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

Asset-backed securities 

  • ABS structures (cash, synthetic, whole loan) and techniques used
  • Third parties involved
  • Roles of rating agencies and their criteria for ABS
  • Underlying assets types that can be securitised

Speaker: Boudewijn Dierick, head of ABS markets, securitised products group, BNP Paribas

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 7 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
  • Basel III & Basel IV – Risk weightings on securitisations (standardized or internal method?)
  • NSFR & FRTB impacts
  • LCR and Solvency impacts

10:30

Morning break

10:45

CRT and synthetic securitisations

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

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

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?

Speaker: Iain Wright, Director, PwC

16:30

End of course