London

One Bishops Square, London E1 6AD 

16 Oct 2018

25+ Speakers 

Leading figures in the Capital Relief Trades Sector

250 Seats

38 remaining

Register here


Agenda

  • REGISTRATION

  • DELEGATE BONUS: Credit Insurance Session

    Credit insurance: introduction, overview and its application to structured finance, including synthetic securitisation
    Kindly sponsored by          
    Credit insurance has long been used by banks and other counterparties to manage counterparty exposure and provide capital relief. The application of credit insurance is however evolving, with insurance solutions being developed for a growing range of asset classes and finance structures, including credit portfolios and alternative asset classes. This session will open with a brief introduction to credit insurance, its applications and an overview of the insurance market. It will then move on to address many of the FAQs both first-time and more experienced buyers of credit insurance can raise about the product. The remainder of the session will then focus on more detailed case studies illustrating e.g. how the use of insurance as a financial guarantee in synthetic securitisations can be an attractive solution not only for banks but also for investors. The aim of the session is to leave the audience with a good overview of credit insurance, how the product and the market work and its potential in relation to structured finance.

    Workshop Hosts: Catherine Molony & Alan Ball

  • REGULATORY OVERVIEW

    PRA and Bank of England consultations on risk transfer are underway, while Basel 4 reforms and the new securitisation framework are being implemented. How far along the regulatory process is the capital relief trades market and how is it responding to the consultations? Has the political climate for risk transfer transactions changed? Is there any clarity over ratings approaches (for example, the SEC-IRBA versus the SEC-ERBA)?

    Panel includes:
    Edmund Parker, Mayer Brown
    Jeroen Batema, OSIS
    Jo Goulbourne Ranero, Allen & Overy
    Martin Neisen. PWC
    David Moffitt, Libremax Capital
    Tim Cleary, Clifford Chance
    Ian Bell, PCS Secretariat

    Jeroen Batema comments “ The new Basel and IFRS 9 rules in combination with changing macro conditions make the effectiveness of CRT transactions uncertain. During the Regulatory Overview panel OSIS will share the economic results of four hypothetical transactions under current the Basel environment transitioning to Basel 4, full Basel 4 effective in 2027 using the EBA 2018 baseline and adverse scenario.

    Martin Neisen comments: Basel IV will change all approaches for the calculation of RWA, no matter if internal models or standardised approaches and no matter which risk type. The effect on capital ratios will be very individual depending on portfolio structure, risk appetite, clients and products. This will force credit institutions to optimise their portfolios once again and will create both threats and opportunities for all financial markets participants.

  • Lunch & Networking

  • STRUCTURING CONSIDERATIONS

    Kindly sponsored by       

    A number of structural recommendations highlighted in the recent EBA paper on significant risk transfer are being implemented in deals, such as thicker tranches, synthetic excess spread and time calls. Funded market technologies are also being incorporated in capital relief trades, while financial guarantees are increasingly being used rather than CDS, due to accounting benefits. How else are regulatory developments being reflected in structuring activity? Which other considerations should structurers take into account?

    Panel includes:
    Leanne Banfield, Linklaters
    Michael Bennett, Arch MI
    Emmanuel Blind, Societe Generale
    Assia Damianova, Cadwalader
    Thorsten Klotz, Moody's

    Thorsten Klotz comments:"Private transactions have certain heightened risks. A lack of transparency and third-party scrutiny remain the biggest risk factors differentiating private synthetic securitizations from public transactions. Because synthetic securitisations reference the same types of assets that back cash deals, the differences between the two are largely structural.Proposed EBA SRT guidelines would strengthen transaction structures and improve standardisation."

    Leanne Banfield comments“Market participants are increasingly keen to ensure that they implement the recommendations set out in the EBA paper in their deals. We will therefore explore some of the key considerations of this paper and the impact that they have on structuring, as well as looking at the wider structuring issues facing the market.”

     

  • Networking Break

    Kindly sponsored by 

  • ISSUER PERSPECTIVE

    Historically capital relief trade issuers have tended to follow precedent, but now they are adopting a number of innovations across different jurisdictions and asset classes. How do originating banks select which assets to expand into beyond corporates and SMEs? Is a greater uptake of synthetic securitisation likely among standardised banks via the SEC-SA approach?

    Panel includes:
    Carlos Silva, DBRS
    Andrew Scourse, Santander
    Jessica Littlewood, Clifford Chance
    Frank Benhamou, Barclays
    Georgi Stoev, European Investment Fund
    Juan-Carlos Martorell, Mizuho International

    Frank Benhamou comments: “The SCI Seminar is a unique opportunity to meet at once all active participants in the reg cap market. The event is also essential to discuss the most recent and relevant topics of the industry.”

    Georgi Stoev comments: "As part of one of the major investors in the synthetic space, my participation to the panel will provide the audience with insights about the latest trends in type of structures and the development of the nature of protection buyers."

     

  • INVESTOR PERSPECTIVE

    Demand for capital relief trades continues to expand, with new investors bringing different requirements, such as greater control over asset realisation. This panel examines the incentives for new entrants to the space and how investors view more esoteric assets, such as CRE and infrastructure.

    Panel includes:
    Matthias Neugebauer, Fitch Ratings
    Kaelyn Abrell, ArrowMark Partners
    Virgile Maixandeau, Nomura
    Daniela Francovicchio, European Investment Fund
    Pascale Olivie, Credit Agricole CIB
    Christopher Redmond, Willis Towers Watson

    Kaelyn Abrell comments: The pace and nature of SRT issuance have changed meaningfully over the last year. The Investor Perspective Panel will explore the impact of expanding asset types as well as increasing variation in structural attributes and forms of credit enhancement.

    Pascale Olivie comments: “Cacib keeps on developing CRTs transactions to optimize its capital mangement and anticipate next regulatory waves/impacts (extended provisioning and related volatility under IFRS9, Basel 4 ...). In addition synthetic securitization is also used as a synthetic distribution solution to support Business development (contributing to the Distribute to Originate model of the Bank). This goes beyond "pure ALM mandate" and leads us to widen the scope of asset classes, investor basis and to propose bespoke leveraged investments.

  • Networking break

    Kindly sponsored by 

  • ISSUANCE TRENDS

    Kindly sponsored by      

    Some sophisticated banks are executing risk transfer trades explicitly to comply with IFRS 9, but the accounting standard remains too complicated for most to get to grips with. At the same time, mortgages have risen up the agenda, due to amendments to the CRR. This panel explores how the market could be broadened further, with more standardised deals and streamlined processes. What are the drivers behind the geographic expansion into Canada, Japan and the US?

    Panel includes:
    Ruairi Neville, Arch MI
    Matthias Korn, Caplantic
    Kaikobad Kakalia, Chorus Capital
    Andrew Traynor, Walkers
    David Wainer, Allen & Overy

  • MACRO VIEWPOINT: Climate Risk and Portfolio Management

    As governments and policy-makers create yet more commitments on climate change, the global transfer of capital in the commercial and financial worlds is making the transition to a low carbon economy a reality. Buyers are choosing greener suppliers, fund managers are re-allocating investments towards the green economy, banks are managing their risk exposure to stranded assets and regulators are considering capital charges for climate risk. Portfolio managers need to adapt their risk management tools to accurately identify, quantify and manage climate risk exposure in their portfolios. This session will introduce delegates to the core facts on climate risk and how they cause market distortions, discuss quantitative frameworks for broader portfolio management, and suggest new approaches for the integration of climate risk metrics into decisioning. As data, models and regulatory capital requirements evolve, potential exists for climate risk driven CRTs.

    Workshop Host: Rob Reoch, Equilibrium  

  • Cocktail Reception

    Kindly sponsored by 

Registration

Early bird delegate registration is £833 +vat

Start the registration process below:


Speakers

Speaker 1

Edmund "Ed" Parker is Partner and Global Practice Head - Derivatives & Structured Products at Mayer Brown. Ed also serves on Mayer Brown's partnership board.  Ed’s work covers all aspects of derivatives at the highest levels.  He has been nominated as Global Derivatives Lawyer of the Year, such is the strength of his technical excellence in this field.  He is a trusted thought leader for both clients and the profession, writing extensively on derivatives matters.  Under his stewardship, the team was declared overall winner - Americas Law Firm of the Year at the 2018 GlobalCapital Derivatives Awards.  The practice also won European Law Firm of the Year for three consecutive years; and US Law Firm of the Year for the second consecutive year at the 2017. 
Ed has been highly active on many of our most demanding, and innovative, mandates.  He is the industry’s most widely-published lawyer on the subject and has written five books on derivatives.  Edmund's written works consists, as sole author of both "Credit Derivatives: Documenting and Understanding Credit Derivative Products" and "Credit Derivatives: Understanding and Working with the 2014 ISDA Credit Derivative Definitions"; as sole editor "Equity Derivatives: Documenting and Understanding Equity Derivative Products", and as co-editor of "Commodity Derivatives: Documenting and Understanding Commodity Derivative Products" and "Practical Derivatives: A Transactional Approach".
 

Ed Parker

 Global Practice Head

 Mayer Brown

Speaker 1

Pascale started her career in 1996 at Société Générale CIB as Quant in Risk department in charge of the development of Raroc/economic capital methodology applied to mid-cap, large corporate and extension to Project Finance. In 2001, she joined SGCIB-Derivatives and Equities Department to launch a desk of direct investments in fund of hedge funds; she was co-head of the Desk (7 people) for 3 years, focused on valuation process, investment strategy with on-site due diligence, and structuring through CPPI products.

By end 2006, Pascale joined Crédit Agricole-CIB / Debt & Credit Markets first as head of Credit team providing transversal analysis and portfolio reviews; then in 2009, as Structurer in trade receivables ABCP program.

In 2014, she joined CPM as Head of Structuring & Research team. Main achievements: structured Capital Relief Trades corresponding to 9 bn€ of securitized Portfolio covering main asset classes of the CIB (Corporate assets, trade finance & emerging assets, Projet/asset finance) ; with some recent landmark transactions : first synthetic securitization of a $ 3bn of Structured Finance portfolio & first Green Capital Notes closed in 2017; synthetic securitization of a 3bn€ Corporate assets portfolio with EIB Group within Juncker Plan (2017); march 2018: synthetic securitization of a 2 Bn$ Trade finance & emerging assets portfolio with IFC (World Bank Group) with reallocation on Social Emerging assets.

Pascale is a graduate from ENSAE (Ecole Nationale de la Statistique & de l’Administration Economique).

Pascale Olivie

 Head of Structuring

 Credit Agricole CIB

Speaker 1


 

Andrew  Scourse

 Executive Director

 Santander

Speaker 1

Juan Carlos is responsible for the FI structured solutions business at Mizuho International plc (“MHI”), which comprises bank balance sheet solutions, structured MTNs and repacks, and funding solutions. Prior to joining MHI in 2015, Juan Carlos spent 4 years at Lazard where he co-founded their Derivatives & Credit Advisory platform, focusing on capital relief programmes and advising the non-core units of large global banks on legacy issues and regulators on bank systemic issues. Juan-Carlos has broad experience of structured finance and derivatives products, in particular gained at ABN AMRO where he worked in South Europe structured credit origination for over 5 years. Juan-Carlos started his career in the City as a structured finance rating analyst at Standard and Poor’s working on a variety of asset classes such Balance Sheet CDOs and SIV for 6 years. At Standard and Poor’s he developed rating criteria for CLOs of project, infrastructure, and corporate loans and bonds transactions. Juan Carlos holds a degree in Economics from the University of Barcelona and a Master in Finance from Cass Business School.

Notable transactions: 
•    Advised on the structuring and placement of a leverage finance loans SRT for an Irish bank (2017)
•    Advised on the structuring and placement of a project finance SRT for a global bank (2017)
•    Advised on the structuring and placement of SME SRTs for two Spanish banks (2016, 2015)
•    Advised regulator on structuring Sareb (the Spanish bad bank)
•    Advised regulator on ABS purchase program
•    Advised on the sale of €3bn CRE for Commerzbank in Iberia
•    Restructured THEAT 1 and THEAT 2 (largest UK CMBS of Hospitals)
•    Worked on the development and placement of ABN AMRO’s Amstel and AMSCO SRT programmes (2005-8)

Juan-Carlos Matorell

 Managing Director

 Mizuho International

A thriving network awaits.

SCI's events are set up for effective education and networking. Here's what delegates attending SCI's previous events said:

  • The seminar was excellent...

    I came away thinking that "it's NOT just another regulatory arbitrage fad" ... but that the insights shown in properly structuring solutions to properly recapitalize banks after the credit crunch got me thinking of mechanisms that could be critical in building a new, shareholder value-creating, global banking industry of tomorrow. All speakers were knowledgeable and approachable. Location and time, starting at 12 noon, suited me perfectly! 

  • Also interested in esoteric credit strategies

    "Great gathering of banks, arrangers and investors. Speakers were very forthcoming. I am interested in esoteric credit strategies in general."

  • I'd attend this event every year.

    "...it was very helpful to meet some of the other key players in this space and hear first hand how they navigated some of the difficulties in completing transactions."

  • It was a well thoughtout event...

    ...that covers pretty much the relevant aspects of these transactions. I also like the networking sessions...to be connected with other investors, issuers and others.


CRT COVERAGE IN SCI:

Return to form?

13 July 2018

A number of issuers are working on CRE capital relief trades, including some UK banks that issued CRE deals in 4Q17 (see SCI’s CRT database), with a view to closing before year-end.

However, some of these transactions suggest that the asset class may potentially be returning to more traditional significant risk transfer structures and investors.

David Wainer, partner at Allen & Overy, confirms that the pipeline of synthetic CRE securitisations is “decent”. However, he notes that execution can be cumbersome, given the steep learning curve for CRE loan investors to get comfortable with and understand the nuances in synthetic products. For this reason, many of the 2018 CRE deals could be expected to bear more resemblance to more traditional SRT transactions than those seen at the end of last year.

In the first wave of synthetic CRE deals in 4Q17, new investors entered the synthetic space who were already investors in commercial real estate, Wainer explains. “These investors are seeking exposure to real estate assets, as it's an asset class they understand. Due to a dearth of opportunities in the loan market, they were keen to diversify into synthetic CRE deals instead. At the same time, the synthetic market welcomed these investors because the CRE asset class isn’t necessarily of interest to, or understood by, traditional credit investors in the synthetic risk transfer space,” he says.

In the deals that were executed at the end of last year, the CRE portfolios tended to be lumpier than corporate or SME portfolios, which requires significant diligence on the individual properties. In contrast, investors in large granular synthetic portfolios typically focus on lending criteria, rather than the underlying assets.

Further, Wainer notes that traditional CRE investors have different priorities to investors in granular non-CRE synthetic portfolios and that protections that are present in the funded CRE market have been sought by these investors to be incorporated into the first wave of synthetic CRE deals in terms of providing similar rights and protections as loan investors would typically receive. “For example, many of the investors in the first wave of synthetic CRE investors wanted greater control over servicing and workouts and even the ability to buy underlying assets that have suffered credit events. Creditor rights at the underlying CRE level don’t extend to investors in a synthetic deal; only the lender of record has such rights. But they might seek the right to be consulted on and potentially even direct the originator in terms of servicing the assets, including workouts.”

As well as having a role in servicing and post-default scenarios, these new synthetic CRE investors might want there to be limitations around portfolio replenishment. “These investors aren’t necessarily comfortable giving banks too much freedom over replenishment and want to know more about the specific assets going into a deal than would be typical or necessary for granular portfolios. If the originator really needs this flexibility to replenish, it will be more palatable to them if they can at least have a say, or ideally approve asset substitutions,” Wainer observes.

He adds that the extent an originator is willing to compromise over these requirements will generally be simply a matter for negotiation. “Banks have a duty to service assets referenced in a synthetic capital relief trade consistently with other assets in their portfolios and have to manage the client relationship with their borrowers. But if another party is assuming the credit risk and has certain preferences regarding workouts, there can be some tension. Although some may be, not all of these compromises will be baked into the documentation – there might be a softer understanding to try and permit the opportunity to bid on a defaulted asset under certain circumstances, for instance, rather than there being direct contractual rights to do so.”

One other area that synthetic CRE investors are focused on is amortisation triggers. Amortisation might be triggered off the value of actual losses relative to the value of a portfolio and if a larger loan – like ones often seen in synthetic CRE portfolios from last year’s deals – suffers a credit event, it can cause the structure to flip into sequential amortisation quite quickly. Wainer suggests that different triggers – or at least, triggers with broader definitions – might be needed, especially given that the EBA’s 2017 paper on SRT supports the use of multiple forward- and backward-looking triggers to avoid a switch to sequential amortisation being too easily reached