Agenda

Full two day programme

Securitisations: STS, Risk & Compliance

Day 1 - Monday 18th March

08:30

Registration and refreshments

09:00

STS regulatory update

  • Regulatory bodies; ESMA, PRA, FCA
  • Background context - why has this regulation come about? 
  • Timelines and range of those effected
  • Simple - Transparent - Standardised 
  • European ABS issuance 
  • Non-EU AIFM's who manager and / or markets in AIF - will they fall into the scope of the regulation? 

Speaker: Pablo Sinausia, Policy Expert – Banking Markets, European Banking Authority

10:30

Morning break

11:00

How to implement and manage STS

  • How can you comply? 
  • Ensuring all criteria is managed
  • Compliance with STS 
  • Harmonised framework for broad target groups
  • STS eligibility criteria 
  • STS securitisation vs other securitisation 
  • Pros and cons of being STS

12:30

Lunch

13:30

Due diligence 

  • Who is in scope (i.e. who is an "institutional investor")?
  • What kinds of activities trigger the diligence obligations?
  • What points have to be checked in the diligence?
  • What about legacy deals?
  • Can I hire someone to carry out diligence for me?
  • So does that mean I can't buy 3rd country securitisations anymore?

Speakers: Andrew Bryan, Knowlege Director, Clifford Chance LLP & Owen Lysak, Partner, Clifford Chance LLP

15:00

Afternoon break

15:30

Data and reporting processes

  • European securitisation data repository: key statistics
  • Role of a securitisation repository under the Securitisation Regulation 
  • Reporting regime under the new ESMA, ABS and ABCP exposure templates
  • Data quality management for the ABS and ABCP in EDitor
  • Data quality scores across Europe for ABS 
  • New due diligence requirements for investors via EDvance

Speaker: Marco Angheben, Head of Business Development & Regulatory Affairs, European DataWarehouse GmbH

17:00

End of day one

Day 2 - Tuesday 19th March 

08:30

Refreshments

09:00

Non-performing loan securitisation 

  • ECB guidance to banks
  • Low NPL valuations - risk 
  • How can securitisation be beneficial? 
  • Potential benefits of co-investment strategies
  • Limits to securitisation 
  • What else can banks do to clean up balance sheets? 
  • Case study: Italy's stock of NPL's

10:30

Morning break

11:00

CRT and synthetic securitisation 

  • CRT overview 2018 and outlook for 2019
  • Why are capital relief trades appealing 
  • Preferential treatment of STS securitisations
  • Collateralised borrowing
  • Fundamental and use of significant risk transfer
  • Achieving SRT 
  • SRT in the presences of excess spread
  • What are synthetic securitisations? 
  • Case study: BBVA

Speaker: Pablo Sanchez Gonzalez, Structured Finance Manager, Guarantees & Securitisation, European Investment Fund (EIF)

12:30

Lunch

13:30

Pricing and risk management

  • Creating a risk framework
  • Securitisation transactions as a source of risk 
  • Securitised lending transactions as generators of liquidity risk
  • Interation with leverage
  • Securities as a means to manage and control credit risk 
  • Using external rating agencies 
  • Addressing securitisation specific risks through risk management 

15:00

Afternoon break

15:30

Interplay with other regulations 

  • Treating securitisation under Basel leverage ratios
  • Basel III & IV - risk weightings on securitisation 
  • NSFR & FRTB impacts
  • Impact of LIBOR on market for floating-rate debt
  • LCR and solvency impacts
  • What can we learn from the roll out of other new regulations? 

Speaker: Suman Datta, Head Portfolio Quantitative Research, Lloyds Banking Group

17:00

End of course