London

One Bishops Square, London E1 6AD 

16 Oct 2018

25+ Speakers 

Leading figures in the Capital Relief Trades Sector

300 Seats

Register to secure yours today


Introduction

Join SCI for the 4th Annual Capital Relief Trades Seminar

Policymaker consultations and recommendations are influencing the shape and direction of the risk transfer market, while regulatory changes continue to drive issuance. SCI’s Capital Relief Trades Seminar explores how these factors are being reflected in deal structures, highlighting both issuer and investor perspectives. The event also examines issuance trends, as well as how the market could expand further in the future.

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, Mayor Brown
    Jeroen Batema, OSIS
    Jo Goulbourne Ranero, Allen & Overy
    Martin Neisen. PWC
    David Moffitt, Libremax Capital
    Tim Cleary, Clifford Chance

  • 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 M
    Emmanuel Blind, Societe Generale
    Assia Damianova, Cadwalader
    Thorsten Klotz, Moody's

  • 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
    Steve Gandy, Santander
    Jessica Littlewood, Clifford Chance
    Frank Benhamou, Barclays

  • 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

  • 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:
    Seamus Fearon, Arch MI
    Matthias Korn, Caplantic
    Kaikobad Kakalia, Chorus Capital
    Philip Paschalides, Walkers
    David Wainer, Allen & Overy

  • Cocktail Reception

    Kindly sponsored by 

Registration

Early bird delegate registration is £785 +vat

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Speakers

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