Sector developments and company hires

RFC issued on NPL treatment
The EBA has launched a public consultation on amendments to its regulatory technical standards on credit risk adjustments in the context of the calculation of the risk weight (RW) of defaulted exposures under the standardised approach (SA). The proposed amendments come in the wake of the European Commission’s Action Plan to tackle non-performing loans in the aftermath of Covid-19 (SCI passim), which indicated the need for a revision of the treatment of defaulted exposures under the SA.

The update is seen as necessary to ensure the prudential framework does not create disincentives to the sale of non-performing assets. The Commission’s Action Plan specifically asks the EBA to consider the appropriate regulatory treatment of defaulted assets, as laid out in the CRR, which have been sold at a discount (NPL sales).

Under the current regulatory framework, the capital charge for a defaulted exposure may – under certain circumstances - increase after its sale from a risk weight of 100% on the seller’s balance sheet to a risk weight of 150% on the balance sheet of the credit institution buying the assets. The proposed amendment to the existing RTS on credit risk adjustments introduces a change to the recognition of total credit risk adjustments, which ensures that the risk weight can remain the same in both cases. In particular, the price discount stemming from the sale will be recognised as a credit risk adjustment for the purposes of determining the risk weight.

By implementing this change through an RTS amendment, the EBA aims to clarify the regulatory treatment of sold NPL assets. However, the EBA also recommends that the treatment set out in this RTS be included in the Commission’s considerations as part of the revised CRR3 proposal, which is expected at a later stage.

The consultation runs until 24 September. A public hearing will take place on 13 July.

In other news…

EMEA
Ocorian has appointed Sandra Bur as head of capital markets - Luxembourg. Bur has over 10 years’ experience in the Luxembourg structured finance market. She joins Ocorian from Sanne, where she was an associate director, based in Luxembourg.

Korean cross-border ABS inked
Samsung Card has closed a rare cross-border credit card ABS. Dubbed Frontier Securitization XXXII, the securitisation comprises €164.22m class A1 and US$200m class A2 fixed and floating rate notes respectively, both rated Aaa by Moody’s.

The assets backing the notes consist of present and future receivables generated under designated credit card accounts originated by Samsung Card. The portfolio comprises credit card receivables owed by cardholders for their purchases on credit, as well as for drawing cash advances.

The transaction's revolving period is scheduled to continue until end-February 2025. A controlled amortisation period will then follow, during which the notes will be repaid in six equal monthly instalments.

Moody’s notes that there is a high degree of linkage between the ratings of the notes to the credit quality of Samsung Card, which acts as sponsor, seller and servicer on the transaction.

MPL analytics acquisition
Cross River Bank has acquired PeerIQ, with the intention of building on the bank’s suite of offerings, enabling clients, partners and investors to benefit from PeerIQ’s technology-enabled analytics. The acquisition will enable Cross River to provide end-to-end Software-as-a-Service (SaaS) technology solutions and advanced portfolio analytics, as well as additional data aggregation and risk management tools. The aim is to ultimately provide more transparency to the marketplace and the industry at large, according to the bank.

 North America
Jasmine DeSilva has joined Horseshoe as svp, ILS strategic initiatives and business development. DeSilva previously served as the business development manager for risk and insurance solutions at the Bermuda Business Development Agency. Before that, she was an avp at Sompo International, focusing on casualty underwriting in the transportation and energy risk segments.

One William Street Capital Management has recruited Christos Vlachos as vp, ILS. He was previously risk consultant, ILS at AIR Worldwide, which he joined in 2016.