this argument trotted out to justify inaction on the prudential front, where incontrovertible cases for change can be made”.

In other news….

EMEA

Wilmington Trust has appointed Darren Levene as head of transaction management for global capital markets, Europe, based in London. In this newly created role, he will support the firm’s structured finance businesses initially in the UK and Ireland, as it seeks to expand in Europe. Levene was previously in the restructuring group, agency and trust at Citi, and before that worked at Law Debenture, Deutsche Bank, Linklaters and Wilde Sapte.

Sustainable SRT inked

Glennmont Partners has disclosed its first investment in a significant risk transfer transaction, following the first close of its energy transition enhanced credit strategy at €250m. The transaction references a €1bn portfolio comprising over 75 loans diversified across five European countries. The portfolio covers a range of sustainable infrastructure sectors, including onshore wind, offshore wind, solar PV, solar CSP and digital infrastructure.

Structured Finance

UK CRE CLO programme prepped

Sector developments and company hires

Aeon Investments has closed its first commercial real estate CLO warehouse in the UK, backed by three strategic loan agreements totalling £900m, as it continues to grow its private credit business. Loans will be funded through Aeon's balance sheet and a three-year revolving senior warehouse facility provided by Credit Suisse. Aeon expects to issue three CRE CLOs in Europe over the next two to three years.

Recent agreements with commercial real estate lending platform WayPark Capital, private bank Arbuthnot Latham & Co and SME finance platform Assetz Capital expands Aeon’s CRE investment programme, which launched in 4Q21. The originators will provide commercial real estate borrowers with tailored loans and financial solutions of between £2m and £20m, with LTV ratios of up to 75% for acquisitions, refinancing and asset upgrades across the UK - including offices, industrial units, warehouses and some retail properties.

Aeon will use its own proprietary ESG positive screening methodology, based on 13 equally weighted factors, to assess new loans and track their progress against measurable KPIs while assessing the impact of each initiative.

In other news…

EMEA

Credit Agricole has named Pierre-Henri Brugeron executive director and deputy head of real estate structured finance, France. Based in Paris, he was previously director in real estate and hotel structured finance at the firm, which he joined in January 2007.

Tim Ayerbe has become md, head of asset solutions at Veld Capital in London, following the carve-out of the business from AnaCap – where he was head of real estate asset management - earlier this month (SCI 4 October). Before AnaCap, Ayerbe worked at KPMG, Channel Capital Advisors and ANZ.