SCI’s 3rd Annual Capital Relief Trades Seminar – London

We have brought the event forward in the calendar to accommodate delegates’ wishes to avoid the end of year rush, and have built in a number of additional networking breaks. As such we expect another sell-out event with Issuers and Investors once again taking centre stage on the panel discussions. Everyone who attended previously thought it was a good event (see comments below), and in fact two years ago everyone bar one person who registered showed up.

AGENDA

11.30 REGISTRATION

12.00 – 12.50 REGULATORY OVERVIEW

The conclusion of the European trilogue negotiations has provided clarity over the CRR, but many regulatory uncertainties remain, such as how standardised risk-weight floor proposals will impact the capital relief trades market. Other regulatory shifts that may change the dynamics of the sector include proposals for reducing IRB variability, the adoption of the slotting approach, changes to expected loss accounting under IFRS 9 and the definition of NPL/NPE exposures. How are issuers equipping themselves to address these operational hurdles and to ensure that the capital benefit and efficiency of their risk transfer trades continues? Has the supervisory formula been tested under enough scenarios? Given the emphasis on strong drafting and processes, is the potential conflict of interest with banks bringing their own deals a concern? What are best practices in terms of verification of losses?

12.50 – 1.20 Networking

1.20 – 2.40 CRTs and STS

Synthetic SME transactions will be included in the simple, transparent and standardised securitisation framework. How are STS eligibility requirements likely to impact the quality, structuring and pricing of capital relief trades, as well as who is able/willing to participate in them? Will standardised banks benefit from the STS framework or will the data requirements be too onerous? From the perspective of rating agencies and third-party data providers, which metrics would be appropriate under the STS framework and how are portfolio assessments expected to change? Is the inclusion of synthetic SME trades in the STS framework likely to have a knock-on impact on the broader CRT market?

2.40 – 3.00 Networking

3.00 – 3:50 INVESTOR LANDSCAPE

A number of large asset managers and hedge funds have exited the capital relief trade space as returns have decreased. At the same time, the STS negotiations have increased awareness of the product among other investors, while the ability of banks to offer financing has facilitated access to the sector. How has the investor base evolved and will the entrance of unfunded credit protection providers, like insurers, change the investment landscape? Which barriers to entry remain for investors and how should they address them? Is the secondary market continuing to evolve and add value for investors, and how does this impact pricing?

3.50 – 4.20 Networking

4.20 – 5.10 STRUCTURING CONSIDERATIONS

The experience of protection buyers and sellers varies across Europe, in terms of how different transaction features are applicable in each jurisdiction. What are best practices in terms of structuring to balance significant risk transfer requirements with the needs of both issuers and investors? Which factors affect the decision to execute on a synthetic or true sale basis, and are balance sheet relief trades facilitating access for less sophisticated banks? Are the EBA’s SRT guidelines likely to increase standardisation across the sector in terms of structuring? How is the increasing use of calls affecting structuring and takeout considerations?

5.10 – 6.00 THE FUTURE OF THE CRT MARKET

Capital relief trade volumes were muted in 1H17, compared to the heavy issuance seen in 2H16. Is issuance likely to pick up following the completion of the trilogue negotiations, and how will the introduction of the new securitisation regulations in 2018 affect volumes and the quality of transactions? Which new trends across geographies and asset classes are emerging? Are mortgage trades – whether synthetic or true sale – the next hot area to develop? Which other (non-regulatory) developments could change the dynamics of the market?

18:00 – 19:30: COCKTAILS