Virtual Event

7 - 8 October 2020

25+ Speakers

Leading figures in the Risk Transfer Sector

SCI's 4th Annual Risk Transfer & Synthetics Seminar is going virtual for 2020

Event Hubb will go live at 08:00 AM Eastern Time. Registrants will be able to connect with sponsoring firms, view exhibits, watch live or on-demand content as well as connect and meet with fellow attendees.

Introduction

Join SCI for the 4th Annual Risk Transfer & Synthetics Seminar

JPMorgan Chase continues to push back the frontiers of the CRT market in the US, in August pricing its first auto loan securitisation in 14 years. The Chase Auto Credit Linked Notes Series 2020-1 followed a $2bn synthetic MBS securitisation in July, so seemingly US issuers are learning lessons from their more experienced European counterparts. SCI's Risk Transfer & Synthetics Seminar explores the micro and macro drivers behind these landmark deals and whether this flurry of business could spur further risk transfer activity across a broader range of US originators and asset classes. The seminar also examines innovation across the whole range of mortgage insurance-linked notes and GSE credit risk transfer programmes, as the market re emerges from the shadow of Covid 19.

Lead Sponsor

Platinum Sponsor

Bronze Sponsors

Agenda

  • 07 October
  • 08 October

Speakers

Steven Gandy

Managing Director and Global Head, Private Debt Mobilisation-Notes and Structuring
Santander
Steve Gandy is Managing Director, Head of Private Debt Mobilisation, Notes and Structuring, for Santander Corporate and Investment Bank in London.
He has over 27 years’ experience in the securitisation industry, having completed transactions in Europe, United States, Latin America and Asia. He serves on the Board of Directors of the European Data Warehouse, and has also served as Member Chairman of the Securitisation forum of AFME, where he participated in the development of the PCS initiative and currently serves as the chairman of the PCS Market Committee. Steve is also the current chairman of the Securitisation Working Group of the European Banking Federation.
During his 40 years of banking experience, Steve has held a number of management positions, with postings in the US, Mexico, Hong Kong and Paris prior to arriving in London in 1999.
He holds a Bachelors of Arts degree in Linguistics from the University of Texas, and an MBA from Thunderbird, the American Graduate School of International Management, where he also won the Barton Kyle Yount Award.

07 October

08 October

Jason Marlow

Managing Director
Barclays
Jason Marlow is a Managing Director in the Corporate Loan Portfolio Management team in Barclays Bank. He focuses on Credit Risk Mitigation as well as overall portfolio strategy across the Corporate and Investment Bank. Jason holds a BA in Economics from Georgetown University.

08 October

Mark Kruzel

Director
Citi
Mark is a Director in Strategic Risk Solutions, based in New York. He focuses on regulatory capital and risk management-based solutions for banks and insurance companies in the US, Canada, and Latin America. His specialities include securitization, structured credit, credit default swaps, and Basel regulation. Mark previously worked at CitiBanamex in Mexico City, where he was part of the franchise risk team responsible for integrating Banamex into Citi’s global businesses. He also worked in Loan Portfolio Management at Citi, which was responsible for the general credit portfolio management, risk mitigation, and balance sheet hedging of Citi’s corporate loan book. Mark is a graduate of American University with a B.A. in International Relations and a B.S. in Finance. He is a CFA Charterholder and speaks Spanish and Mandarin Chinese.

08 October

Kaelyn Abrell

Partner, Portfolio Manager
ArrowMark Partners
Kaelyn Abrell | Partner, Portfolio Manager

Kaelyn is a Partner and Portfolio Manager for ArrowMark Partners. A core member of the ArrowMark team since the firm’s inception, Kaelyn leads ArrowMark’s fixed income efforts in securitized products and has spearheaded the regulatory capital relief strategy since 2010. Kaelyn was also the lead analyst for the firm’s participation in the Term Asset-Backed Securities Loan Facility (“TALF”) program. Prior to joining ArrowMark Partners in 2008, she was an analyst at Janus Capital Group where her areas of focus included residential and commercial mortgage-backed securities, asset-backed securities, and interest rates (2004-2008). Previously, Kaelyn worked at Great-West Life where she was Assistant Portfolio Manager of $5.5 billion in separate account, general account and total return assets with a focus on high quality fixed income securities (1998-2004). Kaelyn graduated from Illinois State University with a bachelor’s degree in Economics and earned an MBA from Indiana University.

07 October

Alan Ball

Broker
Texel
Alan Ball, Texel Finance Limited

As a broker at Texel Finance Limited, Alan focuses on working with financial institutions and corporates in arranging and structuring insurance-based solutions for a range of structured credit and regulatory capital driven transactions. Prior to joining Texel Finance, Alan was a Senior Underwriter for Liberty Specialty Markets, where he led the Structured Risk Solutions team. Alan has structured and underwritten a number of innovative and bespoke forms of insurance cover to provide credit risk mitigation, regulatory capital and other benefits to clients. The underlying exposures covered by these insurance policies have included structured loan portfolios, specialist lending exposures, securities financing exposures and alternative assets including portfolios of private equity assets, CLOs and other structured finance exposures.
Prior to joining the insurance market, Alan was a practising corporate lawyer for 9 years, training and qualifying at Slaughter and May. During his time as a lawyer, Alan advised financial institutions, private equity clients and large corporates on a broad range of matters including M&A and ECM transactions, corporate restructurings and structured finance transactions.

07 October

James Bennison

Executive Vice President and Head of Alternative Markets
Arch U.S. MI Services Inc.
James Bennison is Executive Vice President and Head of Alternative Markets for Arch U.S. MI Services Inc. with nearly 30 years of experience as an investor and investment banker in the structured finance market. Prior to joining Arch, Mr. Bennison worked as Vice President, Head of Structured Products at United Guaranty Corporation and a Senior Vice President and Head of Capital Markets for Genworth Financial’s US Mortgage Insurance business. He also held various positions at The Money Store Inc., Structured Finance Advisors and ING Investment Management. His experience includes establishing and managing the Structured Finance business at SunTrust Capital Markets. He was also a co-founder and Managing Principal of Terminus Asset Management, a structured securities asset manager. He holds a B.S. in Economics from The University of the South and is a Chartered Financial Analyst.

07 October

Kaikobad Kakalia

CIO
Chorus Capital
Kaikobad Kakalia is the CIO of Chorus Capital. Chorus Capital is a specialist asset manager investing in performing loan portfolios through risk-sharing transactions with financial institutions operating in Europe. Kaikobad joined Chorus Capital at the beginning of 2014, from the Royal Bank of Scotland Plc where most recently he worked as a Managing Director in the Financial Institutions Group. Prior to that, from 2006 to 2012, Kaikobad managed the Treasury Structured Solutions team which originated, structured and executed more than 24 risk transfer transactions on behalf of ABN AMRO and RBS. Kaikobad has over 25 years of financial markets experience, having worked in London, New York and Hong Kong, in a variety of areas including sales, structured finance, CPM, Treasury and most recently Financial Institutions. He was one of the founding members of ABN AMRO’s Portfolio Management Group in 2001, and RBS’ Investment Bank Treasury in 2008.

08 October

Joost Hoogeveen

Senior Portfolio Manager
PGGM
Joost Hoogeveen, CFA is senior portfolio manager in PGGM’s Credit and Insurance Linked Investments team. Joost joined PGGM in 2013 and is specialized in working with banks on structuring credit risk sharing transactions. PGGM manages over US$ 250 billion of assets for Dutch pension funds, out of which approximately US$ 6 billion is allocated to credit risk sharing transactions as of December 2019. Prior to joining PGGM Joost worked at UBS Investment Bank in London as a quantitative analyst in UBS’s structured credit trading department.
Joost holds a master’s degree in Physics from the University of Cambridge and a PhD in Theoretical Physics from the University of Amsterdam.

07 October

Timothy Cleary

Partner
Clifford Chance
Timothy Cleary is a partner in the Banking and Finance Group of Clifford Chance in the London office, specializing in structured finance and bank capital management. He has a particular focus on synthetic securitization and other credit risk mitigation and risk transfer transactions, and regularly acts for many of the active originator banks across Europe, North America and Asia. Timothy also has extensive experience with the various regulatory and structuring considerations relevant in such transactions.
Timothy also has broad experience in all aspects of OTC derivatives, in particular in connection with asset-backed securitization, whole business securitization, project and asset finance and real estate finance, as well as the repackaging of derivative exposures and securities financing transactions. He regularly advises industry bodies such as the Association for Financial Markets in Europe (AFME) and Prime Collateralized Securities (PCS) in relation to the evolving regulatory landscape for securitization in the EU.

07 October

08 October

Jeffrey.N. Krohn

Managing Director
Guy Carpenter
Jeff leads Guy Carpenter’s Global Mortgage Credit Speciality practice and has more than 25 years of experience in the insurance and reinsurance industry. Jeff’s expertise in the mortgage insurance sector has been independently recognised. He was named Risk & Insurance magazine’s list of Reinsurance Power Brokers and his transaction covering European mortgage risk was highly commended at the Worldwide Reinsurance Awards. Guy Carpenter’s clients include Government Sponsored Enterprises and private mortgage insurers across the globe.

Prior to joining Guy Carpenter in 2002, Jeff was with PricewaterhouseCoopers where he worked as a management consultant in the Corporate Strategy Practice for the firm’s Insurance Sector. Jeff received his MBA in Finance from Carnegie Mellon's Tepper School of Business and BA in Speech Communications and Mathematics from the University of Maryland.

07 October

David Felsenthal

Partner
Clifford Chance
David Felsenthal is a partner in the Capital Markets Group of Clifford Chance in the New York office. David has a leading practice in derivatives, structured finance and fintech. He works on derivatives transactions and regulations across a range of asset classes and transaction types. He also advises extensively on trading transactions including repo, securities lending and secured financing. David has been a leader in developing and executing structured products, including securities linked to credit and equity, and is particularly known for his work on synthetic securities and risk-transfer transactions.
David's expertise has been recognized by numerous trade associations: he has represented ISDA in its advocacy for improved swap margin rules and other matters; he gives the industry-wide opinions for SIFMA for the standard documentation for repo, securities lending and forwards. He is a frequent speaker at conferences organized by PLI, ISDA, and others. David has been recognized as a leading practitioner by Chambers US and Chambers Global.

08 October

Jessica Littlewood

Partner
Clifford Chance
Jessica is a partner in the structured finance and derivatives practice of global law firm, Clifford Chance LLP. She is recognised as a market leader in synthetic securitisations, risk transfer transactions and other regulatory capital-driven structures, having acted for numerous banks and financial investors on such transactions over the past two decades. Jessica has also been working with AFME and PCS in connection with the current reforms to the EU securitisation regulations as they affect synthetic securitisation, and has participated in discussions with regulators and policymakers on these proposals. She currently works in the London office of Clifford Chance and previously worked in their New York office between 2000 to 2003.

07 October

Terry Lanson

Managing Director
Seer Capital
Terry Lanson is a Managing Director at Seer Capital Management. He is responsible for the management of Seer's investments in bank regulatory capital relief transactions, as well as other European investments. Seer has been an active investor in reg cap transactions across asset classes and jurisdictions since 2008. Mr Lanson joined Seer shortly after its inception in 2008 from Citigroup in London, where he spent two years. He spent the previous 9 years at Deutsche Bank in New York and London, where he was part of the team responsible for Deutsche's market-leading balance sheet securitization/reg cap program. He worked on transactions including Haus, Core, Cast, Craft, Gate, and London Wall for Deutsche, as well as the first Start deal for Standard Chartered. He also structured and executed some of the first securitizations in the European markets for auto loans, trade receivables, and Pan-European corporate bonds. Mr Lanson holds an undergraduate degree from Harvard College.

07 October

Som-lok Leung

Executive Director
IACPM
Som-lok Leung is the Executive Director of the International Association of Credit Portfolio Managers (IACPM). The IACPM is a non-profit industry association dedicated to advancing the practice of credit portfolio management through advocacy, research, education, communication and promotion of sound practice. Its membership now comprises over 100 financial institutions around the globe.
In his role, Som-lok oversees all aspects of the association, and reports to the IACPM Board of Directors. Previously, Som-lok was a Senior Director in the KMV (now Moody’s Analytics) Client Solutions group, working with a wide range of banks, insurance companies, and asset managers. Prior to joining KMV, Som-lok accumulated over a dozen years of risk management experience, both in staff positions and as a management consultant. Som-lok has been Director of Risk Policy at Nomura Securities, responsible for covering both market and credit risk on the New York trading floor, and also Director of Credit Risk Control at the Union Bank of Switzerland in NY, responsible for both counterparty credit risk and risk measurement and management for the corporate loan portfolio. This followed a career as a management consultant at Oliver, Wyman & Co. that focused primarily on risk management. Som-lok graduated summa cum laude from Harvard University.

08 October

Molly Whitehouse

Director & Portfolio Manager
Newmarket
Ms. Whitehouse serves as a Director and is a founding member of Newmarket. In addition, she serves as Portfolio Manager for IIFC III. Her primary responsibilities are related to the origination, structuring, and management of investments. Prior to founding Newmarket, Ms. Whitehouse served as a Director at Mariner Investment Group. She has led the origination and structuring for multiple IIFC investments and is a frequent speaker at various industry conferences. Prior to launching IIFC, Ms. Whitehouse served as an Analyst at Cohen & Company and completed the White House Internship Program. In 2019, Private Debt Investor named Ms. Whitehouse one if its “Rising Stars.” Ms. Whitehouse earned her BA in Political Science with Honors from Yale University in 2011 and her Masters of Liberal Arts with a focus in Sustainable Development from the University of Pennsylvania in 2018, where the topic of her master’s thesis explored capital management practices at multi-lateral development banks.

07 October

08 October

Julie Gillespie

Partner
Mayer Brown
Julie Gillespie, a partner in Mayer Brown’s Chicago Office, is co-head of the Structured Finance practice and a member of the firm’s Partnership Board. She has extensive experience representing commercial banks, ABCP conduits, originators, sponsors and investors in structuring, negotiating and documenting asset-backed and other structured finance transactions. Her experience has involved the securitization of credit card receivables, personal loans, auto loans and leases, fleet leases, FFELP and private student loans, and auto and equipment dealer floorplan receivables, as well as synthetic risk transfers. Julie’s areas of expertise include master trust and other revolving structures for the financing of both traditional revolving assets, including credit card and dealer floorplan accounts, as well non-revolving assets, such as fleet leases.
Julie is co-chair of SFIG’s Credit Card Committee and led the SFIG risk retention industry guide working group.

08 October

Edmund Parker

Partner
Mayer Brown
Edmund "Ed" Parker is Partner and Global Practice Head - Derivatives & Structured Products at Mayer Brown. Ed also serves on Mayer Brown's partnership board. Ed’s work covers all aspects of derivatives at the highest levels. He has been nominated as Global Derivatives Lawyer of the Year, such is the strength of his technical excellence in this field. He is a trusted thought leader for both clients and the profession, writing extensively on derivatives matters. Under his stewardship, the team was declared overall winner - Americas Law Firm of the Year at the 2018 GlobalCapital Derivatives Awards. The practice also won European Law Firm of the Year for three consecutive years; and US Law Firm of the Year for the second consecutive year in 2017.

Ed has been highly active on many of our most demanding, and innovative, mandates. He is the industry’s most widely-published lawyer on the subject and has written five books on derivatives. Edmund's written works consists, as sole author of both "Credit Derivatives: Documenting and Understanding Credit Derivative Products" and "Credit Derivatives: Understanding and Working with the 2014 ISDA Credit Derivative Definitions"; as sole editor "Equity Derivatives: Documenting and Understanding Equity Derivative Products", and as co-editor of "Commodity Derivatives: Documenting and Understanding Commodity Derivative Products" and "Practical Derivatives: A Transactional Approach".

07 October

08 October

Mark Fontanilla

Managing Director
Mark Fontanilla & Co.
Mark Fontanilla is the founder of Mark Fontanilla & Co., LLC, a strategic consulting firm that specializes in market strategies, advanced research and analysis, and index design and administration. With over 20 years of experience in the bond markets, mortgage finance, and fixed income research, Mark has achieved a uniquely thorough acumen in capital markets and investment analysis. Before founding MF&Co, he was a senior fixed income marketing strategist at Fannie Mae, including specific work with their primary credit risk transfer (CRT) program, Connecticut Avenue Securities™ (CAS). Prior to that, he had been a publishing research analyst in residential mortgage securities at Wells Fargo Securities, LLC, as well as an RMBS/ABS trader at Royal Bank of Canada, and the Director of Risk and Portfolio Management at Champion Mortgage. Mark has a B.S. and M.B.A in finance from Penn State University.

07 October

07 October

Jason Walker

Chief Investment Officer
CQS
Jason is Chief Investment Officer (CIO) of ABS and jointly manages CQS’ global asset-backed securities strategies across dedicated hedge funds, long-only funds and bespoke mandates. Jason is a member of the Firm’s Executive Committee, Long-Only Multi-Asset Credit Asset Advisory Committee, and together with his fellow Co-CIO, leads the twelve-strong team of dedicated ABS portfolio managers and analysts located in London and New York.

Prior to joining CQS in 2010, Jason held a number of ABS Portfolio Management positions. Before CQS he was with Henderson Global Investors where he was a member of the team managing the Henderson European ABS Opportunities Fund. Before this, he held ABS Portfolio Management roles at Bank of Scotland Treasury, TD Securities and Abbey National Treasury Services, where he began his career as a graduate trainee in 1995.

Jason holds an M.Sc. in Finance from the University of Strathclyde and a BA (Hons) Accountancy from Glasgow Caledonian University.

07 October

Jack Kahan

Senior Managing Director
KBRA
Jack Kahan is a Senior Director responsible for Residential MBS at Kroll Bond Rating Agency, Inc. He covers all RMBS asset types, including newly-originated prime jumbo loans, legacy performing and reperforming loans, newly-originated agency loans, and resecuritized legacy RMBS bonds.

Prior to joining Kroll, Jack spent seven years in various roles in the U.S. RMBS group at Standard & Poor’s, most recently as a Director and Analytical Manager responsible for newly issued ratings. In addition to leading a team of analysts in applying new issuance methodology and ratings, Jack lead and co-authored many of the firm’s RMBS-related criteria and research publications. His focus on the implementation of Ability-to-Repay rules lead to numerous publications and panel appearances on the subject, most notably the firm’s criteria for assessing the risk associated with originating and servicing loans subject to Ability-to-Repay rules.

He also co-authored the firm’s criteria for evaluating bonds backed by servicer advance receivables, commentary on emergence of new issuers in the prime RMBS market, and commentary on evaluating foreclosure timelines on legacy RMBS loans. Jack was also primarily responsible for maintaining and updating methodology related to the firm’s credit model, releasing periodic enhancements and updates in response to changes in the market.

In addition to his work in structured finance ratings, Jack spent two years as a risk management Senior Associate with Sterling Stamos Capital Management, LP. At Sterling Stamos, he was responsible for evaluating the fund’s hedge fund exposure across the firm’s absolute return and equity focused strategies. In this role, he performed diligence on prospective fund investments and helped to build a comprehensive risk tracking and reporting system which covered VaR metrics, stress testing, and liquidity analyses.

Jack has a BS in Quantitative Finance and a BS in Economics from James Madison University.

07 October

Doug Darman

Strategic Corporate Lending
Deutsche Bank
Doug Darman is a Director in Deutsche Bank’s Strategic Corporate Lending group, focusing on Securitizations and based in New York. He is responsible for the structuring and management of the DB’s capital relief trades and other risk mitigation tools, working with various corporate lending portfolios of the bank.

Doug graduated with an MBA in Accounting from Rutgers University Graduate School of Management in 1992, and a BA in Economics from Rutgers University in 1990.

08 October

Thomas Killian

Managing Director | Investment Banking Financial Services Group
Piper Sandler & Co.
Thomas W. Killian is a Managing Director in the Investment Banking Group of Piper Sandler & Co. His 41-year career in commercial and investment banking includes seven years of commercial banking experience with NationsBank, structuring and arranging leveraged finance transactions; two years with SalomonBrothers, transacting capital markets and advisory assignments for a variety of major corporations; five years with J.P. Morgan, managing financial advisory and capital raising activities for banks and thrifts in the Western region of the United States; and 27 years with Sandler O’Neill, advising banks, thrifts, and insurance companies on a variety of capital markets, strategic advisory and M&A assignments.
At Piper Sandler, Mr. Killian has managed the successful execution of numerous M&A and capital raising transactions. He co-managed the team responsible for successfully completing 17 pooled trust preferred transactions that raised over $7 billion for approximately 650 financial institutions. He functions as a primary resource in structuring and implementing complex capital markets transactions for financial institutions.Mr. Killian holds a Bachelor of Science from the University of North Carolina at Chapel Hill, where he was a John Motley Morehead Merit Scholar, and a Masters in Business Administration from Northwestern University's J.L. Kellogg Graduate School of Management.

08 October

Xavier Jordan

Chief Investment Officer & Head of Capital Markets
International Finance Corporation
Xavier Jordan is a Chief Investment Officer and Head of Capital Markets in IFC's Global Financial Markets Department. Prior to rejoining IFC in 1999, he was: Head of JP Morgan's Investment Banking business in Russia in the mid- to late 1990s; a Principal at the Barents Group in the mid-1990s; an Investment Officer in IFC’s Corporate Finance Advisory Department in the early 1990s; and an Associate in JP Morgan's Latin America Corporate Finance Department in the late 1980s. He has an MA in Economics from University of California at Berkeley, and a BA from the Woodrow Wilson School at Princeton.

08 October

Simon Boughey

US Editor
SCI

07 October

08 October

JW

John Owen Waller

Managing Director
SCI

07 October

Richard Robb

CEO
Christofferson, Robb & Company
Richard Robb is CEO of Christofferson, Robb & Company, an investment manager in NY and London founded in 2002, and professor at Columbia’s School of International & Public Affairs. His book, Willful: How We Choose What We Do was published last year by Yale University Press.

07 October

Mike Reynolds

Vice President
Freddie Mac
Mike Reynolds is the vice president of Freddie Mac’s Single-Family Credit Risk Transfer (CRT) program. CRT comprises capital markets, reinsurance, and mortgage insurance, including the Structured Agency Credit Risk (STACR®) and Agency Credit Insurance Structure (ACIS®) family of credit securities – multi-billion dollar programs that transfer mortgage credit risk to private investors.

Mr. Reynolds has over 20 years of GSE experience and joined Freddie Mac in 2012 to help launch the Single-Family CRT program. Prior to Freddie Mac, he was vice president of strategic initiatives at Fannie Mae. Earlier in his career, he worked on automated underwriting.

He holds a Bachelor of Science in business administration from Northeastern University and a Master of Science in finance from George Washington University.

Freddie Mac provides liquidity, stability and affordability to the nation’s residential mortgage markets. Freddie Mac supports communities by providing mortgage capital to lenders. Today, Freddie Mac is making home possible for one in four home borrowers and is one of the largest sources of financing for multifamily housing. For more information, please visit www.FreddieMac.com and follow us on Twitter @FreddieMac.

07 October

Jonathan Prejean

Managing Director
Deloitte
Jonathan is a Managing Director in Deloitte’s Risk and Financial Advisory practice focusing on providing advisory, accounting consultation and audit support services relating to our clients’ capital markets transacting activities and related accounting, risk management and process/control issues.Jonathan is a leader in Deloitte’s CECL practice assisting clients with implementation efforts related to the standard. Jonathan has 22years of experience serving a variety of client types, primarily those in the financial services industry. In addition to public accounting Jonathan participated in an accounting fellowship within the U.S. Treasury’s Office of Financial Stability, which oversaw the Trouble Asset Relief Program (TARP).

08 October

Jeroen Batema

CEO
OSIS
Jeroen Batema, Chief Executive Officer Open Source Investor Services (OSIS).
Jeroen is a co-founder of OSIS. He started his banking career in commercial lending at ING Bank, in 2000 he became head of Credit Portfolio Management at NIBC and in 2007 he continued as head of Securitization at Credit Portfolio Management at BNP Paribas Fortis. In the last role he was responsible for several post crisis and Basel 2 compliant securitization transactions. Further he is the founding chairman of Global Credit Data, a global association of banks with the largest loan loss database in the world. He holds a MS in law from the University of Utrecht, the Netherlands.

08 October

Clifford Chance

Mayer Brown

Arrowmark

Texel

Arch

Guy Carp

Mariner

CQS

Mark Fontanilla & Co.

KBRA

Welcome Note & Opening Remarks

08:50 AM 09:00 AM   

John Owen Waller - SCI (Managing Director)
Simon Boughey - SCI (US Editor)

Speakers

Market Overview - Wednesday 7 October

09:00 AM 09:45 AM   

This panel focuses on regulatory and structural developments in the US synthetic securitisation market. How has the Chase 2019-CL1 transaction impacted the risk transfer space? Is the distinction between credit risk transfer and capital relief trades becoming increasingly blurred? What impact has Covid-19 had on issuance and activity?

Panel includes:

Molly Whitehouse - Newmarket (Moderator)
Joost Hoogeveen - PGGM
Steven Gandy - Santander
Jessica Littlewood - Clifford Chance

Speakers

Break

09:45 AM 10:15 AM   

Mortgage Risk Transfer - Wednesday 7 October

10:15 AM 11:00 AM   

Panel kindly sponsored by  

This panel examines how the US Treasury’s push to reform the housing market is impacting GSE and private credit risk transfer transactions. It also covers the latest developments in the mortgage insurance-linked notes space.

Panel includes:

Jack Kahan - KBRA (Moderator)
James Bennison - Arch U.S. MI Services Inc.
Jeffrey.N. Krohn - Guy Carpenter
Mark Fontanilla - Mark Fontanilla & Co.
Mike Reynolds - Freddie Mac


Speakers

Keynote Fireside Chat - Wednesday 7 October

11:00 AM 11:30 AM   

Panel kindly sponsored by 
  

Timothy Cleary - Clifford Chance & Richard Robb - Christofferson Robb & Company


Speakers

Break

11:30 AM 12:30 PM   

Investor Perspective - Wednesday 7 October

12:30 PM 01:15 PM   

Panel kindly sponsored by  

This panel discusses how the investor base for CRTs is evolving, with the influx of insurers and other mezzanine players. It also highlights the potential for divergence in investor appetite and market liquidity for mortgage CRTs, given the homogeneity of the underlying, versus other asset classes.

Panel includes:
Edmund Parker - Mayer Brown (Moderator)
Kaelyn Abrell - ArrowMark Partners
Alan Ball - Texel
Terry Lanson - Seer Capital
Jason Walker - CQS

Speakers

Break

01:15 PM 01:45 PM   

US Mortgage CRT Market - Wednesday 7 October

01:45 PM 02:30 PM   

WORKSHOP

Fundamentals, Technicals, and Investor Returns

- Issuers, Structures, and Market Dynamics
- Mortgage Credit Risk and Deal Performance Before and During COVID-19
- Relative Value and Benchmarking vs. Other Fixed Income Sectors
- Using CRT Data and Analysis As An Alternative Valuation Approach For Mortgage Insurer, Originator/Servicer, and REIT Equities

Workshop Host: Mark Fontanilla - Mark Fontanilla & Co.


Speakers

ESMA Reporting Workshop

08:15 AM 09:00 AM   

“New European reporting rules impacting private SRT deals where European investors are involved”

In this workshop Jeroen Batema will outline the new EMSA rules as they apply to CRT deals and showcase an XML data transformation tool that will save issuers time and money in complying
  • New ESMA reporting rules came into effect on 23 September 2020: CRT Issuers must comply with the new standards.
  • The rules effect all types of securitization transactions: both non ABCP and ABCP, both public and private and both asset based and synthetic transactions
  • Reporting requirements are on the transaction level and loan- and collateral level
  • Different templates apply to different transaction types and different asset classes
  • Data quality checks through an XML reporting file

Workshop Host: Jeroen Batema - OSIS

Speakers

The US Perspective - Thursday 8 October

09:00 AM 09:45 AM   

Panel kindly sponsored by
This panel explores the factors that may facilitate greater US CRT issuance, including CECL mitigation, as well as the lessons that can be learnt from the European experience. What are the prospects for consumer CRTs and community/regional bank issuance? Are there any structuring solutions that could cross over from the broader banking industry?

Panel includes:
Julie Gillespie - Mayer Brown (Moderator)
Mark Kruzel - Citi
David Felsenthal - Clifford Chance
Thomas Killian - Piper Sandler & Co
Jonathan Prejean - Deloitte

Speakers

Break

09:45 AM 10:15 AM   

Issuer Perspective - Thursday 8 October

10:15 AM 11:00 AM   

This panel explores how issuers continue to innovate, broaden investor participation in and enhance the liquidity of their programmes. It also looks at their motivations: often combining regulatory capital relief with improved profitability, greater capacity and managing internal concentration limits.

Panel includes:
Som-lok Leung - IACPM (Moderator)
Steven Gandy - Santander
Jason Marlow - Barclays
Doug Darman - Deutsche Bank
Edmund Parker - Mayer Brown

Speakers

Break

11:00 AM 11:30 AM   

Emerging Trends - Thursday 8 October

11:30 AM 12:15 PM   

This panel tracks the emergence of new asset classes and jurisdictions onto the capital relief trades scene. What role are ESG considerations playing in the growth of the market?

Panel includes:
Simon Boughey - SCI US Editor (Moderator)
Kaikobad Kakalia - Chorus Capital
Timothy Cleary - Clifford Chance
Molly Whitehouse - Newmarket
Xavier Jordan - International Finance Corporation

Speakers