Sector developments and company hires

Portuguese ABS framework updated

A new regulation has been introduced in Portugal providing for the execution of regulation 2017/2402 of the European Parliament and of the Council, which lays down a general framework for securitisation. It also creates a specific framework for STS securitisation. Along with modifications to the Portuguese Legal Framework, the new regulation impacts: the definition of securitisation, securitisation types - including synthetic and STS/non-STS securitisations - transferability of underlying exposures, real estate holdings, early redemption, sanctions and supervision requirements.

The Law enters into force on 29 August 2019, but securitisations dated prior to its entry into force remain subject to the previous framework.

Quantum portfolio optimisation delivered

Fujitsu has successfully concluded a loan portfolio management proof of concept (PoC) with Commerzbank’s research and development unit, main incubator, leveraging the Fujitsu quantum computing-inspired Digital Annealer. Focusing on receivables from vehicle leasing contracts, the PoC optimised the selection process for a loan portfolio. The Digital Annealer optimised the bundling of receivables, giving customers the ability to fully leverage the potential of securities issued by them. 

The PoC focused on the selection optimisation of several thousand vehicle leasing assets for a securitisation portfolio. Critical factors taken into simultaneous consideration included regulatory requirements, absolute volume limits and percentage limits for specific asset characteristics needed to achieve greater risk diversification. 

The Fujitsu Digital Annealer provides simultaneous calculation of combinatorial optimisation challenges by leveraging quantum characteristics in a digital architecture, making the PoC possible for main incubator in a business context.