Christofferson, Robb & Company

ABOUT CRC

In 2002, CRC was founded by Johan Christofferson and Richard Robb, who continue to manage the firm to this day. Funds managed by CRC have an estimated 30% market share in funded Significant Risk Transfers ("SRTs," sometimes called "Capital Relief," "Credit Risk Transfer," "Synthetic Risk Transfer," or "Risk Sharing" transactions) not tied to large corporates with European banks.

The economy of core Europe is dominated by small and medium enterprises that rely on bank loans for financing. By transferring the risk of these loans to institutional investors with long-term horizons, SRTs with CRC improve banks’ balance sheets and free up capacity for more lending.

CHRISTOFFERSON, ROBB & COMPANY: 23 YEARS OF SIGNIFICANT RISK TRANSFER TRANSACTIONS

2002	2003	2004	2005	2006	2007	2008
Credit Fund opens	Bilateral tranche of corporate loans for Dutch bank	Purchases entire Italian leasing securitization residual for €60 m	Buys subordinated tranches of SME SRTs for three different German lenders, all of whom will go on to be repeat customers CRC agrees to the first cross-border investment in Mexican RMBS	When fast amortization renders the first Belgian SRT (2005) ineffective for the bank, CRC restructures to benefit both parties, validating CRC’s role as a reliable long-term partner Seven SRTs, all but one under Basel II Basel II starts in Europe	CRC establishes its first single investor fund for a public pension plan. The business model of managing several funds with parallel strategies will prove key to executing large transactions. Six largely bilateral SRTs with European banks, investing a total of €565 m	In the three weeks after Lehman’s collapse, CRC follows through on commitment to buy two bilateral SRTs, one for German and Austrian SME loans and one for seasoned German residential mortgages
2009	2010-2011	2012	2014	2015	2016	2017
Crisis notwithstanding, CRC invests in bilateral SRTs in Germany and Switzerland	Despite the Eurozone sovereign debt crisis, SME default rates across all CRC European deals fall from 2009 peak of 1.3 × base case to 1.0 × base case	Novel €200 m deal to hedge ABS trading book of European bank	Invests €450 m in second loss tranche tied to €11 bn pool for German Landesbank First synthetic post-crisis Italian SME SRT	Upsizes 2014 Landesbank deal, adding €5 bn to reference portfolio	Sole equity sponsor of securitization of payroll deduction loans, the largest-ever Italian consumer ABS In the 10 days after the Brexit referendum, CRC follows through on commitment to close four SRTs for banks in Italy, Austria and Germany, investing €525 m	First ever SME SRT for a Japanese bank CRC launches liquid strategy: Bond Opportunity Trading Fund
2018	2019	2020	2021	2022	2023	2024
For second consecutive year, invests over €900 m in SRTs	CRC launches the first ABS backed by pre-crisis assets to gain the EU’s “Simple, Transparent and Standardised” status	Invests €1.23 bn in a dozen SRTs, including first synthetic transaction in Italy referencing loans to renewable energy projects	Synthetic securitization of Monte dei Paschi’s Stage 2 loans named Structured Credit Investor’s Deal of the Year Opens office in Tokyo First ever SRT for a Greek bank	Synthetic securitization of Piraeus Bank’s performing shipping loans named Structured Credit Investor’s Deal of the Year SRT for €8 bn portfolio referencing SMEs and Midcaps believed to be the largest-ever synthetic transaction in Italy	For the third consecutive year, CRC funds invest over €1.5 bn in SRTs with European banks. In keeping with past trends, about one-quarter of new deals are with first-time issuers. A bilateral SRT for a Polish bank believed to be the largest ever in Central or Eastern Europe	€2 bn invested in SRTs Three German bilateral SME transactions with three different issuers New-origination SRT for Italian SMEs ramped up in six months to €2 bn BOTF NAV reaches $1 bn

A Team Committed for the Long Term

2002	Andrew Robertson Head Trader Oleg Gokhman Head of IT Andrew Leasor Marketing
2004	Takeshi Nakano Head of Asian Origination and Structuring
2005	Brad Golding Liquid Markets
2006	David Fitoussi Head of European Origination and Structuring
2009	Himesh Shah Origination and Structuring Joanna Kosek Origination and Structuring Dina Tserlyuk Operations Head and Funds CFO
2013	Malik Chaabouni Head of Marketing
2014	Antony Wright CFO
2019	Sarah Shipton General Counsel
2020	Richard Dziurzynski Risk Management Head
2024	Raquel Thompson Chief Compliance Officer
	GLOBAL HEAD COUNT : 77

WHAT WE DO

SIGNIFICANT RISK TRANSFER CASE STUDY: THE POTATO FARMER

A potato farmer in Rhineland-Palatinate in Southwest Germany wants to buy the adjacent farm when his neighbor retires. He needs to finance 70% of the €4 million acquisition.

SME FINANCING COMES FROM BANKS

Businesses like the potato farm are too small to tap the bond or stock market. Instead, they borrow from banks. In this case, the farmer takes out a loan from the regional Landesbank, as do many other small and medium enterprises. The volume of SME lending strains the bank’s capital.

BANKING ASSETS AS PERCENTAGE OF GDP

EQUITY MARKETS ARE SMALL IN COUNTRIES WHERE CRC INVESTS

COUNTRY	STOCK MARKET SIZE (IN $BN)	INVESTABLE STOCK MARKET SIZE / GDP
United States	65,507	224%
Sweden	892	146%
Japan	5,694	141%
Canada	3,018	135%
Denmark	437	102%
United Kingdom	3,345	92%
Korea, Rep.	1,519	89%
Finland	262	88%
Netherlands	1,032	84%
France	2,262	72%
Israel	343	64%
India	1,939	50%
Germany	2,034	44%
Spain	722	42%
Belgium	264	40%
Norway	179	37%
Italy	741	31%
Greece	72	28%
Ireland	97	17%
Portugal	50	16%
Austria	85	16%
Poland	128	14%

SOLUTION

CRC’s SRTs shift the risk to end investors. CRC posts all the money it could potentially lose, so the bank doesn’t take credit risk to CRC funds. During our due diligence process, we ensure the banks’ lending practices adhere to CRC’s ESG exclusion criteria covering human rights, employment, the environment, bribery and corruption, and certain weapons such as anti-personnel mines.

THE REGULATOR

A joint supervisory team of the European Central Bank pre-approves each transaction, ensuring that the Landesbank is effectively transferring risk to CRC. CRC may be a “shadow bank” in the sense that it’s not a bank and it facilitates lending, but it does not operate in the shadows.

THE INVESTOR

The provincial government withholds a portion of a Canadian firefighter’s pay each month for her retirement investment. Her pension fund supplies the capital to CRC’s funds. In return, the funds earn part of the fee the Landesbank pays. Indirectly, the Canadian firefighter provides capital to the German potato farm. If all goes well, a portion of the farmer’s increased profits flow to the bank in terms of interest margin, and a portion of that goes to firefighter’s pension. Regardless of what happens, the bank has passed on the risk to end investors who are outside the banking system. This means the bank can withstand a substantial downturn in the business cycle with a muted impact on earnings or capital.

Book by Richard Robb

Published by Yale University Press, November 2019

Popeyenomics: Why You Do What You Do

Neither ‘rational choice’ nor behavioral economics explains the story of the Good Samaritan. Economist Richard Robb offers an alternative that tries.

ESG/Sustainability at CRC

CRC is principally concerned with its duty to investors to maximize returns and minimize risk. Yet we cannot expect to generate performance for investors unless we deliver sustainable value on multiple fronts, so ESG screens play a role in CRC’s investment process. The ESG Committee, chaired by a senior investment partner, is charged with reviewing the Firm’s ESG policies and practices around its investment activities. Following its monthly meetings, the ESG Committee proposes improvements to senior management to ensure that policies and practices remain relevant, accurate and effectively enforced. CRC became a signatory to the UN Principles for Responsible Investment (PRI) early in 2023, joining “a community of over 5,000 organizations around the world that have publicly demonstrated their commitment to responsible investment.” We also work with the service provider Climate Partner to consult on matters around carbon emission reporting and estimate our “corporate carbon footprint.”

CRC’s focus on profit maximization has often coincided with environmental responsibility. Our contribution to renewable energy has been ahead of its time. In 2005–2006, the Firm developed a 300-megawatt portfolio of onshore windfarms in Germany and France, which it securitized as CRC Breeze Finance in what Windpower Monthly (May 2006) called the “first international financing where renewable energy infrastructure has been funded directly from the capital markets.” In 2008–2009, CRC funds developed Thanet Offshore Wind, the world’s largest offshore windfarm at the time. Over the past five years, CRC’s SRTs have provided credit protection for over €1 billion p.a. on average of loans to finance renewable energy in Europe.

Sustainability as an Externality: An Accounting Manifesto by Richard Robb in Accounting for a Sustainable World Quarterly (March 2023), published by the Center for Accounting Research and Education at the University of Notre Dame, Mendoza School of Business.

CONTACT

NEW YORK OFFICE
680 Fifth Avenue
New York, NY 10019
Telephone: +1 212 683-4340

LONDON OFFICE
11 Waterloo Place
London, SW1Y 4AU
Telephone: +44 (0)20 7227 4040

Inquiries: info@christoffersonrobb.com

Legal, Regulatory and Compliance Requests: crclegal@christoffersonrobb.com

Christofferson, Robb & Company, LLC is registered as an Investment Advisor with the U.S. SEC.
Christofferson Robb & Company (UK) LLP is authorised and regulated by the Financial Conduct Authority.

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