Agenda

Full two day programme

Securitisation - Agenda

Day one - Wednesday 6 November 2019

08:30

Registration and refreshments

09:00

Current state of the securitisation market

  • Capital considerations – practitioners approaches
  • European banks dominating securitisations
  • Why have the issuance of securities fallen?
  • Securitisation effect on market risk

10:30

Morning break

10:45

ABS

  • SONIA switchover
  • Market projections
  • Risk associated with NPLs
  • SONIA, ESTER, and SOFR in relation to ABS
  • Pre 2019 ABS as part of liquidity buffers

12:30

Lunch

13:00

Due diligence

  • Legal requirements for companies
  • Legacy securitisations
  • Secondary Legislations
  • IBOR transition – legal impacts
  • PD3
  • What are possible sanctions for non-compliance?

14:30

Afternoon break

15:00

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 ABS and ABCP in EDitor
  • Data quality scores across Europe for ABS
  • New due diligence requirements for investors via EDvance

16:30

End of day one

Day two - Thursday 10 November 2019

08:30

Refreshments

09:00

STS regulatory update

  • Regulatory bodies; ESMA, PRA, FCA
  • Timelines and range of those effected
  • Dealing with the data requirements of STS products
  • European ABS issuance
  • Working with incomplete regulations
  • Non-EU AIFM’s who manager and /or markets in AIF – will they fall into the scope of the regulation?

10:30

Morning break

10:45

Interplay with other regulations

  • Treating securitisation under Basel leverage ratios
  • Basel III & Basel IV – Risk weightings on securitisations (standardized or internal method?)
  • 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?

12:00

Lunch

13:00

Libor securitisation fallback provisions

  • Libor impact on securitisations
  • SONIA, ESTER and SOFR
  • Contractual fall back language
  • Current state of securitisation contracts – what fall back options are already in place
  • Deciding whether to adopt new contractual language
  • Fall back rates
  • Flexible fall back provisions – benefits and problems

14:30

Afternoon break

15:00

Accounting and the STS Framework

  • Accounting Landscape
  • Risk transfer
  • IFRS 9 – what’s new?

16:30

End of course