Sector developments and company hires

The EBA has launched a public consultation on draft regulatory technical standards (RTS) specifying the criteria for the underlying exposures in securitisation to be deemed homogeneous, in line with requirements under the Securitisation Regulation and as amended by the Capital Markets Recovery Package (CMRP). The homogeneity requirement aims to facilitate the assessment of underlying risks in a pool of underlying exposures and to enable investors to perform robust due diligence.

The draft RTS are applicable to all securitisations, including ABCP, non-ABCP and on-balance sheet securitisations. They carry over the provisions on homogeneity set out in the existing RTS, with some modifications, including extending the scope to on-balance sheet securitisations.

The EBA notes that considering the relevance of corporate and SME loans in the context of synthetic securitisations, adjustments have been made to one of the homogeneity factors - the type of obligor - to reflect current market practices and the credit risk assessment approaches applied to those asset types. Moreover, to ensure consistency, similar changes are made to the respective homogeneity factor for all relevant asset types. Finally, the draft RTS specify further the asset type for credit facilities provided to enterprises, where similar underwriting standards are applied as for individuals.

Responses to this consultation are invited by 28 October, with a public hearing scheduled for 28 September.

In other news…

EMEA

Perfecta Energia has launched Spain’s first ever Solar ABS transaction. The firm hopes this initial Spanish asset securitisation fund to finance residential energy self-consumption will help facilitate access to solar energy for families and support the transition to renewable energies. The Perfecta Solar Residencial Securitisation Fund has a maximum size of €133.5m, and is supported by a line of credit from Barclays Europe of €50m in its structure that can be extended to €100m.

North America

Fannie Mae is in the market with CAS 2022-R08, its latest CRT capital markets transaction. The lead bookrunner is Bank of America, and StoneX is joint bookrunner. The note offering is for US$624.3m, referencing a pool of 67,644 low LTV 30-year residential mortgages with an unpaid balance of around US$20.4bn. The offering consists of the M1, M2 and B1 notes.