Sector developments and company hires

‘Quick fix’ draft legislation published
The European Parliament has published draft legislative resolutions on amendments to the Securitisation Regulation and CRR in connection with STS synthetics and non-performing exposures.

Among the proposals is a tightening of the definition of an NPE securitisation and the introduction of stricter language on risk retention, according to Rabobank credit analysts. The regulatory treatment of NPE securitisations is also set to be refined by defining the 100% risk weight for the senior tranche as a ceiling; in other words, lower risk weights are allowed under the three approaches, rather than being fixed at 100%. Additionally, the definition of the purchase price discount will be amended to include the additional discount realised when selling notes to investors.

Regarding STS synthetics, the proposals aim to simplify structures by disallowing non-sequential amortisation and removing the time-call option from the texts. The draft also seeks to remove the obligation to transfer collateral to a third-party upon a rating downgrade of the originator.

Changes to the prudential framework are anticipated by 31 December 2020.

In other news…

Capital allocation inked
Trans-Canada Capital (TCC) has committed to invest US$110m in opportunistic corporate and structured credit strategies managed by Pretium. The two firms note that this allocation of capital represents a continuation and expansion of TCC's lengthy relationship with Pretium, which began in 2013 with Pretium's single-family rental real estate strategy. 

CDQ ABS restructured
ViViBanca is in the market with a restructuring of its Eridano 2 Italian consumer ABS, which originally closed in November 2018. The deal comprises three tranches, with only the senior notes - rated Aa3/AA (low) by Moody’s/DBRS - being sold. There is a €100m protected order in place, according to Rabobank credit analysts.

The transaction has a €344m provisional pool, of which the outstanding portfolio accounts for 87% and the remainder is to be assigned at closing. The assets are predominantly comprised of CDQ loans.

Pricing is scheduled for next week.

CLO consultancy expands
CLO Research Group has launched an online premium offering, providing first-hand independent topical research to complement its bespoke CLO consultancy business.

SR portability guidelines published
ESMA has published its final report outlining its guidelines on portability of information between securitisation repositories under the Securitisation Regulation. These guidelines set out common provisions that a securitisation repository (SR) should follow when transferring securitisation information to another SR.

Following the feedback received during ESMA’s public consultation, the guidelines were restructured in order to make them clearer to follow for market participants. The guidelines include a set of common provisions that apply to all cases of transfer of securitisation information between SRs, as well as two detailed annexes that cover the specific provisions that SRs should follow in the event of a request by a reporting entity to transfer securitisation information from one SR to another, or in the event of a withdrawal of an SR’s registration with ESMA.