New York

31 West 52 Street, New York, NY 10019

12 March 2019

25+ Speakers

Leading figures in the Risk Transfer Sector

165 Seats

Register to secure yours today


Draft Agenda


  • Delegate Bonus Session: Creating common ground for CRT Investors and Issuers

    Attend this session for a live demonstration on how to efficiently structure a CRT transaction from both the investor and issuer perspective. We will look at different macroeconomic scenarios and regulatory regimes and try to find optimal portfolio composition, tranching and pricing for both parties.

    How to combine insights in RWA and ROI? Incorporating accounting and banking standards makes it challenging to structure a deal. However, providing insights in the consequences of Basel, IFRS, CCAR and CECL adds to the opportunity to structure a deal successfully. All the effects on CET1, MREL/TLAC, IFRS9 or CECL will be considered across the entire lifetime of the transaction, including additional structuring features like excess spread, clean up goals and optimisation algorithms for portfolio composition and tranching.

    Workshop Host: Jeroen Batema, OSIS

  • MORTGAGE RISK TRANSFER

    This panel looks at the evolution of the mortgage credit risk transfer market pioneered by Fannie Mae and Freddie Mac. How have the GSEs continued to innovate, broaden investor participation in and enhance the liquidity of their programmes? What are the latest developments in the mortgage insurance-linked notes space? What are the prospects for this segment in 2019, in terms of issuance volumes and participants? How else is securitisation – whether in cash or synthetic format – being embraced to support the US mortgage finance system?

    Panel includes:

    Michael Murai, Freddie Mac
    Andrew Davidson, Andrew Davidson & Co.
    Mark Fontanilla, Mark Fontanilla & Co.
    John Sim, J.P.Morgan
    Seamus Fearon, Arch Capital Group 

  • Lunch & Networking

  • REGULATORY LANDSCAPE

    This panel examines how the implementation of the new securitisation framework, Basel 4 and IFRS 9 are changing the capital relief trade landscape. Is SEC-IRB expected to apply across the board or will some transactions fall under the more punitive SEC-ERBA? How is the market adapting to capital floors and can structures be made future-proof? What impact are the EBA’s discussion paper and the ESMA securitisation disclosure requirements having on the market?

    Panel includes:

    Leanne Banfield, Linklaters
    Alan Ball, Texel
    Ed Parker, Mayer Brown
    Steven Gandy, Santander

  • INVESTMENT LANDSCAPE

    This panel focuses on investing in capital relief trades at the peak of the credit cycle. Against increasing corporate defaults, does SRT represent sensible diversification or a risky bet? How are rising interest rates affecting investor IRR targets for both US and European transactions? How does the investment appetite of the pension/insurance industry for synthetics differ from that of hedge funds? From an issuer’s perspective, what constitutes a ‘perfect’ partner for CRTs? How have previous deals performed? Case study on lessons learned and pricing considerations.

    Panel includes: 

    Kaelyn Abrell, ArrowMark Partners
    Kaikobad Kakalia, Chorus Capital
    Jessica Littlewood, Clifford Chance
    Jason Marlow, Barclays
    Manish kapoor, West Wheelock Capital

  • Speed Networking

    Informal round table discussions plus 1 to 1 meetings

  • BEYOND BASEL 4: How the capital floor influences business models, pricing and profitability

    Basel 4 capital floors are controversial due to the increase that they are likely to introduce in banks’ capital requirements. As the cost of capital increases for certain clients, products and portfolios, this presentation will highlight how such changes can influence future transaction decisions and explain why certain transactions can influence the profitability of a portfolio.

    Workshop Host: Martin Neisen, PwC

  • THE US PERSPECTIVE

    This panel explores what is needed for US banks to engage in CRT transactions, including regulatory, accounting and tax considerations. What are the key performance metrics for US banks and can CRT deals address them? Do US investors have a similar approach to transactions to their European peers? What differences are there between the US and other CRT markets, and what role does economic risk transfer play?

    Panel includes:

    Mark Kruzel, Citi
    Som-lok Leung , IACPM
    David Felsenthal, Clifford Chance
    Charles Martino, J.P.Morgan
    Karan Chabba,  KLS Diversified Asset Management LP

     
  • Networking Break

  • EMERGING TRENDS

    This panel tracks the emergence of new issuers, investors, asset classes and jurisdictions onto the capital relief trades scene. What are the prospects for auto loan and credit card deals in 2019? What role are multilateral development banks playing in the growth of the SRT market? Are volumes of cash securitisations for SRT purposes expected to rise?

    Panel includes:

    Molly Whitehouse, Mariner Investment Group
    Olivier Renault, Citi
    Tim Cleary, Clifford Chance 
    Steven Gandy, Santander

  • Cocktail Reception

DELEGATE REGISTRATION

 Early bird delegate registration is $873.00. Start the registration process below:


Speakers

Speaker 1

Seamus  Fearon

 Chief Actuary - Global Mortgage Group

 Arch Capital Group Limited

Speaker 1

Manish is a Managing Principal at West Wheelock Capital and has 20 years of experience in originating and investing across asset classes. He is fluent in investing and sourcing structured credit, ABS and derivatives opportunities. He has also extensively advised on the impact of regulations on the origination and trading of these products. He has originated and invested in over $20 billion of transactions. 

Manish served a two-year appointment as a senior capital markets advisor at the Securities & Exchange Commission from 2015 to 2017. He was mandated to socialise new issues and trends across capital markets.

Previously, Manish was a lead creditor negotiator at the Lehman Brothers Bankruptcy Estate.  He was senior member of group, appointed to monetize and negotiate the liquidation of the largest derivative portfolios across asset classes at the Estate. He worked on the “big-bank team” which developed and implemented a uniform settlement proposal for $20 billion of derivative claims. Manish was the lead negotiator for portfolios with a market value of $2.5 billion.

Manish was the head of Sourcing & Structuring in the Strategic Transactions Group at Lehman Brothers from 2006 to 2008. His mandate was to utilise Lehman’s balance sheet to invest in principal cross-asset transactions in multiple jurisdictions.

Prior to joining Lehman, he was a Vice President at Bear Stearns from 1999 to 2006. Prior to joining Bear Stearns, Manish worked in the new products Asset-Backed origination group at Lehman Brothers from 1997 to 1999 in New York.

Manish holds a B.A. in Economics from St. Lawrence University and is a Chartered Financial Analyst (CFA).

Manish  kapoor

 Managing Principal

 West Wheelock Capital

Speaker 1

Karan  Chabba

 Portfolio Manager

  KLS Diversified Asset Management LP

Speaker 1

Jeffrey.N. Krohn

 Managing Director

 Guy Carpenter

Network with both new and established industry figures

Comments from delegates attending SCI's Synthetic Risk Transfer events in 2018:

  • Why Attend?

    "SCI was able to group together different actors of the market for the seminar, including investors, law firms, originators/buyers of protection, rating agencies, arrangers and structuring & advisory teams….it was a good opportunity to discuss capital relief trades and current trends, and do some networking."

  • Discover new issuers before they come to market

    "Our primary goal was to expand our conversations to new Issuers. This year’s conference had many new potential Issuers, this made it very productive."


 

RECENT COVERAGE OF CRT IN SCI

 

Tougher approach

14 November 2018

Standard Chartered follows with tranche carve-up

Standard Chartered has completed a US$297.5m financial guarantee that references a US$3.5bn trade finance portfolio. Dubbed Sealane 4, the transaction is a replacement trade for Sealane 3 - which matures in December - and is structured as a dual mezzanine tranche to appeal to a broad base of investors and address the EU Securitisation Regulation’s higher capital requirements. 

The junior mezzanine tranche (representing 0.5% to 6.5% of the capital structure) attracts the typical capital relief trade investor, such as hedge funds, whereas the senior mezzanine tranche (6.5% to 9%) targets real money investors. The remainder (0% to 0.5% first loss tranche) has been retained by the bank. Re-tranching is a practice that has been employed by other banks - most notably Credit Suisse - and it involves slicing into two the junior risk, in order to address the higher capital requirements of the new Securitisation Regulation. The rise in senior risk weights is expected to force issuing banks to mitigate the capital increase by structuring deals with thicker junior tranches. However, thicker tranches come with lower returns, which in turn give rise to the re-tranching technique. 

The latest transaction follows three other risk transfer deals in 2H18 by Standard Chartered and signals the UK bank’s return to capital relief trades following a near three-year hiatus. PGGM was the investor in one of these deals, a corporate deal dubbed Sumeru 3. The Dutch pension fund has invested in previous Standard Chartered CRTs in the form of second loss investments, such as Sumeru 2 (corporate loans) and Shangren 3 (trade finance loans). 

The deal features a weighted average life that does not exceed three months, a 3.25-year replenishment period and a 4.5% cumulative default trigger that brings replenishment to an end if the trigger is breached. Another feature is the early termination of the protection, which will be triggered if the aggregate loss in the portfolio has exceeded the detachment point of the sold tranche (9%). Moody’s has rated a separate deal to Sealane 4 called Trade Finance Transaction 2018-2
that, however, shares the same portfolio with Sealane 4. The transaction is composed of three rated tranches, which have been retained on Standard Chartered’s balance sheet. The retained tranches consist of US$105m Aaa rated class A notes, US$192.5m A1 rated class B notes and US$70m A3 rated class C notes. 

The portfolio has several positive characteristics, such as high granularity – the effective number of borrowers is not lower than 200 - and geographical diversification. Approximately 58% of the initial portfolio is concentrated in Asia and the remainder is in the Indian Subcontinent (21%), Middle East and North Africa (11%) and several other regions. The top five locations are Hong Kong (17%), India (14%), China (12%), Singapore (10%) and the United Arab Emirates (6%). 

However, Moody's has considered the possibility that portfolio composition may change over time. Elaine Ng, vp at Moody’s, explains: “The loans are short tenor since they can be as short as one month or not exceed 366 days, and can be replenished over a 3.25-year period. So there is a challenge when it comes to assessing the credit quality of future loans. Accounting for this meant focusing our analysis on replenishment criteria and portfolio covenants, such as the short weighted average life, the cumulative default trigger and the exposure limits on obligors with low credit quality.” 

The portfolio comprises 15,005 underlying loans of 1,620 corporate reference entities. Most of the loans are short-term senior unsecured loans. The top five industries in the initial reference portfolio are metals and mining (11%), consumer goods (including non-durable) (10%), beverages, food and tobacco (10%), high tech industries (10%) and chemicals, plastics, and rubber (9%). 

 

Credit risk first

30 October 2018

Fannie Mae has prepared its first credit risk sharing transaction to be issued using a real estate mortgage investment conduit (REMIC). Dubbed Fannie Mae Connecticut Avenue Securities (CAS) 2018-R07, the transaction features an offered amount of US$921,887,000m and references a pool of 98,657 prime, fixed-rate mortgages, totalling approximately $24.3bn. According to Fannie Mae, the transaction is designed to promote the continued growth of the market by expanding the potential investor base for these securities. It achieves this by making the CAS programme more attractive to real estate investment trust (REIT) investors, as well as other investors.

Additionally, the REMIC construct provides noteholders with reduced counterparty risk exposure to Fannie Mae through a cash securitisation. While Fannie Mae will act as transaction trustor and administrator, the offered notes represent obligations of CAS Trust 2018- R07, a REMIC trust, not Fannie Mae. Payments to the Notes will be governed in part by the CAA and the CCA between the Issuer (credit protection seller) and Fannie Mae (credit protection buyer). The CAA and the CCA represent unsecured contractual obligations of Fannie Mae.
 

 

Testimonials

" This event provided valuable insight on credit risk transfer and importantly from different market participants' perspectives "

" The right number of attendants to have useful discussions "

" When I say that the event met my expectations, you should also know that my expectations were very high based on last year's event - and they were still met! "

" An interesting summary of developments in the sector. "

" One of the very few CRT conferences out there, with an impressive roster "

" Good quality knowledgeable panels "

" A good conference that was well attended ."

" Good event to network and get an overview of the market in Europe. Great panels about regulatory challenges and future prosperity of the SRT industry "

" Great representation from most market participants - a networking opportunity."

" Well organised event providing excellent networking opportunities. Fantastic attendance from a range of market participants including investors, arrangers, issuers and law firms "