Agenda
Full two day programme
Securitisation - Agenda
Day one - Wednesday 6 November 2019
08:30
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Registration and refreshments
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09:00
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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
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10:30
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Morning break
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10:45
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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
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12:30
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Lunch
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13:00
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Due diligence
- Legal requirements for companies
- Legacy securitisations
- Secondary Legislations
- IBOR transition – legal impacts
- PD3
- What are possible sanctions for non-compliance?
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14:30
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Afternoon break
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15:00
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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
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16:30
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End of day one
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Day two - Thursday 7 November 2019
08:30
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Refreshments
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09:00
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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
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10:30
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Morning break
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10:45
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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)
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12:00
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Lunch
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13:00
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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
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14:30
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Afternoon break
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15:00
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Accounting and the STS Framework
- Accounting Landscape
- Risk transfer
- IFRS 9 – what’s new?
Speaker: Iain Wright, Director, PwC
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16:30
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End of course
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