SCI's 9th Annual Capital Relief Trades Seminar 19 October 2023 (In-person Event)

00:00

JOIN SCI FOR THE 9TH ANNUAL CAPITAL RELIEF TRADES SEMINAR

Capital relief trade issuance witnessed another record-breaking 12 months in 2022, yet by the end of the year a number of regulatory challenges remained outstanding that threatened to undermine the viability of synthetic securitisations. The EBA and the European Commission have this year sought to address these issues and the market has broadly been receptive to their efforts.

SCI’s 9^th Annual Capital Relief Trades Seminar examines progress made so far and what still needs to be done. We also explore whether the recent banking crisis is an opportunity for CRT market participants, as well as the opening-up of new jurisdictions and asset classes. Additionally, the event features a bank resolution case study demonstrating the resilience of significant risk transfer transactions.

Applies until	Subscriber Discount	Subscriber Rate	Non-Subscriber	Non-Subscriber Discount
31-Aug	25%	£1,145	£1,298	15%
30-Sep	20%	£1,220	£1,374	10%
19-Oct	10%	£1,374	£1,526	0%

Silver Sponsor

Agenda

19 October 2023

08:00 - 09:00

Registration Opens & Networking Breakfast

09:00 - 09:10

Welcome Note & Opening Remarks

John Owen Waller, SCI Managing Director
Mark Faulkner, Credit Benchmark (Event Chairman)

09:10 - 10:00

Bank Dislocation, SPV vs CLN, and the demise of AT1s :: Market Overview

• Does the OpCo/HoldCo structure prevalent in the US, UK and Switzerland offer the same level of seniority for CRT CLN notes as senior preferred debt in the EU or are there caveats?
• What is going to be the short term and long-term impact of bank dislocation for CRT issuance from regional banks?
• Will we see a bifurcation between a US market dominated by SPV structures and a European one dominated by direct CLN structures?
• To what extent has this year’s turbulence in the AT1 market following the write down of the CS AT1 bonds benefit CRTs?
• What has been the impact of bank dislocation for pricing this year and how do you expect pricing to evolve by the end of the year and early next year?
Panel Includes:
Parya Badie, Allen & Overy (Moderator)
Kaelyn Abrell, ArrowMark Partners
Thea Gausel , Clifford Chance
Mark Kruzel, Pimco
James Parsons , PAG
Matthew Humphrey, Barclays

10:00 - 10:20

Networking Break

10:20 - 11:10

The p-Factor and Sec-192 :: Regulatory Developments

• The EU Commission has endorsed the halving of the p factor and the EBA has moved away from lifetime capitalization of synthetic excess spread. These are clearly positive developments from the market’s perspective but are there still caveats?
• What challenges does SEC rule 192 on the definition of a ‘’conflicted transaction’’ raise for European market participants and is it possible to adapt to the new rule?
• Is the SPV structure the way forward for the US CRT market?
• Are the EBA's new rules on synthetic excess spread hindering its usage?
Panel Includes:
Timothy Cleary , Clifford Chance (Moderator)
Edmund Parker, Mayer Brown
Jo Goulbourne Ranero, Allen & Overy
Owen Worth, Santander
Harry Noutsos, PCS

11:10 - 12:00

The Output Floor; Counterparty Risk & STS :: Structuring Considerations

• Is there any value in rating triggers as a structural mitigant against counterparty credit risk?
• Are third party accounts more suitable for smaller regional banks or is the posting of collateral sufficient as a mitigant against counterparty credit?
• What is the expected impact of the output floor on tranching and distribution to funded and unfunded participants
• How are unfunded participants responding to the growth of STS transactions?
• Will there be more scalable investor demand for rated (illiquid) CRT mezzanine at economically viable levels that’s competing with more liquid securitised credit on a relative value basis?
Panel Includes:
Ruhi Patil, Linklaters (Moderator)
Vincent Charles-Gervais, M&G
Mehdi Benleulmi, RenaissanceRe
David Owens, ING
Juan Grana, Chorus Capital
Nicolas Saugier, Societe Generale

12:00 - 13:00

Lunch & Networking Break

13:00 - 13:25

Bank Resolution Considerations

Robert Bradbury, Alvarez & Marsal
Getin Noble Bank collapsed in 2022 but was only the latest of several banks that over the years became insolvent having already executed synthetic securitisations. This discussion will walk through the structuring, investor and operational considerations relevant to such situations and illustrate the resilience of significant risk transfer transactions under this kind of backdrop.”

13:25 - 13:50

Keynote

Alexander Batchvarov, Bank of America Merrill Lynch
Synthetic securitisation and risk transfer: past, present, future
-SRT in the context of the economy and bank balance sheet: capital and transition needs?
-Cash vs. synthetic securitisation: friends or foes?
-Global and local, public and private synthetic securitisations: is SRT an asset class?

13:50 - 14:10

Networking Break

14:10 - 15:00

Rising Rates, Blind Pools and AT1 :: Issuer Perspectives

• Have higher rates and defaults changed the motivations behind the issuance of certain asset classes such as commercial real estate, leveraged loans and capital call facilities?
• Banks are still issuing blind pools even in a more challenging economic environment. Why are these types of pools important from an issuer perspective? Do they work for certain portfolios and asset classes? What information can banks provide to allow the investor to form a view on the underlying risk?
• How do CRTs stack against alternatives such as equity and AT1 bonds in this environment?
Panel Includes:
Angela Ulum, Mayer Brown (Moderator)
Pascale Olivie, Societe Generale
Elisabetta Bernardini, Intesa Sanpaolo
Mascha Canio, PGGM
Bruno Bancal, BNP Paribas
Jason Marlow, Barclays

15:00 - 15:50

The Rise of PE, Real Money & (Re)insurers :: Investor Perspectives

• New investors have been entering the CRT space in droves including PE funds and large asset managers. How does the investment approach between these investors differ and what asset classes do they look at?
• Is investor appetite for commercial real estate and leveraged loans sustainable in a rising rate environment?
• How are CRT investors repositioning their portfolios and allocating capital in this economic environment?
• Will Basel four help grow the foothold of insurers into the CRT market?
• How important is a new regulatory framework for growing ESG CRT issuance and how can it look like?
• How have issues around fundraising evolved over the year in the context of allocation to alternatives more broadly and CRTs more specifically?
Panel Includes:
Robert Simmons, Allen & Overy (Moderator)
Daniela Francovicchio , European Investment Fund
Tom Russell, Liberty Specialty Markets
Benedetto Fiorillo, Bayview Asset Management
Molly Whitehouse , Newmarket
Aidan McKeown, Magnetar Capital
Andrew Feachem, Guy Carpenter

15:50 - 16:10

Networking Break

16:10 - 17:00

The Rise in Unfunded Issuance Round Table

• Why Banks write unfunded SRT trades?
• Why insurers like SRT?
• The role of the Arranger in bringing transactions to market.
• Insurer route to market.
• Geographic Focus: Europe & Canada.
Panel Includes:
Ruairi Neville, Arch Insurance
Harald Weiser, Erste Group Bank
Jorge Lopez Herguido, Santander
Michael Heckl, Munich RE

17:00 - 17:50

CEE & US :: Emerging Trends
Panel Kindly sponsored by

Prospects for CRT issuance in the US, CEE, Israel, Emirates, Canada, Australia APAC and Nordics
Given the developing area of ESG, how is investor appetite in CRTs impacted by the implementation of bank CO2 reduction policies? How can synthetic securitisation support the green transition and, in turn, the economy on its trajectory to net zero?
Panel Includes:
Tim Armstrong , Guy Carpenter (Moderator)
Bharath Manium, Tramontana
Eric Denton, Allen & Overy
Jonas Bäcklund, Nordea Group
Angélique Pieterse, PGGM
Alec Innes, KPMG

17:50 - 18:35

CRT Awards 2023

The awards categories are:
1. Transaction of the Year
2. North American Transaction of the Year
3. Impact Deal of the Year
4. Innovation of the Year
5. Investor of the Year
6. Credit Insurer of the Year
7. Issuer of the Year
8. North American Issuer of the Year
9. Arranger of the Year
10. Law Firm of the Year
11. Contribution to CRT
12. Personal Contribution to the Industry

18:35 - 19:35

Cocktail Reception

SCI's 9th Annual Capital Relief Trades Seminar 19 October 2023 (In-person Event)