Market updates and sector developments

The European Commission has released a Commission Delegated Regulation supplementing the Securitisation Regulation with regard to regulatory technical standards (RTS) specifying performance-related triggers and the criteria for the calibration of those triggers in STS synthetic securitisations. The RTS specify the two mandatory triggers under point (a) of Article 26c(5) of the Securitisation Regulation, set out the additional mandatory backward-looking trigger under point (b) and the mandatory forward-looking trigger under point (c).

BofA Global Research analysts note that the RTS is fairly technical in nature and its impact is difficult to assess without applying it to specific transactions. “Broadly speaking, the RTS highlights the use of backward- and forward-looking triggers, the reference points and stresses for their calculation, their calibration and application depending on pool granularity and the deal’s priority of payments.”

They also point to the emphasis on the need to provide for a transition regime for outstanding STS synthetic securitisations to implement the mandatory (as of the adoption of the RTS) performance-related triggers and the criteria for their calibration, so that there is “no interference with existing transactions”.

The Commission Delegated Regulation enters into force on the twentieth day following its publication in the Official Journal of the EU.

In other news…

KopenTech launches CLO trading protocol
Electronic trading platform KopenTech Capital Markets has introduced an all-to-all trading protocol for CLO securities and completed its first two client trades. The nature of the all-to-all protocol allows all market participants, including buy-side firms and dealers to trade with each other anonymously.

The approach is designed to enable a more inclusive and efficient trading environment, KopenTech says, with greater access to liquidity owing to a potentially larger pool of CLO counterparties. The all-to-all protocol is already in use for other fixed income products and KopenTech says it has now proven this approach is both viable and to the benefit of all participants in CLO trades. It intends to roll out the product market-wide.