Contents

Capital Relief Trades

Multi-tranching?

Investor diversification raises triple-tranche prospects

Seer Capital sees a future for triple tranche structures in significant risk transfer transactions. One driver is the market’s need to further diversify the investor base.

According to Richard d’Albert, co-cio and cro at Seer Capital: “We are going to see more dual- and multi-tranche structures. It’s just a more efficient way for banks to execute thicker hedges in compliance with regulatory requirements. Banks want to broaden their investor base, so three-tranche structures is a natural way to bring in more conservative investors who want higher attachment points.”

Banks began introducing dual-tranche structures last year, following the advent of the new securitisation regulation. Dual-tranche structures are a way to address the thicker tranche requirements of the new regulation.

Seer has been involved in synthetic securitisations since the early days of the firm in 2008-2009 and further back. Seer staff include Deutsche Bank alumni who helped develop the CRAFT and GATE programmes (SCI 6 October 2010).

D’Albert, for instance, was global co-head of Deutsche Bank’s securitised products group, which included credit and conduit products, special situations, principal trading and ABS trading. From 2002 through 2004, he headed the securitised products group for the Americas. He was a member of the global credit trading management committee at Deutsche Bank from 2004.

“As a result, we have a very deep understanding of the regulatory constraints behind these transactions. Post-crisis, we’ve been involved in both club and syndicated deals,” he says.

D’Albert continues: “Issuers tend to come to us if they want to hedge a new asset class; Seer has a focus on a broad spectrum of securitised asset classes, thanks to our ability to leverage off in-house expertise from other securitisation markets, including consumer assets, CMBS, RMBS and CLOs. The SRT market has been traditionally in the corporate and SME space, which is where the bulk of other investors developed their expertise.”

According to Seer estimates, the SRT market hit a record US$11bn of total tranche notional in 2019, with the most important development being the advent of new issuers and a broadening of asset classes represented in the SRT market, including CRE, mid-market leasing and residential mortgages. Another important development has been the thicker tranche requirements of the new Securitisation Regulation that came into effect last year and the creation of a nascent mezzanine market.

Seer has participated in some of these mezzanine trades. Terry Lanson, md at Seer Capital, notes: “Typically, most investors in this market sell protection on the first loss tranche and we are always looking for opportunities in that space. However, our objective is to accumulate a portfolio of transactions where the return is more than commensurate with the risk; so, ultimately, it depends on the risk-return profile of each asset class. The bulk of the mezzanine trades that we have seen have been in the UK.”

Seer’s flexibility isn’t reflected just in the different asset classes and tranches where it deploys capital, but also the timing of its investments. D’Albert explains: “We don’t need to deploy capital at specific points in the cycle. Issuance in this market tends to peak at the end of the first half and particularly at year-end, but we are not a single strategy firm.”

He adds: “Single strategy firms that focus solely on SRTs can lose some ability to be opportunistic and invest in times of the year when larger target issuance volumes place investors in stronger negotiating positions. We, on the other hand, have a diversified portfolio that has grown considerably over the years, so we can be flexible with the timing of our investments.”

Nevertheless, there are limits to such flexibility. D’Albert explains: “We could consider smaller standardised banks, although we would expect a higher premium because of the higher counterparty risks that are typically associated with these banks. However, our focus would always be on the underlying portfolio: as the market keeps growing, we will opt for more granular asset classes. Overall, we are very encouraged by the diversity of asset classes, since it plays to our strengths.”

Looking ahead, Lanson concludes: “The SRT market will continue to grow and is in fact in a position to benefit from any potential turn in the credit cycle. SRTs have consistently outperformed other securitisation asset classes, given the robust underwriting standards, alignment of interests and high-quality collateral. Banks will have to rely on SRT technology more than ever in an atmosphere of low growth, low rates and increasing capital requirements, which will drive them to hedge different asset classes.”

Stelios Papadopoulos

Structured Finance

SCI Start the Week - 9 March

A review of securitisation activity over the past seven days

Transaction of the week
AmTrust International has completed its inaugural capital relief trade, which references a €1bn seasoned low-LTV residential mortgage portfolio originated by an undisclosed leading Italian bank. The transaction is believed to be a first for the European market in that the SRT mechanism is via an insurance policy, rather than a financial guarantee.
See SCI 2 March for more.

This week's stories
Climate risk
Climate impact reporting at early stages
Game changer?
FDIC rule change to boost bank securitisation
Green light
OCC gives regulatory approval to JPM CRT
NPL recognition delayed
Chinese SMEs supported amid Coronavirus outbreak
NPL reductions eyed
Greek liquidation law set to facilitate securitisation
Opaqueness premium
Regulatory RWA variability highlighted
Pandemic cat bonds triggered
World Bank ILS could encourage further issuance
Performance issues
Italian NPL ABS business plans scrutinised
Retail hit
Potential impact on Italian CMBS eyed
Retail repositioning
Euro CMBS sponsor strategies weighed
Virus-related volatility
European ABS market update

Other deal-related news

• Forbes Ventures' UK subsidiary Forbes Ventures Investment Management has established a Securitisation Cell Company (SCC) in Malta. The purpose of the SCC is to facilitate the securitisation of litigation funding assets (SCI 2 March).
• In anticipation of the transition from Libor as a universal benchmark interest rate in 2021 and the effort to find robust rates to replace it, Mayer Brown has launched a dedicated global multidisciplinary task force (SCI 2 March).
• KBRA has been notified of the sale of 29 properties in the Eos (ELoC No. 35) CMBS. All of the properties are located in the Netherlands and nearly all (28) are industrial assets (SCI 3 March).
• The European Court of Justice has ruled that EU consumer law should be considered when deciding on the transparency of the sale of consumer mortgages linked to the IRPH index in Spain. The ECJ stated that there should be sufficient transparency during the sale of these mortgages to allow the average consumer to understand the method used to calculate the variable interest rate applicable to the loan and to evaluate the economic consequences of the index (SCI 3 March).
• Data from the first reporting period for the Gaia Finance Portuguese NPL ABS in November 2019 show that the deal's cumulative collection ratio stands at 87%. JPMorgan international securitisation analysts note that this means the transaction has breached its trigger for an interest subordination event (set at 90%) (SCI 3 March).
• The EIF has signed new guarantee agreements with Unicredit Bulbank, United Bulgarian Bank and ProCredit Bank (Bulgaria) to support the fast-growing documentary finance activity in Bulgaria. Under these agreements, the three EIF partner banks will finance Bulgarian small enterprises and small mid-caps with documentary credit lines, such as letters of credit, payment guarantees, advance payment guarantees and performance bonds (SCI 4 March).

REMINDER: SCI NPL Securitisation Awards 2020
Nominations are now open for the inaugural SCI NPL Securitisation Awards with a deadline of 20 March. Further information and details of how to pitch can be found here.

New MRT report
SCI has published a new Special Report on the US Mortgage Risk Transfer sector - it can be downloaded for free here.

Data

BWIC volume

Capital Relief Trades

Regulatory events

Standard Chartered amends Gongga SRT terms

Standard Chartered has amended the regulatory event definitions for the class A notes of a corporate SRT dubbed Gongga that was finalised last year (SCI 2 August 2019). The amendments exclude any reference to any requirement to disclose information about the underlying borrowers as per ESMA’s securitisation disclosure requirements, where doing so would be impossible or result in a breach of confidentiality provisions.

Standard Chartered left a provision in the regulatory event definitions that would allow it to call the transaction, if ESMA’s securitisation disclosure templates forced it to disclose information that the bank wasn’t allowed to do so legally or contractually.  The bank is now amending the definitions, given that it is in a position to comply with the templates without any legal or contractual breaches, largely due to the automation of the extraction of required information. The amendments don’t imply any breach of regulatory events as defined in the regulatory call option.

The automation of the process is in line with the practices of other banks, although the practical implementation of such a procedure will depend on each lender’s loan book, credit systems, policy and processes. Nevertheless, for the market as a whole, squaring the circle between confidentiality and compliance with the disclosure requirements remains a challenge (SCI 1 November 2019).

Another concern is the maximum use of the no-data options, although ESMA has published a consultation in January that aims to help market participants understand the expected maximus use of these options (SCI 17 January). Banks are currently carrying out tests in relation to these proposals, while the consultation remains open until 16 March.

The Gongga transaction has a dual-tranche structure and was completed in July last year. The deal references a US$2bn undisclosed corporate portfolio from the UK, Dubai, India and Africa. The two tranches were sized at US$70m (class A) and US$120m (class B).

Stelios Papadopoulos

NPLs

AMC uncertainty

Trade deal clouded by uncertainties for NPLs

The US-China trade deal now finally allows foreign investors to acquire coveted local AMC licences that will in turn allow them to buy non-performing loans directly from banks. However, foreign investors remain in the dark about whether foreign-owned AMCs will be able to engage in the same activities as domestic ones.   

According to King & Wood Mallesons (KWM), compared to the existing foreign-owned ‘non-licensed’ AMCs - which can only participate in secondary market transactions - a US financial services firm with a local AMC license should be able to participate in primary market transactions under the US-China trade deal, by acquiring NPL portfolios directly from banks, and therefore benefit from pricing and supply advantages. The trade deal allows this only for US financial services firms. Yet, to the extent that financial services are covered by a most-favoured nation (MFN) clause in a trade agreement between China and another jurisdiction, arguably this favourable measure may, over time, extend to other jurisdictions.

Oaktree became the first foreign investor to acquire a local AMC licence last month. According to Deloitte data, over 90% of Chinese NPL portfolios are sold to the ‘big four’ national AMCs - Cinda, Huarong, China Orient and Great Wall (SCI 19 February).

KWM qualifies though that the trade deal does not contain much detail. Over time, investors hope that Chinese regulators will publish policies and guidelines to clarify the eligibility criteria, requirements, procedure and timeline for US financial services firms wishing to obtain local AMC licenses, as well as the scope of permitted business activities for these foreign-owned local AMCs.

Market participants, for instance, want to know if foreign-owned local AMCs may engage in the same activities as a domestic local AMC in the relevant province. To the extent that Chinese-owned local AMCs are permitted to engage in a broader range of activities in the future, foreign-owned local AMCs may also benefit from such regulatory relaxation.

Owning local AMCs may prove to be a double-edged sword, however. A recent PwC report notes that while on the surface it would appear that by removing AMC wholesalers from the equation, investors with AMC licenses will pay less than they presently do for portfolios - enhancing their ability to achieve higher IRRs - but this may not end up being the case.

The newly formed AMCs may find themselves competing with incumbent ones in competitive sales processes run by banks, with a shortened timetable for due diligence and less access to information on the loans than they are currently used to. Hence, “in order to win portfolios under this model, they may have to be more aggressive in their underwriting. If this results in them overpaying for deals, this could risk offsetting the wholesaler premium that they thought they were cutting out,” states PwC.

China’s NPL pool continues to grow in size. PwC estimates US$1.5trn of NPLs and other “stressed assets”, such as shadow bank exposures (for example, P2P loans and trust loans) and special mention loans or loans that are on a watchlist but would be considered as NPLs under western classification systems. The Coronavirus crisis adds to the existing risks, but Chinese authorities have given banks some breathing space this month to deal with the crisis by delaying NPL recognitions (SCI 2 March). 

Stelios Papadopoulos

RMBS

Mortgage moratoriums

Impact of payment suspensions to be limited

The Italian government and a trio each (at the time of writing) of lenders in Ireland and the UK are set to temporarily suspend mortgage payments for certain borrowers amid the disruption caused by COVID-19. The impact of these moratoriums is expected to be limited for RMBS bondholders, however, unless more sweeping or long-lasting programmes are introduced.

In 2007, the Italian government established a scheme whereby mortgage borrowers could request instalment suspension under specific circumstances – they become unemployed or suffer a sudden physical injury – that could have an impact on their overall income level. It applies to first lien mortgages under €250,000 and borrowers have to be on a low income and be in an early stage of arrears to qualify.

The new government decree extends the use of the fund to borrowers that experienced temporary reduced working hours or total suspension for at least 30 days, due to the coronavirus outbreak across Italy, according to TwentyFour Asset Management. The fund will pay the lenders of qualifying borrowers their interest payments.

“This is a pro-active measure, where the government is footing the bill to help what ultimately should prove to be a relatively restricted sub-set of borrowers,” TwentyFour observes.

JPMorgan international securitisation analysts highlight that previous Italian decrees often had carve-outs for securitised mortgages in SPVs to mitigate the impact of loan modifications on RMBS cashflows. These included lenders granting new ‘bridge’ loans to finance the shortfall between the original monthly mortgage payments and the revised payments following interest-rate renegotiations and originators repurchasing or refinancing securitised loans with interest rate modifications.

“In the absence of such a securitisation-specific carve-out, post-crisis Italian RMBS transactions have existing repurchase clauses which permit the servicer to repurchase loans from the SPV, up to a capped percentage. Beyond this, and apart from the potential for any subsequent amendments to deal documentation to permit more widespread repurchases (which would naturally drive the possibility of increased CPRs), mortgage payment holidays could result in lower effective CPRs via temporarily more limited principal collections,” the JPMorgan analysts note.

While it is possible that payment holidays for securitised mortgages could drive periodic interest shortfalls for bonds with non-zero coupons, over 70% of Italian RMBS bonds are currently paying zero interest (as the negative three-month Euribor rate is inadequately offset by the low coupon margins of legacy deals), according to JPMorgan figures. Furthermore, many Italian RMBS maintain fully-funded cash reserve accounts, which also mitigates the potential for interest shortfalls.

Consequently, given there is only €3.9bn of distributed Italian RMBS outstanding, the overall impact of the Italian debt moratorium for prime RMBS bondholders is expected to be limited.

Nevertheless, a sector that could be detrimentally impacted by the COVID-19 lockdown and economic slowdown in Italy is non-performing loan securitisations, as servicers’ ability to execute collections and meet their current business plan targets will likely be impeded. Consequently, while cumulative collection ratios for many Italian NPL ABS maintain a relatively healthy cushion above their interest subordination triggers, performance triggers could be breached - which may, if sustained, result in accumulation of interest shortfalls on class B tranches, as payment of interest becomes subordinated to class A principal repayment.

Meanwhile, AIB, Bank of Ireland, Lloyds, NatWest, TSB and Ulster Bank are offering virus-affected customers short-term deferrals of mortgage repayments. What differentiates this activity from that in Italy is that the lenders are not having a policy imposed on them by government.

As such, if the move materially disadvantaged RMBS bondholders, there would typically be a challenge. However, the payment suspensions are expected to target only a small percentage of their overall mortgage book and - given their reliance on capital markets funding - the lenders are likely to be focused on avoiding a negative situation for their bondholders.

TwentyFour points out that allowing a degree of forbearance and payment holidays are standard features in mortgage agreements anyway. “As RMBS investors, we can extrapolate the impact of such measures in the modelling of our own holdings, and in stress testing we can increase the impact of arrears and defaults to the point where each tranche of bonds would hypothetically suffer a loss. We have been very comfortable with the results,” the firm notes.

Nonetheless, the JPMorgan analysts conclude: “In our view, the impact of temporary repayment holidays would be worth revisiting if specialist lenders also follow suit, or if a more sweeping or longer-lasting scheme were to be announced.”

Corinne Smith

Structured Finance

Insurance giants set to combine

Sector developments and company hires

Insurer combination agreed
Aon and Willis Towers Watson have agreed to combine in an all-stock transaction with an implied combined equity value of approximately US$80bn. The strategic rationale behind the combination is to create a more innovative platform capable of delivering better outcomes for all stakeholders, including new solutions that more efficiently match capital with unmet client needs in high-growth areas like cyber, delegated investments, intellectual property, climate risk and health solutions. The combined company - to be named Aon - will maintain operating headquarters in London, with John Haley taking on the role of executive chairman. The combined firm will be led by Greg Case and Aon cfo Christa Davies, and the board will comprise proportional members from Aon and Willis Towers Watson's current directors. Subject to the approval of the shareholders of both Aon Ireland and Willis Towers Watson, as well as other customary closing conditions, the transaction is expected to close in 1H21.

North America
John Butler, head of Cohen & Company’s US insurance asset management platform and global ILS programe has joined Kovrr’s advisory board. He will advise the firm on its continuous global expansion, providing cyber risk modeling solutions for insurance and risk professionals. Butler has over 20 years of ILS and reinsurance market experience and was previously managing partner at Twelve Capital. Additionally, he is president and ceo of Insurance Acquisition Corp, a blank cheque company formed for the purpose of effecting a business combination with a primary focus in the insurance, reinsurance or insurance-related services sectors.

Vida Capital, a portfolio company of Reverence Capital Partners and Redbird Capital Partners, has announced management changes that are intended to better align the organisation. Bill Tice - currently senior md, marketing, investor relations and business development - has been promoted to president and cio of Vida Capital Management (the SEC-registered investment advisor subsidiary of Vida), reporting to Jeff Serra, Vida ceo and founder. Additionally, Tice will become a member of the board, overseeing all investment activities of Vida’s funds to include investments in life settlements, ILS (through the Merion Square joint venture) and special situations. His focus on capital raising, investor relations and new business development will also continue. Prior to joining Vida in 2014, Tice held senior positions at Siguler Guff & Co, Q Investments and The Park Hill Group. Separately, Brian O’Grady, currently an md, will be promoted to senior md and head of marketing, reporting to Tice.

Structured Finance

Dutch VAT grace period mulled

Sector developments and company hires

Alhambra missed payment
A borrower of a €10m loan securitised in the Alhambra SME Funding 2019-1 transaction has missed its February interest payment. The servicer says it is in “close contact” with the borrower and does not believe it is a defaulted loan, as defined in the prospectus. The borrower expects to receive funds in the coming weeks, which will allow it to pay the February interest. Meanwhile, a different borrower in the pool has repaid its entire €10m loan, plus a full make-whole payment of €2.12m.

Bridge loan deal inked
Toorak Capital Partners has priced a US$400m securitisation of residential bridge loans, the largest ever issuance in the asset class. Dubbed Toorak Mortgage Trust 2020-1, the transaction is the fourth residential bridge loan securitisation issued by the company and brings its cumulative securitisation volume to US$1.25bn. The latest deal drew investor orders significantly in excess of the quantity of notes offered, and the offering was upsized by 33% during the marketing period. The transaction features a two-year revolving period, during which time loan payoffs can be reinvested in new loans.

Dutch VAT grace period
The Dutch tax authorities are currently considering the term of a grace period in connection with the VAT due on CLOs domiciled in the Netherlands (SCI 24 February). A such, CLO issuers have been orally informed by the authorities that they will not apply their recently revised position on the VAT exemption.

ESG approach published
DBRS Morningstar has published its approach to ESG risk factors in credit ratings. The agency considers 17 significant ESG risk factors within its analysis and incorporates them in its issuer and transaction-specific ratings for the life of the transaction/rating. It will provide ESG disclosures in all press releases, specifically addressing instances where ESG risk factors are a key rating driver that affect a credit rating or rating outlook.

North America
Ares Management Corporation has appointed Adam Heltzer as md and head of ESG, effective 1 April. He will be based in New York and report to Michael Arougheti, ceo and president of Ares. Under Heltzer’s guidance, the firm will seek to enhance its existing ESG efforts and establish a more robust framework for assessing and reporting against key performance indicators across its credit, private equity and real estate strategies. He previously oversaw a team managing the integration of ESG factors at Partners Group and before that served as a global leadership fellow at the World Economic Forum and worked at The Louis Berger Group and CG/LA Infrastructure.

New Residential Investment Corp has added key leadership roles to its mortgage subsidiary NewRez, including Baron Silverstein as president and Neeraj Kalani as chief marketing officer. Silverstein will report to Bruce Williams, ceo of NewRez, and has spent the last 12 years at Bank of America Securities, most recently as head of residential mortgage finance. Before that, he held RMBS leadership roles at JPMorgan and Bear Stearns. Most recently, Kalani was head, global customer strategy at Pfizer and has also worked at PepsiCo, The Clorox Company, General Electric and Hewlett Packard.

Taxonomy recommendations released
The Technical Expert Group on Sustainable Finance (TEG) has published its final reports and recommendations to the European Commission on the EU Taxonomy. The Taxonomy Regulation (TR), agreed at the political level in December 2019, sets out the framework and environmental objectives for the Taxonomy, as well as new legal obligations for financial market participants, large companies, the EU and member states. The TR will be supplemented by delegated acts that contain detailed technical screening criteria for determining when an economic activity can be considered sustainable and hence can be considered Taxonomy-aligned.

Structured Finance

AXA IM creates two key units

Sector developments and company hires

AXA IM restructuring
AXA Investment Managers intends to create a new €137bn business unit - called AXA IM Alts - as part of a wider restructuring of the business into two key divisions, with the aim of creating a simplified and more focused organisation. The other new business unit would be known as AXA IM Core. Under the leadership of Isabelle Scemama, who would also remain ceo of AXA IM - Real Assets, the new Alts business unit would bring together AXA IM’s €87bn AUM real assets business, its €48bn structured finance platform and its Chorus hedge fund business. Deborah Shire will take the newly-created role of deputy head of AXA IM Alts, in charge of corporate development, while keeping her current role of global head of structured finance, and joins the AXA IM management board. Dedicated sales and client services functions will be led by Florence Dard, global head of business development at AXA IM - Real Assets, who would see her role extended to global head of client group, Alts. As a combined business, AXA IM Alts could leverage over 30 years of fund raising and capital deployment in alternatives to generate additional cross-sourcing opportunities and market insight. With €536bn of AUM, AXA IM Core will bring together the fixed income, Framlington Equities, Rosenberg Equities and Multi-Asset investment platforms under the leadership of Hans Stoter, who would become global head of AXA IM Core. These changes are expected to be implemented in 2Q20.

Coronavirus insights offered
Moody’s is now offering its research and views on the credit and economic impact of COVID-19 via a dedicated website, available to the public free of charge at moodys.com/coronavirus. Updated on an ongoing basis, the site brings together insights from across the company, providing a resource for market participants to better understand the financial implications of the outbreak.

EMEA
LendInvest has appointed former CBRE senior director and head of loan advisory Anurag Sharma as fund manager, responsible for managing multiple portfolios of assets for investors, including LendInvest’s flagship Real Estate Opportunity Fund. Additionally, he will sit on LendInvest’s credit committee, with a particular emphasis on large and complex bridging loans. Sharma has worked with LendInvest in an advisory capacity for several years while leading the loan advisory team at CBRE Capital Advisors. As head of the debt valuation and underwriting team at the firm, he accumulated experience of pricing debt portfolios across the capital stack and executed a number of debt sale transactions across Europe to private equity and institutional buyers. Before joining CBRE in 2016, Sharma held structured finance positions at Barclays, Deloitte and PwC. 

Structured Finance

Native blockchain securitisation debuts

Sector developments and company hires

Ares facility inked
Non-Standard Finance (NSF) has entered into a new six-year securitisation facility totalling £200m, at pricing that is more favourable than its existing facility and is expected to result in a pre-tax saving of approximately £1m in the year ended 31 December 2020. On satisfaction of certain conditions, the new facility – which is provided by credit funds managed by Ares Management Corporation – will be available to fund continued loan book growth for the group's fast-growing branch-based and guarantor loans divisions. It is also expected that the facility will be used to repay a proportion of the current outstanding debt under the company's existing drawn credit facilities.

Blockchain ABS completed
Figure Technologies has issued the first-ever securitisation backed by loans originated, serviced, financed and sold on blockchain via a platform dubbed Provenance. The collective benefit of blockchain to the parties over the lifecycle of the securitised loans totaled over 100bp. Parties in the transaction included Figure (the originator), Jefferies Group (structuring agent, lead underwriter and warehouse provider), Nomura (lead underwriter), Tilden Park Capital (loan contributor and subordinated note buyer) and a large asset manager (senior note buyer). Provenance is designed to create a more accessible ABS market, where smaller issuers may securitise assets at a lower cost than the traditional model.

Containment risk ranked
The asset performance of almost 90% of structured finance (SF) transactions globally have high or moderate vulnerability to disruptions as a result of the coronavirus and containment efforts, according to a Fitch report. The report categorises each sector's asset performance vulnerability as high, moderate or low to the effects of a temporary coronavirus disruption scenario, including travel restrictions, business and school closures, and a moratorium on large gatherings in major metropolitan areas in all countries around the globe.

Fitch assigns a high asset performance vulnerability assessment to the assets underlying SF transactions in China, Italy and South Korea. The high assessment also applies globally to aircraft ABS and CMBS loans secured by hotel and retail properties.

The remaining Fitch-rated SF transactions are ranked as having moderate or low asset performance vulnerability. “Most transactions have sufficient liquidity provisions in place that can support timely interest payments despite higher arrears and lower cash flow due to the temporary disruption,” the agency says.

Fitch assumes for this risk ranking exercise that the disruptions will last one to three months, and that servicers and governments are likely to provide temporary payment relief to borrowers. The agency says it recognises the growing risk of a more severe and sustained scenario and is currently analysing the asset performance and rating implications of more protracted scenarios.