New York

31 West 52 Street, New York, NY 10019

12 March 2019

25+ Speakers

Leading figures in the Risk Transfer Sector

165 Seats

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Where the Risk Transfer & Synthetic Securitization Sector Meets

SCI's 3rd Annual Risk Transfer & Synthetics Seminar brings the market together to discuss how synthetic securitisation is being utilised to transfer risk and achieve capital relief. 

The event covers the most significant developments in the risk transfer regulatory and investment landscapes, including a workshop on Basel 4 and Capital Floors; we examine how US banks are developing synthetic securitisation for balance sheet management; take an in-depth look at Credit Risk Transfer, and emerging trends in Capital Relief Trades. Most importantly there are many opportunities to network and catch-up with industry colleagues.

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Agenda

  • 12 March

Speakers

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Leanne Banfield

Managing Associate
Linklaters
Leanne Banfield is a Managing Associate in the Derivatives and Structured Products Group in the Linklaters London office and specialises in structured finance and derivatives with a particular focus on repackagings and credit-linked products, including synthetic securitisations. She has acted for financial institutions across multiple jurisdictions and has advised on a wide range of bespoke synthetic risk transfer structures. Leanne has spent time in the firm’s Dubai and Abu Dhabi offices.

12 March

Alan Ball

Broker
Texel
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.

12 March

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.

12 March

Kaikobad Kakalia

Chief Investment Officer
Chorus Capital Management
Kaikobad Kakalia is the CIO of Chorus Capital. Chorus Capital is a specialist asset manager investing in performing loan portfolios through risk sharing transactions with financial institutions operating in Europe. Kaikobad joined Chorus Capital at the beginning of 2014, from the Royal Bank of Scotland Plc where most recently he worked as a Managing Director in the Financial Institutions Group. Prior to that, from 2006 to 2012, Kaikobad managed the Treasury Structured Solutions team which originated, structured and executed more than 24 risk transfer transactions on behalf of ABN AMRO and RBS. Kaikobad has over 25 years of financial markets experience, having worked in London, New York and Hong Kong, in a variety of areas including sales, structured finance, CPM, Treasury and most recently Financial Institutions. He was one of the founding members of ABN AMRO’s Portfolio Management Group in 2001, and RBS’ Investment Bank Treasury in 2008.

12 March

Martin Neisen

Partner
PwC

12 March

SCI's 3rd Annual Risk Transfer Synthetics Seminar_PwC.pptx Download Link

Mark Kruzel

Director
Citi
Mark is a Director in Strategic Risk Solutions, based in New York. He focuses on regulatory capital and risk management-based solutions for banks and insurance companies in the US, Canada, and Latin America. His specialties include securitization, structured credit, credit default swaps, and Basel regulation. Mark previously worked at CitiBanamex in Mexico City, where he was part of the franchise risk team responsible for integrating Banamex into Citi’s global businesses. He also worked in Loan Portfolio Management at Citi, which was responsible for the general credit portfolio management, risk mitigation, and balance sheet hedging of Citi’s corporate loan book. Mark is a graduate of American University with a B.A. in International Relations and a B.S. in Finance. He is a CFA Charterholder and speaks Spanish and Mandarin Chinese.

12 March

Som-lok Leung

Executive Director
IACPM
Som-lok Leung is the Executive Director of the International Association of Credit Portfolio Managers (IACPM). The IACPM is a non-profit industry association dedicated to advancing the practice of credit portfolio management through advocacy, research, education, communication and promotion of sound practice. Its membership now comprises over 100 financial institutions around the globe.
In his role, Som-lok oversees all aspects of the association, and reports to the IACPM Board of Directors. Previously, Som-lok was a Senior Director in the KMV (now Moody’s Analytics) Client Solutions group, working with a wide range of banks, insurance companies, and asset managers. Prior to joining KMV, Som-lok accumulated over a dozen years of risk management experience, both in staff positions and as a management consultant. Som-lok has been Director of Risk Policy at Nomura Securities, responsible for covering both market and credit risk on the New York trading floor, and also Director of Credit Risk Control at the Union Bank of Switzerland in NY, responsible for both counterparty credit risk and risk measurement and management for the corporate loan portfolio. This followed a career as a management consultant at Oliver, Wyman & Co. that focused primarily on risk management. Som-lok graduated summa cum laude from Harvard University.

12 March

Molly Whitehouse

Mariner Investment Group
Molly Whitehouse is a Director at Mariner Investment Group, where she specializes in securitized products and regulatory-capital driven transactions. Through this strategy, Mariner has invested in transactions across 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 overseeing the due diligence process. Ms. Whitehouse holds a BA in Political Science from Yale University and a MLA in Sustainable Development from the University of Pennsylvania.

12 March

Jeroen Batema

Managing Director
OS-IS
Jeroen Batema, Chief Executive Officer Open Source Investor Services (OSIS).
Jeroen is a co-founder of OSIS. He started his banking career in commercial lending at ING Bank, in 2000 he became head of Credit Portfolio Management at NIBC and in 2007 he continued as head of Securitization at Credit Portfolio Management at BNP Paribas Fortis. In the last role he was responsible for several post crisis and Basel 2 compliant securitization transactions. Further he is the founding chairman of Global Credit Data, a global association of banks with the largest loan loss database in the world. He holds a MS in law from the University of Utrecht, the Netherlands.

12 March

Mark Fontanilla

Managing Director
Mark Fontanilla & Co., LLC
Mark Fontanilla is the founder of Mark Fontanilla & Co., LLC, a strategic consulting firm that specializes in market strategies, advanced research and analysis, and index design and administration. With over 20 years of experience in the bond markets, mortgage finance, and fixed income research, Mark has achieved a uniquely thorough acumen in capital markets and investment analysis. Before founding MF&Co, he was a senior fixed income marketing strategist at Fannie Mae, including specific work with their primary credit risk transfer (CRT) program, Connecticut Avenue Securities™ (CAS). Prior to that, he had been a publishing research analyst in residential mortgage securities at Wells Fargo Securities, LLC, as well as an RMBS/ABS trader at Royal Bank of Canada, and the Director of Risk and Portfolio Management at Champion Mortgage. Mark has a B.S. and M.B.A in finance from Penn State University.

12 March

Jessica Littlewood

Partner
Clifford Chance
Jessica is a partner in the structured finance and derivatives practice of global law firm, Clifford Chance LLP. She is recognised as a market leader in synthetic securitisations, risk transfer transactions and other regulatory capital driven structures, having acted for numerous banks and financial investors on such transactions over the past two decades. Jessica has also been working with AFME and PCS in connection with the current reforms to the EU securitisation regulations as they affect synthetic securitisation, and has participated in discussions with regulators and policymakers on these proposals. She currently works in the London office of Clifford Chance and previously worked in their New York office between 2000 to 2003.

12 March

Jason Marlow

Managing Director
Barclays
Jason Marlow is a Managing Director in the Corporate Loan Portfolio Management team in Barclays Bank. He focuses on Credit Risk Mitigation as well as overall portfolio strategy across the Corporate and Investment Bank. Jason holds a BA in Economics from Georgetown University.

12 March

David Felsenthal

Partner
Clifford Chance
David Felsenthal is a partner in the Capital Markets Group of Clifford Chance in the New York office. David has a leading practice in derivatives, structured finance and fintech. He works on derivatives transactions and regulations across a range of asset classes and transaction types. He also advises extensively on trading transactions including repo, securities lending and secured financing. David has been a leader in developing and executing structured products, including securities linked to credit and equity, and is particularly known for his work on synthetic securities and risk-transfer transactions.
David's expertise has been recognized by numerous trade associations: he has represented ISDA in its advocacy for improved swap margin rules and other matters; he gives the industry-wide opinions for SIFMA for the standard documentation for repo, securities lending and forwards. He is a frequent speaker at conferences organized by PLI, ISDA, and others. David has been recognized as a leading practitioner by Chambers US and Chambers Global.

12 March

Olivier Renault

Managing Director
Citi
Olivier is EMEA Head of Financial Institutions Solutions at Citi, focusing on balance sheet optimization and strategic asset disposal and hedging transactions for insurers, banks and pension funds. He also has responsibility for Solutions sales to European FIG clients. Prior to joining Citi in April 2015 he was head of Structuring & Advisory at StormHarbour where his team provided advisory services to financial institutions in the field of regulatory capital and balance sheet optimization, and executed multiple cash and synthetic securitisations and asset disposals. Between 2004 and 2009, Olivier worked for Citigroup, initially in European Structured Credit Strategy and then in the credit derivatives structuring team, working on regulatory capital, risk transfer and balance sheet optimization transactions both for Citi's loan book and external clients.
He started his career as assistant professor (Lecturer) at the London School of Economics where he taught Derivatives and Risk courses. He then worked for Standard & Poor's Risk Solutions where he was in charge of portfolio modelling projects and correlation-related research.
On the specific topic of SRT, Olivier has executed 16 transactions for 10 different financial institutions in 8 different countries.

12 March

Tim Cleary

Partner
Clifford Chance
Timothy Cleary is a partner in the Banking and Finance Group of Clifford Chance in the London office, specializing in structured finance and bank capital management. He has a particular focus on synthetic securitization and other credit risk mitigation and risk transfer transactions, and regularly acts for many of the active originator banks across Europe, North America and Asia. Timothy also has extensive experience with the various regulatory and structuring considerations relevant in such transactions.
Timothy also has broad experience in all aspects of OTC derivatives, in particular in connection with asset-backed securitization, whole business securitization, project and asset finance and real estate finance, as well as the repackaging of derivative exposures and securities financing transactions. He regularly advises industry bodies such as the Association for Financial Markets in Europe (AFME) and Prime Collateralized Securities (PCS) in relation to the evolving regulatory landscape for securitization in the EU.

12 March

Steven Gandy

Managing Director and Global Head, Private Debt Mobilisation-Notes and Structuring
Santander
Steve Gandy is Managing Director, Head of Private Debt Mobilisation, Notes and Structuring, for Santander Corporate and Investment Bank in London.
He has over 27 years’ experience in the securitisation industry, having completed transactions in Europe, United States, Latin America and Asia. He serves on the Board of Directors of the European Data Warehouse, and has also served as Member Chairman of the Securitisation forum of AFME, where he participated in the development of the PCS initiative and currently serves as the chairman of the PCS Market Committee. Steve is also the current chairman of the Securitisation Working Group of the European Banking Federation.
During his 40 years of banking experience, Steve has held a number of management positions, with postings in the US, Mexico, Hong Kong and Paris prior to arriving in London in 1999.
He holds a Bachelors of Arts degree in Linguistics from the University of Texas, and an MBA from Thunderbird, the American Graduate School of International Management, where he also won the Barton Kyle Yount Award.

12 March

12 March

John Sim

Head of the MBS Credit research
J.P. Morgan
John Sim is a the head of the MBS Credit research team. His team has consistently been ranked #1 for the past 10+ years by Institutional Investor. He has worked at JPMorgan since 2002. Prior to that he worked at Credit Suisse for 8 years in their mortgage technology and research department. John holds a bachelor degree in computer science/math from RPI.

12 March

Seamus Fearon

Chief Actuary - Global Mortgage Group
Arch Capital Group
Seamus Fearon - Chief Actuary, Global Mortgage Group, Arch Capital Group Ltd.

Seamus is Chief Actuary for the Global Mortgage Group at Arch Capital. His responsibilities include capital and portfolio management and leads analytics across Arch’s participations in the GSE CRT program and mortgage insurance linked notes. Seamus is a Fellow of the Institute and Faculty of Actuaries and holds a B.Sc. in Actuarial and Financial Mathematics from Dublin City University.

12 March

Charles Martino

Vice President
J.P. Morgan
CJ is a Vice President at JPMorgan Chase.In his current role in Cross Asset Structuring, his responsibilities include identifying opportunities in the structured credit, bank capital and alternative financing opportunities.He works with clients and internal portfolio owners to design scalable structures to transfer risk.He previously focused on tactical market view solutions for clients, particularly in multi-asset derivatives and hedging solutions.CJ has a degree in Economics from the University of Chicago, and is currently pursuing a Masters in Business Administration from Columbia University.

12 March

Edmund Parker

Partner
Mayer Brown
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".

12 March

Manish Kapoor

Managing Principal
West Wheelock Capital
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).

12 March

KC

Karan Chabba

Portfolio Manager
KLS Diversified Asset Management
Mr. Chabba is a Portfolio Manager in the structured products group at KLS Diversified. He is responsible for the Non-Agency RMBS/CLO portfolios and the European ABS/Specialty Finance Lending effort within the firm. In prior years at KLS, Mr. Chabba was also responsible for managing their Agency MBS portfolio. Prior to joining KLS, Mr. Chabba worked in the Structured Products Strategy group at Bear Stearns where he was a top ranked analyst primarily responsible for market strategy and research on mortgage credit and cash CLOs. Mr. Chabba holds a B.E. from National Institute of Technology (NIT), Allahabad, an MBA from the Indian Institute of Management (IIM), Ahmedabad and a Masters in Computational Finance from Carnegie Mellon University.

12 March

Jeffrey.N. Krohn

Managing Director
Guy Carpenter
Jeff leads Guy Carpenter’s Global Mortgage Credit Speciality practice and has more than 25 years of experience in the insurance and reinsurance industry. Jeff’s expertise in the mortgage insurance sector has been independently recognised. He was named Risk & Insurance magazine’s list of Reinsurance Power Brokers and his transaction covering European mortgage risk was highly commended at the Worldwide Reinsurance Awards. Guy Carpenter’s clients include Government Sponsored Enterprises and private mortgage insurers across the globe.

Prior to joining Guy Carpenter in 2002, Jeff was with PricewaterhouseCoopers where he worked as a management consultant in the Corporate Strategy Practice for the firm’s Insurance Sector. Jeff received his MBA in Finance from Carnegie Mellon's Tepper School of Business and BA in Speech Communications and Mathematics from the University of Maryland.

12 March

Julie Gillespie

Partner
Mayer Brown
Julie Gillespie, a partner in Mayer Brown’s Chicago Office, is co-head of the Structured Finance practice and a member of the firm’s Partnership Board. She has extensive experience representing commercial banks, ABCP conduits, originators, sponsors and investors in structuring, negotiating and documenting asset-backed and other structured finance transactions. Her experience has involved the securitization of credit card receivables, personal loans, auto loans and leases, fleet leases, FFELP and private student loans, and auto and equipment dealer floorplan receivables, as well as synthetic risk transfers. Julie’s areas of expertise include master trust and other revolving structures for the financing of both traditional revolving assets, including credit card and dealer floorplan accounts, as well non-revolving assets, such as fleet leases.
Julie is co-chair of SFIG’s Credit Card Committee and led the SFIG risk retention industry guide working group.

12 March

Carol Hitselberger

Mayer Brown
Carol Hitselberger is co-leader of Mayer Brown's Banking & Finance practice, and focuses her practice in the structured finance area. She spends significant time on accounting and regulatory developments that impact the structured finance industry. Carol is a member of SFIG, the structured finance industry's leading trade organization and in 2018, Carol was appointed to SFIG's Board. In addition, she is the co-lead of the Volcker Task Force and the ABCP committees. Carol often works with investors and issuers in structured finance products of most types, including trade receivables, credit card receivables, consumer loans, auto loans, aircraft, leases, franchise portfolios, government contracts, trademark licenses, and various other financial assets.
Chambers USA highlights that "she has been doing structured finance work for decades - she can run a transaction so smoothly." Carol is lauded by clients as "very creative" and "extremely well regarded in the industry" as she "talks in a language business people can understand." She has been ranked on her ability to handle cross-border work around the world in Chambers Global, USA, Capital Markets: Securitization, recognized for her skill in interpreting and negotiating the regulatory aspects of securitization and structured finance deals in Chambers USA, Nationwide, Capital Markets: Securitization and commended for her expertise in the securitization spaces in Chambers USA, North Carolina, Banking & Finance, North Carolina. She has also been ranked as one of the best securitization finance lawyers in the US by, among others, IFLR, Best Lawyers in America (2015 recognition as the top lawyer in Charlotte, NC in securitization and structured finance), Who's Who Legal, Expert Guides: Structured Finance and Securitization, and Expert Guides: Women in Business Law. Carol is a member of the Board of Advisors of the UNC School of Law Center for Banking and Finance Law.

12 March

Alec Innes

Managing Director
BMO Capital Markets
Alec Innes is a Managing Director and Head of Risk & Capital Solutions at Bank of Montreal in Toronto.
Alec’s team is responsible for the structuring, execution and placement of capital and risk transfer transactions for the bank and for third party clients.
Prior to joining BMO, Alec held a variety of roles with Lloyds Banking Group, Bank of America Merrill Lynch and Barclays in the areas of portfolio management, structuring and sales.
Alec is also a qualified solicitor and practiced securities law for a number of years prior to becoming a banker at White & Case and Linklaters.
Alec holds a B.A. (Hons) in Archaeology, Anthropology and History from Cambridge and Bachelor of Jurisprudence, Law from Oxford.

12 March

John Hwang

Allen & Overy
John is a U.S. securitization partner with extensive experience in SEC-registered offerings, private placements (Rule 144A, Regulation D and Section 4(a)(2))and Regulation S offerings. He has represented issuers, underwriters, placement agents, trustees, and investors in corporate finance transactions, covered bonds, collateralized loan obligations and asset-backed securities, including securitizations of auto loans and leases, dealer floor-plan financings, credit card receivables, student loans, trade receivables, mortgage loans, servicer advances, tobacco fee settlement awards, tobacco quota payments, life settlements and utility stranded costs. John has represented numerous clients on the development of innovative structures involving structured finance products. His work also includes advising clients in connection with tender and exchange offers in liability management transactions and restructurings and in connection with asset purchases and dispositions.
John has played a key role in the drafting of comment letters for industry groups regarding various proposed regulations affecting offerings of asset-backed securities.

12 March

Charles. J. Trombley

Vice President
Credit Suisse
Charles Trombley is a Vice President on the Mortgage Finance team at Credit Suisse. Charles focuses on the financing and securitization of newly originated, seasoned re-performing, and non-performing residential mortgage loans, as well as credit risk transfer transactions for mortgage insurers and the GSEs.
Prior to joining Credit Suisse, Charles held a variety of roles at Freddie Mac, and was a key member of the STACR credit risk transfer team.
Charles holds a M.S. in Finance from American University, and B.Sc. in Finance from George Mason University.

12 March

Syril Pathmanathan

Senior Credit Analyst
The D . E . Shaw Group
Syril Pathmanathan is a vice president of D. E. Shaw & Co. (London), LLP and a member of the D. E. Shaw group’s Asset-Backed Strategies ("ABS") investment unit operating from the firm's London office. Mr. Pathmanathan is a member of the Securities team within the ABS unit and focuses on bank regulatory capital transactions. Prior to joining the firm in 2016, he was director at Credit Suisse AG, where he last was head of capital and risk solutions structuring and before that served as head of Asia bank solutions. Prior to that, Mr. Pathmanathan was a partner at Venn Partners LLP, a boutique investment management and advisory firm focused on de-risking opportunities in Europe. From 2005 to 2010, he worked in fixed income and investment banking at Credit Suisse.
Mr. Pathmanathan began his career in 1999 at Oliver Wyman and Company, (subsequently acquired by Marsh & McLennan Cos., Inc.), where he developed risk management tools and frameworks for use by banks globally. He earned his M.A. in Economics from the University of Cambridge.

12 March

Rose Barnabic

Director
Andrew Davidson & Co., Inc.
Rosemary Barnabic joined the Business Development group at Andrew Davidson & Co., Inc. in the Fall of 2012 and has been working with reinsurers and MI providers since the first ACIS transaction was launched a year later. Rosemary began her career in the mortgage business with Lehman Brothers’ and has held prior positions in Mortgage Research & Analytics Development, Structured Finance, Servicing, and Risk Management. Rosemary holds a BS degree in Mechanical Engineering from Lehigh University and an MBA in Finance from New York University’s Stern School of Business.

12 March

Arch Capital Group

Linklaters

Bronze

Texel Finance

Bronze

ArrowMark Partners

Bronze

Andrew Davidson & Co.

Bronze

Mark Fontanilla & Co.

Bronze

Allen & Overy

Bronze

Guy Carpenter

Bronze

REGISTRATION

09:30 AM 10:00 AM

Workshop Session: Creating common ground for CRT Investors and Issuers

10:00 AM 11:00 AM

Attend this session for a live demonstration on how to efficiently structure a CRT transaction from both the investor and issuer perspective. We will look at different macroeconomic scenarios and regulatory regimes and try to find optimal portfolio composition, tranching and pricing for both parties.
How to combine insights in RWA and ROI? Incorporating accounting and banking standards makes it challenging to structure a deal. However, providing insights in the consequences of Basel, IFRS, CCAR and CECL adds to the opportunity to structure a deal successfully. All the effects on CET1, MREL/TLAC, IFRS9 or CECL will be considered across the entire lifetime of the transaction, including additional structuring features like excess spread, clean up goals and optimisation algorithms for portfolio composition and tranching.

Workshop Host: Jeroen Batema, OSIS

Speakers

MORTGAGE RISK TRANSFER

11:00 AM 12:00 PM

Panel kindly sponsored by
This panel looks at the evolution of the mortgage credit risk transfer market pioneered by Fannie Mae and Freddie Mac. How have the GSEs continued to innovate, broaden investor participation in and enhance the liquidity of their programmes? What are the latest developments in the mortgage insurance-linked notes space? What are the prospects for this segment in 2019, in terms of issuance volumes and participants? How else is securitisation – whether in cash or synthetic format – being embraced to support the US mortgage finance system?

Panel includes:
Charles. J.Trombley, Credit Suisse
Rose Barnabic, Andrew Davidson & Co.
Mark Fontanilla, Mark Fontanilla & Co.
John Sim, J.P.Morgan
Seamus Fearon, Arch Capital Group
Jeffrey.N.Krohn, Guy Carpenter

Jeffrey.
N.Krohn comments: Guy Carpenter serves as an intermediary both on reinsurance placements and insurance linked securities (ILN) issuances. Delegates can look forward to understanding the differences in risk appetite between investors and reinsurers who are taking the similar risk in GSE CRT and MI ILN / excess of loss placements.
Mark Fontanilla comments: “The market value of outstanding U.S. agency CRT securities issued via Fannie Mae’s CAS® and Freddie Mac’s STACR® programs has reached over $50 billion. Based on the CRTx® index, sector total returns came in at 2.79% for 2018, outperforming most major market sectors last year. As part of our panel discussion, we will go over sector performance, structural variations, and the distinctive risk/reward relative value proposition that US CRT securities present to investors.”


Speakers

Lunch & Networking

12:00 PM 01:00 PM

REGULATORY LANDSCAPE

01:00 PM 01:50 PM

Panel kindly sponsored by

This panel examines how the implementation of the new securitisation framework, Basel 4 and IFRS 9 are changing the capital relief trade landscape. Is SEC-IRB expected to apply across the board or will some transactions fall under the more punitive SEC-ERBA? How is the market adapting to capital floors and can structures be made future-proof? What impact are the EBA’s discussion paper and the ESMA securitisation disclosure requirements having on the market?

Panel includes:
Leanne Banfield, Linklaters
Alan Ball, Texel
Carol Hitselberger, Mayer Brown
Steven Gandy, Santander
John Hwang, Allen & Overy 

Alan Ball comments: “Texel arranges unfunded risk transfer solutions, primarily in the form of insurance, for a diverse client base of financial institutions, including major global investment banks, commodity traders and financial intermediaries. Current themes under the spotlight are both the challenges and opportunities raised by regulatory developments for our sector and the clients we serve. Of particular interest is how these changes are encouraging a convergence of insurance and structured finance practices which we think will have benefits for participants in both sectors.”
Steven Gandy comments: “A momentous regulatory development is upon us with the new STS regulation coming into force in Europe with new risk weights and new capital approaches to contend with. New risk weight floors to be phased in will also spark interest in SRT deals among banks who historically have not considered this capital management tool.”


Speakers

INVESTMENT LANDSCAPE

01:50 PM 02:40 PM

This panel focuses on investing in capital relief trades at the peak of the credit cycle. Against increasing corporate defaults, does SRT represent sensible diversification or a risky bet? How are rising interest rates affecting investor IRR targets for both US and European transactions? How does the investment appetite of the pension/insurance industry for synthetics differ from that of hedge funds? From an issuer’s perspective, what constitutes a ‘perfect’ partner for CRTs? How have previous deals performed? Case study on lessons learned and pricing considerations.

Panel includes:
Syril Pathmanathan, The D . E . Shaw Group
Kaelyn Abrell, ArrowMark Partners
Kaikobad Kakalia, Chorus Capital
Jessica Littlewood, Clifford Chance
Jason Marlow, Barclays
Manish kapoor, West Wheelock Capital

Kaelyn Abrell comments: “We’ve witnessed the CRT market mature over the last few years to become an integral part of the opportunity in private credit. As we approach a potentially more difficult credit environment, we believe the unique return profile of CRT securities will validate the asset class as a key tool to achieve overall portfolio goals. Drawing on ArrowMark’s eight years partnering with both CRT issuers and institutional investors, we look forward to sharing our thoughts on the impact of the market’s ongoing evolution and how best to align issuer objectives with those of a diverse group of investors.”

Speakers

Speed Networking

02:40 PM 03:40 PM

Informal round table discussions plus 1 to 1 meetings

BEYOND BASEL 4: How the capital floor influences business models, pricing and profitability

03:40 PM 04:20 PM

Basel 4 capital floors are controversial due to the increase that they are likely to introduce in banks’ capital requirements. As the cost of capital increases for certain clients, products and portfolios, this presentation will highlight how such changes can influence future transaction decisions and explain why certain transactions can influence the profitability of a portfolio.

Workshop Host: Martin Neisen, PwC

Speakers

THE US PERSPECTIVE

04:20 PM 05:10 PM

Panel kindly sponsored by 

This panel explores what is needed for US banks to engage in CRT transactions, including regulatory, accounting and tax considerations. What are the key performance metrics for US banks and can CRT deals address them? Do US investors have a similar approach to transactions to their European peers? What differences are there between the US and other CRT markets?

Julie Gillespie, Mayer Brown
Mark Kruzel, Citi
Som-lok Leung , IACPM
David Felsenthal, Clifford Chance
Charles Martino, J.P.Morgan
Karan Chabba, KLS Diversified Asset Management 

Speakers

Networking Break

05:10 PM 05:25 PM

EMERGING TRENDS

05:35 PM 06:25 PM

Panel kindly sponsored by

This panel tracks the emergence of new issuers, investors, asset classes and jurisdictions onto the capital relief trades scene. What are the prospects for auto loan and credit card deals in 2019? What role are multilateral development banks playing in the growth of the SRT market? Are volumes of cash securitisations for SRT purposes expected to rise?

Panel includes:
Molly Whitehouse, Mariner Investment Group
Olivier Renault, Citi
Tim Cleary, Clifford Chance
Steven Gandy, Santander
Edmund Parker, Mayer Brown
Alec Innes, BMO Capital Markets

Steven Gandy comments: “SRT is expanding into exotic locations. We’ll discuss the first SRT deal for an African development bank and the first SRT deal in Mexico. We’ll also explore the first deals done for auto loans last year.”

Speakers

Cocktail Reception

06:25 PM 07:30 PM