New York

31 West 52 Street, New York, NY 10019


13 March 2018


25+ Speakers

Leading figures in the Risk Transfer Sector


165 Seats

Register to secure yours today



Join SCI for the 2nd Annual Risk Transfer & Synthetics Seminar in New York on 13 March 2018

SCI’s Synthetic Securitisation Seminar provides an in-depth exploration of how synthetic securitisation is being utilised to transfer risk, achieve capital relief and create bespoke investment opportunities in the post-financial crisis environment. Panels cover capital relief trade structuring and regulatory considerations, issuance trends, index tranches and mortgage credit risk transfer.


  • CRT-101

    Delegate Bonus: CRT 101 Session
    Offered strictly on a first come, first served basis we will also offer a two-hour '101' session for new entrants to the sector, to take place on the morning of 13 March.

    This private workshop will take delegates through examples of synthetic deals issued in Europe, concentrating on the different types of structures and synthetic elements of such deals (CLN, financial guarantee, true sale etc.) There is no extra charge for this session; if you wish to attend simply reply when you receive your delegate confirmation email.

    Workshop Host: Timothy Cleary, Clifford Chance


    The emphasis on ‘risk sharing’ between issuer and investor is increasing for capital relief trades. This panel examines risk transfer structuring considerations and issuer versus investor motivations. Are structures becoming standardised enough to apply to other areas of the market?

    Panel includes:

    Himesh Shah, Christofferson Robb
    Frank Benhamou, Barclays Investment Bank
    Juan-Carlos Martorell, Mizuho International
    Jessica Littlewood, Clifford Chance
    Jeremy Bradley, Lloyds
    Kaikobad Kakalia, Chorus Capital Management Limited

    Himesh Shah comments: "Structural issues are key to determining the efficiency of trades for issuers. There is always a three way pull between the regulatory requirements, issuer and investor needs. The constant change of regulatory rules and guidelines makes things even more challenging though we are now seeing greater stability and consistency. The illustrious panel consisting of leading lawyers, issuers advisors and investors who are at the coal face will give a first hand and up to date view on current structural issues."

  • Registration test

  • Networking Break


    Regulatory attitudes towards capital relief trades remain variable. This panel looks at the US versus the European landscape, drivers for US banks to begin using risk transfer more widely and the use of credit insurance where regulators don’t recognise synthetic securitisation for capital relief purposes.

    Panel includes:

    Jason Marlow, Barclays Investment Bank
    David Moffitt, LibreMax Capital LLC
    Matt Moniot, Elanus Capital
    Gareth Old, Clifford Chance
    John Hwang, Allen & Overy LLP
    Jeroen Batema,OSIS

  • Networking Break

    Networking Break


    Panel kindly sponsored by Caplantic   

    The capital relief trades market continues to evolve and grow. This panel examines risk transfer issuance trends, emerging asset classes and jurisdictions, regulatory challenges and ESG considerations. What is the economic impact on deals likely to be if spreads widen or regulations loosen?

    Panel includes:

    Molly Whitehouse, Mariner Investment Group
    Xavier Jordan, IFC
    Kaelyn Abrell, ArrowMark
    Juan Grana, Nomura
    Matthias Korn, Caplantic
    Som-lok Leung, IACPM

    Juan Grana comments: This space continues to evolve – in reaction to changing regulation and in response to issuer needs. In this panel we will explore what investors and arrangers are doing to adapt to the changing environment.

  • Networking Break


    The search for yield, coupled with increasing CDS liquidity and the need to cover niche risks is driving interest in bespoke opportunities that require tailored solutions. This panel examines the rise of post-crisis index tranche investments and portfolio credit solutions, as well as developments in the secondary market for synthetic securitisations.

    Panel includes:
    David Felsenthal, Clifford Chance
    Sukho Lee, Nomura
    Manish Kapoor, West Wheelock Capital
    Dmitry Pugachevsky, Quantifi
    Sourav Sinha, Mizuho Bank (USA)

    Sukho Lee comments: Investor demand for leveraged credit products continues to grow in the pursuit of yield, with synthetic bespokes being a key source of growth in the credit derivatives space. The panel will explore the challenges and opportunities in response to changing regulation, market activity and innovation in the space.


    Panel kindly sponsored by Arch Capital Services   

    Fannie Mae and Freddie Mac pioneered the market for transferring mortgage credit default risk with their CAS and STACR programmes, but other firms are now turning to synthetic securitisation to support the US mortgage finance system. This panel tracks the evolution of mortgage insurance-linked notes and GSE credit risk transfer, focusing on the role of rating agencies, as well as on ways of broadening investor participation and enhancing liquidity. How has the sector developed since the OCC cast doubt on JPMorgan’s risk transfer RMBS in 2016?

    Panel includes: 

    Lekith Lokesh, Credit Suisse
    Will Cejudo, Clifford Chance
    Michael Reynolds, Freddie Mac
    Jim Bennison, Arch Capital Services
    Rob Schaefer, Fannie Mae
    Sonny Weng, Moody's Investors Services

    Lekith Lokesh commentsAims of this discussion are: Understanding the key structural developments in the CRT space since inception; Introducing / previewing new CRT issuers; Reviewing issue volume / trading patterns for 2018; Legal / Rating agency developments in the CRT space (FRE and FNMA). Current Themes Under the Spotlight include: Sale of first loss risk in the GSE and Non-GSE CRT; Non-US Investor Demand; Reinsurance v. CRT.

    Jim Bennison comments: I’ll be discussing our mortgage insurance linked note structures that have been issued under the Bellemeade name.  These transactions transfer a portion of the risk on segregated pools of mortgage insurance originated by Arch MI, the largest mortgage insurer in the US.  These transactions represent an innovative way to attract more private capital into the US housing finance system.

  • Cocktail Reception

    Kindly sponsored by Nomura   



Delegate registration is $767. Start the registration process below:


Speaker 1

Juan is a Managing Director in Nomura’s Structured Solutions Group covering a range of hedge fund and asset management investors with a focus on structured credit products and financing solutions. Juan has special interest on bank balance sheet securitisations as capital and risk management tools. Prior to this he was member of Nomura’s Solutions Structuring team where he used his expertise in bank capital regulation and credit derivatives to structure solutions to address clients’ capital and risk management needs. This included the structuring of synthetic securitisation and re-securitisation transactions, bespoke credit protection and targeted hedging strategies.

He previously worked at Credit Suisse for 11 years. For the last 6 years he headed up the Capital & Risk Structuring effort within Fixed Income assisting banks in managing capital requirements on range of credit and securitisation assets. Prior to that he worked for 5 years in the Risk Measurement and Management department of Credit Suisse as co-head of the Capital and Credit Risk Modelling team where he had responsibility for a range of risk projects including Economic Risk Capital methodology, rating model validation and Basel II implementation. Before joining Credit Suisse in 2002 Juan worked as a strategic management consultant in Oliver, Wyman & Company's risk management practice.Juan received an MPhys in Physics from the University of Oxford.

Juan Grana

 Managing Director, Structured Solutions Group


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 Martorell

 Managing Director

 Mizuho International

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 Principle

 West Wheelock Capital

Network with both new and established industry figures


Comments from delegates attending SCI's Synthetic Risk Transfer events in 2017:

  • 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."





Landmark shipping SRT completed

20 December 2017

Further details have emerged of Nord LB's landmark shipping significant risk transfer trade (SCI 8 December). Dubbed Northvest 2, the financial guarantee is believed to be the largest post-crisis synthetic securitisation of shipping assets.

Nord LB's latest transaction references a €10.1bn mixed portfolio of around 4300 high quality loans, including €1bn of shipping loans. Other assets in the portfolio include renewable energy, infrastructure, aviation and German medium-sized corporate loans.

According to the terms of the transaction, the first-loss piece remains on the bank's balance sheet, while the investor - Christofferson Robb - purchases a tranche of approximately €500m in a deal with no replenishment features. Other features include a pro-rata amortisation structure, with performance triggers, although Nord LB refrained from labelling the amortisation as such. In particular, the lender states that the amortisation structure could be described "at best" as pro rata, qualifying that there is no amortisation if the triggers fall below certain thresholds.

The investor was drawn by the mixed nature of the portfolio, which mitigates risk and helps with expected recoveries. The issuer, on the other hand, benefited from the due diligence capabilities and track record of the investor - albeit due diligence was restricted by the blind nature of the pool.

The bank's credit-based business model was another positive element. A Nord LB source observes: "Given the issues of low interest rates and other challenges currently facing the banking sector, our expertise in illiquid asset financing helps generate fees, interest and cashflows."

Nord LB launched the first Northvest transaction in March 2014, which referenced €11.4bn across four asset classes and increased it in September 2015 by a further €5.1bn. An additional tranche from the portfolio was placed with investors in May 2017 (see SCI's capital relief trades database).

Nord LB operates as lead arranger in Northvest transactions. Caplantic supports with structuring and placement, while also undertaking reporting and risk management responsibilities. Caplantic is based in Hanover and is a joint venture between Nord LB, Talanx and Bankhaus Lampe.

Nord LB is aiming to reduce its exposure to shipping to below €10bn in the medium term.

The latest Northvest deal allows the German lender to reduce its risk-weighted assets by around €3.7bn, thereby boosting its CET1 ratio by around 12%. CET1 and total capital ratios for 3Q18 stood at 11.5% and 16.9% respectively. The bank is targeting a year-end CET1 ratio of 12%.



Freddie innovation continues

11 December 2017

Freddie Mac continues to expand its credit risk transfer remit, pricing two innovative securitisations last week. The first deal references relief refinance loans, while the second is backed by affordable single-family rental (SFR) properties.

Dubbed FRESR 2017-SR01, Freddie Mac's inaugural US$161.12m SFR transaction is backed by 59 loans originated primarily by CoreVest American Finance (see SCI's primary issuance database). Of the 2,355 properties securing the deal, 94% are affordable to families earning less than 100% of area median income (AMI). In addition, 71% are affordable to low-income families earning less than 80% AMI and more than 12% affordable to families earning 50% of AMI or less.

The loans were not underwritten by Freddie Mac at the time of origination, but meet its current underwriting standards. "Single-family rentals provide an important alternative for the millions of families looking for options beyond rental apartments, who may not have the means to - or choose not to - purchase a home. We are using our multifamily financing capability to help meet this critical need and ensure that as families grow, their homes can grow with them," comments David Leopold, vp of targeted affordable sales and investments at Freddie Mac Multifamily.

The transaction comprises US$20.27m 3.06-year class A1 notes (which priced at swaps plus 23bp), US$93.57m 4.62-year class A2 notes (33bp), US$47.27m 9.36-year class A3s (64bp) and US$161.11m 5.81-year class XAs (which weren't offered). The certificates are backed by corresponding classes issued by CoreVest American Finance 2017-2 Trust and guaranteed by Freddie Mac (representing approximately 80% of the US$202m AFL 2017-2 deal).

Co-lead managers and joint bookrunners on the deal were Morgan Stanley and Wells Fargo, while Drexel Hamilton and Bank of America Merrill Lynch were co-managers. The certificates are expected to settle on 18 December.

Freddie Mac also priced its first STACR deal to reference loans that meet the Home Affordable Refinance Program (HARP) eligibility criteria, with LTV ratios of between 60% and 150% that were refinanced under the GSE's relief refinance programme. Additionally, the transaction introduces discount and interest-only notes to its credit risk transfer platform.

The STACR 2017-HRP1 deal - which has a 25-year legal final maturity - is aimed at investors that are seeking a longer maturity and seasoned collateral. The pool has an unpaid principal balance of approximately US$15.04bn, consisting of 82,552 fixed-rate single-family mortgages with an original term of 241 to 360 months, funded by Freddie Mac between 1 April 2009 and 31 December 2011. It has a weighted average credit score of 741 and roughly 95% of the loans have been current for the prior 36 months.

Fitch notes that the borrowers have weathered severe economic stress with minimal delinquencies, showing a strong willingness and ability to pay. The current mark-to-market CLTV of the borrowers has improved to 82% from 98% at the time of the relief refinance loan.

Rated by Fitch and Morningstar, the transaction comprises US$50m B/BB- rated class M2 notes (which printed at par, with a coupon of one-month Libor plus 245bp), US$50m B/BB- class M2Ds (printed at 96.29, with a 125bp coupon), US$75m unrated class B1s (par, with a 460bp coupon), US$75m unrated class B1Ds (87.26, with a 250bp coupon) and US$25m unrated class B2Ds (45.86, with a 300bp coupon). A B1I interest-only exchangeable note was also offered.

As loans liquidate or other credit events occur, the outstanding balance of the notes will be reduced by the actual loan's loss severity percentage related to those credit events.

Freddie Mac retained in their entirety the AH and M1H reference tranches, as well as a portion of the credit risk in the M2, B1 and B2 tranches. Credit Suisse and Bank of America Merrill Lynch are co-lead managers and joint bookrunners.

This latest iteration of the STACR series follows the introduction in October of the STACR SPI structure, which offers investors a cash format via participating interests (SCI 17 October).


Bespoke boost opportunity

15 August 2017

The search for yield is driving activity in bespoke CDS tranches, referred to as bespoke tranche opportunities (BTOs) post-financial crisis. The sector is expected to receive a further boost if single-name CDS liquidity continues to improve.

"The reasons why investors are attracted to bespoke investments are the capacity to attain leverage and the ability to create their own portfolio, by choosing names and the risk profile that they are comfortable with. It is possible to achieve a decent spread, with a two- to three-year maturity," confirms Frederic Couderc, co-cio at Chenavari Investment Managers.

The main differences between pre-crisis and post-crisis BTOs is that now dealers sell the entire capital structure and the trades are not driven by ratings arbitrage but are coherent with bank funding needs, according to Malek Meslemani, partner and senior portfolio manager at Chenavari. "Dealers are more disciplined than they were before the crisis and there is better equilibrium between the buyside and the sellside," he adds.

BTO portfolios are usually split into three sections - equity, mezzanine and 'seniors', including super senior - and sold to different types of investors and funds. Chenavari has historically been involved at the lower part of the capital structure, depending on the investment.

"A buyer of risk that masters the idiosyncratic risk (a hedge fund, for example) is preferable on the lower tranches of a BTO, as such an investment requires deep single names fundamentals expertise, whereas senior tranches express more a systemic risk. Some pension funds and insurers play in the senior tranche section, as there is less exposure to idiosyncratic risk at this level," Meslemani observes.

He points out that sectorial idiosyncratic risks are cyclical: for example, concerns over US retail names have overtaken concerns over US energy names - although not to the same amplitude. "With crude oil prices recovering to around US$50 a barrel recently, the risk of portfolio dispersion coming from energy names has decreased."

Chenavari's convexity strategy comprises mostly of four buckets: tranches on investment grade iTraxx and CDX indices; the Crossover index; and bespoke portfolios. Index tranches remain observable and the most liquid, while bespokes are less observable, as dealers initiate the primary trades and provide the bid/ask in secondary ones.

"We're a long/short and market-neutral player, mainly engaged in investment grade tranches combined with hedging trades," Meslemani continues. "We believe tranches offer value across these strategies, which is harder to achieve in other asset classes and instruments. We tend to favour investment grade credits, as they typically exhibit less dispersion."

Couderc adds: "Whether we invest in index or bespoke tranches depends on which is cheaper at any given time. If there's no liquidity premium on offer for a bespoke tranche, we'll invest in an indextranche."

One area that has seen a rise in activity in recent years is iTraxx Crossover tranches, as they exhibit relatively less realised defaults than CDX.HY tranches. "Additionally, the number of constituent names in Xover series has increased to 75, so there has been a pick-up here," Meslemani confirms.

Looking ahead, he suggests that if single-name CDS liquidity continues to improve, the BTO market will grow and attract more dealers (only a handful are involved at present). "There had been a deterioration of CDS liquidity, due to the withdrawal of a few banks since the financial crisis. However, the single-name CDS market is becoming little by little more efficient, thanks to clearing being introduced across different names and sectors. Consequently, we're starting to see brokers becoming involved to support clients - which may, in turn, encourage more clients to clear CDS."

Couderc concludes: "We're positive about the future of index tranches and the BTO sector, although a question remains regarding the pace of growth. The direction is clear, but it depends on clearinghouse and dealer participation."