Sector developments and company hires

RFC issued on non-sequential amortisation
The EBA has launched a public consultation on draft regulatory technical standards (RTS) specifying and, where relevant, calibrating the minimum performance-related triggers for STS synthetic securitisations that feature non-sequential amortisation. For the purpose of standardisation, the amended securitisation regulation sets out that sequential amortisation shall be applied to all tranches of STS synthetic securitisations. However, as a derogation, some transactions might feature non-sequential amortisation to avoid disproportionate costs of protection, as long as minimum performance-related triggers determine the application of sequential amortisation. This will ensure that tranches providing credit protection have not already been amortised when significant losses occur at the end of the transaction.

The draft RTS further specify the minimum backwards- and forward-looking triggers, and set out that, for two of them, their level should be determined by the parties involved in securitisation transactions, as they are transaction-specific and depend on the assessment made by the parties of the riskiness of the underlying exposures at inception. However, the RTS establish a level for the additional backwards-looking trigger to ensure for all STS synthetics featuring non-sequential amortisation that under no circumstances the credit enhancement of the retained senior tranche falls below a certain threshold, in comparison with that at origination, as a result of the amortisation of the protected tranches.

Responses to the consultation should be submitted by 28 February 2022. A public hearing will take place on 26 January 2022. 

In other news…

North America
Dechert has strengthened its New York-based CLO team with the recruitment of three lawyers from Milbank. Melissa Wollis joins Dechert as counsel, while Erin Hood and Taylor Muller join as associates. Before Milbank, which she joined as an associate in July 2017, Wollis worked at Paul Hastings and Ashurst.

Natixis has appointed Terrence Gregersen as head of capital calls solutions within its global markets Americas division. Gregersen joined Natixis in June 2006 and has extensive banking experience in capital call and hybrid financing, as well as securitisation. Before Natixis, he was a vp at Financial Security Assurance, which he joined in April 1998.