London

One Bishops Square, London E1 6AD

17 October 2019

25+ Speakers

Leading figures in the Risk Transfer Sector

250 Seats

Register to secure yours today

Introduction

Join SCI for the 5th Annual Capital Relief Trades Seminar

The EBA's paper on significant risk transfer has facilitated increased standardisation across synthetic securitisations, but regulatory uncertainty remains in terms of STS requirements. SCI's Capital Relief Trades Seminar explores how these factors are being reflected in deal structures, as well as issuer and investor appetite. The event also examines issuance trends, areas of growth and potential barriers to entry.

Early-bird registration is now open

Delegate rates:

July: £833 +vat

August £957 +vat

September £1101 +vat

October £1266 +vat

Exclusive Host

Allen & Overy

Silver Sponsor

Caplantic

Bronze Sponsors

Mariner
Texel
Arrowmark Partners

Schedule

  • 17 October
08:30 AM
REGISTRATION

08:30 AM 09:00 AM

09:00 AM
Workshop Session

09:00 AM 09:50 AM

09:50 AM
MARKET OVERVIEW

09:50 AM 10:40 AM

This panel looks at the current status of the capital relief trades market, focusing on areas of growth and potential barriers to entry.
•How does activity and issuance levels so far in 2019 compare to those seen last year?
•How is a turn in the credit cycle likely to impact supply and demand?
• How are rising interest rates affecting investor IRR targets?
• How have previous deals performed?
• How is the market adapting to the requirements of the Securitisation Regulation and STS framework?
•Is there any clarity on the transition from CRA templates to ESMA’s templates?

Panel includes:




10:40 AM
Networking Break

10:40 AM 11:10 AM

11:10 AM
STRUCTURING CONSIDERATIONS

11:10 AM 12:00 PM

This panel explores how regulatory developments are being reflected in CRT structuring activity.
• Is the emergence of thicker tranches and dual-tranching creating opportunities for insurance companies and pension funds?
• How else are insurers and reinsurers becoming involved in the market?
• Which other considerations should structurers take into account?
• How are CRT deals priced?

Panel includes:
Matthias Korn - Caplantic


Matthias  Korn

12:00 PM
Lunch & Networking

12:00 PM 01:00 PM

01:00 PM
STS CONSIDERATIONS

01:00 PM 01:50 PM

This panel focuses on the EBA’s discussion paper regarding STS criteria for synthetic securitisations.
• Does excess spread hinder the achievement of SRT in synthetic securitisations?
• What are the issues with terminating protection under an issuer bankruptcy scenario?
• What are the pros and cons associated with third-party verification agents?
• How can issuers maintain borrower anonymity while complying with ESMA’s securitisation disclosure requirements?

Panel includes:
Alan Ball - Texel

Alan  Ball

01:50 PM
Keynote Fireside Chat

01:50 PM 02:20 PM

Christian Moore - EAB & TBC

Christian  Moor

02:20 PM
Networking Break

02:20 PM 02:50 PM

02:50 PM
ISSUER PERSPECTIVE

02:50 PM 03:40 PM

This panel investigates the drivers for emerging issuers, as well as barriers to entry.
• What role are direct CLNs likely to play in opening up the issuer base?
• How are banks overcoming the issues associated with excess spread in cash SRTs?
• Is CECL a driver for US banks to begin issuing CRTs?
• How is SRT being embraced by multilateral development banks?
• What constitutes a ‘perfect’ investor partner from an issuer’s perspective?

Panel includes:
03:40 PM
INVESTOR PERSPECTIVE

03:40 PM 04:30 PM

This panel examines the shake-up that is emerging in investor preferences.
• What are the motivations for investors switching their focus from granular assets to non-granular assets and vice versa?
• How do investment strategies and rationale differ between the hedge fund and pension fund/insurance company constituents?
• Which factors should investors weigh up before entering or leaving the CRT market?

Panel includes:
Kaelyn Abrell - ArrowMark Partners

Kaelyn Abrell

04:30 PM
Networking Break

04:30 PM 05:00 PM

05:00 PM
Workshop

05:00 PM 05:30 PM

Workshop Host: Martin Neisen, PwC

Martin Neisen

05:30 PM
ISSUANCE TRENDS

05:30 PM 06:20 PM

This panel explores the new asset classes, jurisdictions and ways of utilising CRT technology that are emerging.
• What are the challenges involved in analysing non-corporate/SME exposures?
• Is there a future for ESG/impact SRTs?
• What is hindering the growth of the CRT market further?
• How can CRTs be used to hedge IFRS 9 volatility?

Panel includes:
Molly Whitehouse - Mariner Investment Group

Molly Whitehouse

06:20 PM
Cocktail Reception & Awards Ceremony

06:20 PM 07:20 PM

Speakers

Alan Ball
Broker
Texel
Molly Whitehouse
Director
Mariner Investment Group
Christian Moor
Principal Policy Advisor
European Banking Authority
Kaelyn Abrell
Co-Portfolio Manager/Partner
ArrowMark Partners
Martin Neisen
Partner
PwC
Matthias Korn
Head of Financial Solutions
Caplantic

Early-bird registration is now open

Delegate rates:

July: £833 +vat

August £957 +vat

September £1101 +vat

October £1266 +vat

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Alan Ball

Broker
Texel
Alan Ball, Texel Finance Limited

As a broker at Texel Finance Limited, Alan focuses on working with financial institutions and corporates in arranging and structuring insurance-based solutions for a range of structured credit and regulatory capital driven transactions. Prior to joining Texel Finance, Alan was a Senior Underwriter for Liberty Specialty Markets, where he led the Structured Risk Solutions team. Alan has structured and underwritten a number of innovative and bespoke forms of insurance cover to provide credit risk mitigation, regulatory capital and other benefits to clients. The underlying exposures covered by these insurance policies have included structured loan portfolios, specialist lending exposures, securities financing exposures and alternative assets including portfolios of private equity assets, CLOs and other structured finance exposures.
Prior to joining the insurance market, Alan was a practising corporate lawyer for 9 years, training and qualifying at Slaughter and May. During his time as a lawyer, Alan advised financial institutions, private equity clients and large corporates on a broad range of matters including M&A and ECM transactions, corporate restructurings and structured finance transactions.

17 October

STS CONSIDERATIONS

01:00 PM 01:50 PM

Molly Whitehouse

Director
Mariner Investment Group
Molly Whitehouse joined Mariner in 2012, where she specializes in securitized products and regulatory-capital driven transactions. Through this strategy, Mariner has invested in transactions totaling more than $10 billion in notional risk transfer, with credits located in over 50 countries and exposure to multiple sectors including infrastructure, commercial real estate, equipment finance, and project finance. Ms. Whitehouse is primarily focused on deal structuring and origination, as well as management of the due diligence process. Prior to joining Mariner, she served as an Analyst at Institutional Financial Markets, Inc. Ms. Whitehouse earned her BA in Political Science with Honors from Yale University in 2011. 

17 October

ISSUANCE TRENDS

05:30 PM 06:20 PM

Christian Moor

Principal Policy Advisor
European Banking Authority
Christian joined the European Banking Authority (EBA) in November 2010 and is responsible for regulation and policy issues relating to the capital markets union (including securitisation, covered bonds and sustainable finance). While at the EBA, he has been the main architect of the STS securitisation framework and has been one of the driving forces in the implementation of the STS framework into global standards and European regulation. He has also developed an EU harmonised framework for Covered Bonds and is currently working on significant risk transfer and NPL securitisation.
Prior to this position, Christian worked at De Nederlandsche Bank (DNB) as a banking supervisor and was responsible for prudential supervision on large and midsize banks in the Netherlands. While at DNB he set-up and chaired a structured finance taskforce and was a member of the covered bonds team.
From 2000 to 2008, he held various roles within structured finance and covered bonds at HSBC Bank, Fitch Ratings and Fortis Bank. At HSBC he was responsible for the origination and structuring of securitisation and covered bonds transactions in Benelux, Nordic region and Eastern Europe, while at Fitch he rated RMBS and Covered Bonds transactions across Europe and was a member of rating committees on all types of securitisation and covered bonds.
Christian holds an MSc in Economics, from the University of Groningen (Netherlands).

17 October

Keynote Fireside Chat

01:50 PM 02:20 PM

Kaelyn Abrell

Co-Portfolio Manager/Partner
ArrowMark Partners
Kaelyn is a Partner and Portfolio Manager for ArrowMark Partners. A core member of the ArrowMark team since the firm’s inception, Kaelyn leads ArrowMark’s fixed income efforts in securitized products and has spearheaded the regulatory capital relief strategy since 2010. Kaelyn was also the lead analyst for the firm’s participation in the Term Asset-Backed Securities Loan Facility (“TALF”) program. Prior to joining ArrowMark Partners in 2008, she was an analyst at Janus Capital Group where her areas of focus included residential and commercial mortgage-backed securities, asset-backed securities, and interest rates (2004-2008). Previously, Kaelyn worked at Great-West Life where she was Assistant Portfolio Manager of $5.5 billion in separate account, general account and total return assets with a focus on high quality fixed income securities (1998-2004). Kaelyn graduated from Illinois State University with a bachelor’s degree in Economics and earned an MBA from Indiana University.

17 October

INVESTOR PERSPECTIVE

03:40 PM 04:30 PM

Martin Neisen

Partner
PwC
Martin Neisen is a PwC Partner located in Frankfurt. He is leading the Regulatory Management business in PwC Europe.
Language: Deutsch, English, Netherlands
Areas of Expertise
•German regulatory banking law
•Qualitative and quantitative risk management
•Credit Risk, Market Risk, OpRisk
•Credit rating processes
 Previous Clients (excerpt)
•Deutsche Bank
•Commerzbank
•HSH Nordbank AG
•DekaBank
•VW FS AG
•DZ BANK AG

17 October

Workshop

05:00 PM 05:30 PM

Matthias Korn

Head of Financial Solutions
Caplantic
Matthias is in charge of the Financial Solutions division of Caplantic GmbH, Hannover (Germany). A mayor business field is structuring, placement and modelling of securitisation transactions for capital relief purposes. Additionally, Caplantic runs if needed the complete project within the bank itself. Matthias started his career in banking in 1995. Before joining Caplantic Matthias had several positions in banks both on the capital market and risk side with NORD/LB, DekaBank, Allianz and Dresdner Bank.

17 October

STRUCTURING CONSIDERATIONS

11:10 AM 12:00 PM

Allen & Overy

Caplantic

Mariner

Texel

Arrowmark Partners

REGISTRATION

08:30 AM 09:00 AM

Workshop Session

09:00 AM 09:50 AM

MARKET OVERVIEW

09:50 AM 10:40 AM

This panel looks at the current status of the capital relief trades market, focusing on areas of growth and potential barriers to entry.
•How does activity and issuance levels so far in 2019 compare to those seen last year?
•How is a turn in the credit cycle likely to impact supply and demand?
• How are rising interest rates affecting investor IRR targets?
• How have previous deals performed?
• How is the market adapting to the requirements of the Securitisation Regulation and STS framework?
•Is there any clarity on the transition from CRA templates to ESMA’s templates?

Panel includes:




Networking Break

10:40 AM 11:10 AM

STRUCTURING CONSIDERATIONS

11:10 AM 12:00 PM

This panel explores how regulatory developments are being reflected in CRT structuring activity.
• Is the emergence of thicker tranches and dual-tranching creating opportunities for insurance companies and pension funds?
• How else are insurers and reinsurers becoming involved in the market?
• Which other considerations should structurers take into account?
• How are CRT deals priced?

Panel includes:
Matthias Korn - Caplantic


Speakers

Matthias Korn
Head of Financial Solutions
Caplantic

Lunch & Networking

12:00 PM 01:00 PM

STS CONSIDERATIONS

01:00 PM 01:50 PM

This panel focuses on the EBA’s discussion paper regarding STS criteria for synthetic securitisations.
• Does excess spread hinder the achievement of SRT in synthetic securitisations?
• What are the issues with terminating protection under an issuer bankruptcy scenario?
• What are the pros and cons associated with third-party verification agents?
• How can issuers maintain borrower anonymity while complying with ESMA’s securitisation disclosure requirements?

Panel includes:
Alan Ball - Texel

Speakers

Alan Ball
Broker
Texel

Keynote Fireside Chat

01:50 PM 02:20 PM

Christian Moore - EAB & TBC

Speakers

Christian Moor
Principal Policy Advisor
European Banking Authority

Networking Break

02:20 PM 02:50 PM

ISSUER PERSPECTIVE

02:50 PM 03:40 PM

This panel investigates the drivers for emerging issuers, as well as barriers to entry.
• What role are direct CLNs likely to play in opening up the issuer base?
• How are banks overcoming the issues associated with excess spread in cash SRTs?
• Is CECL a driver for US banks to begin issuing CRTs?
• How is SRT being embraced by multilateral development banks?
• What constitutes a ‘perfect’ investor partner from an issuer’s perspective?

Panel includes:

INVESTOR PERSPECTIVE

03:40 PM 04:30 PM

This panel examines the shake-up that is emerging in investor preferences.
• What are the motivations for investors switching their focus from granular assets to non-granular assets and vice versa?
• How do investment strategies and rationale differ between the hedge fund and pension fund/insurance company constituents?
• Which factors should investors weigh up before entering or leaving the CRT market?

Panel includes:
Kaelyn Abrell - ArrowMark Partners

Speakers

Kaelyn Abrell
Co-Portfolio Manager/Partner
ArrowMark Partners

Networking Break

04:30 PM 05:00 PM

Workshop

05:00 PM 05:30 PM

Workshop Host: Martin Neisen, PwC

Speakers

Martin Neisen
Partner
PwC

ISSUANCE TRENDS

05:30 PM 06:20 PM

This panel explores the new asset classes, jurisdictions and ways of utilising CRT technology that are emerging.
• What are the challenges involved in analysing non-corporate/SME exposures?
• Is there a future for ESG/impact SRTs?
• What is hindering the growth of the CRT market further?
• How can CRTs be used to hedge IFRS 9 volatility?

Panel includes:
Molly Whitehouse - Mariner Investment Group

Speakers

Molly Whitehouse
Director
Mariner Investment Group

Cocktail Reception & Awards Ceremony

06:20 PM 07:20 PM