Introduction:
We are thrilled to announce the 4th edition of SCI’s CRT Training for New Market Entrants, following the successful sell-out editions in both 2023 & 2022. This time, we have revamped the agenda to align with the latest market trends. By securing your spot on this course, you are taking a step towards enhancing your knowledge of Capital Relief Trades that will undoubtedly propel your career forward. Don’t miss this opportunity to upgrade your skills and stay ahead of the competition.
The CRT, or Risk Sharing sector, represents a valuable opportunity to many, but the barriers to successfully launching a deal or becoming a trusted investor are both significant and numerous.
For a would-be issuer there are dozens of challenging learning points and obstacles to overcome, from convincing Board members that issuing a CRT deal is the right thing to do, forming a risk committee and understanding regulations in different jurisdictions, through to partnering with a suitable investor, structuring the deal, and getting regulatory approval.
After attending this course, we guarantee your knowledge of CRTs will have been fundamentally improved. The hands-on expertise of our trainers, all current CRT market practitioners, is such that your learning will be super-charged and you will be more confident and knowledgeable about all aspects of this asset class, putting you in a position of authority and confidence with your stakeholders and customers.
And immediately after the training concludes you have the opportunity to put your new-found learning to work at SCI’s 10th Annual CRT Seminar in London. Network with the best minds in the business and immediately apply your new knowledge in practice!
Rate for two day training – £2,250 +VAT
Agenda
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Day 1 – 14th October
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10:30 - 12:00STARTING OFFNew issuers, especially smaller banks, typically face two sets of challenges when exploring whether to execute a capital relief trade. The first challenge is achieving senior management buy-in regarding the benefits of synthetic securitisations and marshalling the necessary resources to support such an issuance. The second challenge is providing sufficient visibility on a portfolio for an investor to re-underwrite it, including preparing a substantial amount of historic default and loss data. This module outlines all of the factors a prospective CRT issuer will need to consider when putting together a feasibility study and business case proposal for their board. -
12:00 - 1:15BALANCE SHEET OPTIMISATIONThe Basel 3.1 (also known as Basel 3 Endgame and Basel 4) reforms are set to fundamentally reshape the banking landscape. Arguably the most significant impact on capital requirements will arise from the implementation of the output floor, which will cap the benefit that can be obtained from internal models and drive inflation in RWAs. As such, the output floor could radically change the way banks manage capital, including by managing it at an overall portfolio level. This module highlights the operational and cultural changes being driven by Basel 3.1, in terms of the processes for calculating capital requirements and how capital is perceived and understood within a business -
2:00 - 3:15STRUCTURINGCapital relief trades are structured in several formats, employing different structural features to achieve a variety of outcomes. This session will introduce the CRT structures most commonly used by practitioners and discuss how structuring choices drive risks for originators and investors in each case. We will then explore certain core transaction features, including amortisation profiles, termination events, synthetic excess spread and homogeneity criteria. -
3:30 - 4:45REGULATIONS AS THEY APPLY TO STRUCTURINGThe regulatory framework for CRTs in Europe has evolved since the implementation of the EU Securitisation Regulation in January 2019, culminating in the inclusion of SRT transactions in the STS regime. The EBA’s 2020 SRT report also brought much-needed clarity around how to achieve risk transfer and gain regulatory approval for a trade. This module will explore a selection of key regulatory requirements as they relate to structuring and documenting an SRT deal, as well as how they impact investor and regulatory engagement. -
4:45 - 6:00CREDIT EVENTS AND LOSS SETTLEMENTFailure to pay and bankruptcy are the two standard credit events for CRTs, although restructuring has also appeared to a limited extent following the Covid-19 crisis. This module addresses the scope of credit events definitions and loss settlement mechanisms, including quantifying the availability of protection, the timing of protection payments and verification methods.
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day-2-15th-october
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08:30 - 9:30MODELLING CRTsThe structural complexity and statistical nature of CRTs lend the asset class to quantitative modelling, especially in light of the uncertainties represented by amortisation, replenishment and call mechanisms. This module seeks to assess the extent to which these elements affect performance and drive risks, explain certain risk parameters and show how downside risk can be estimated. -
9:30 - 10:45ISSUER PERSPECTIVEThis session will explore the issuer considerations and negotiating processes that drive portfolio selection, structuring choices and transaction pricing. We investigate why a bank may decide to execute a syndicated versus bilateral, funded versus unfunded and synthetic versus true sale transaction depending on the reference portfolio. -
11:00 - 12:00UNFUNDED PROTECTIONThe utilisation of unfunded protection in CRTs continues to rise, both as a complement to funded synthetic tranches and in terms of fully unfunded transactions. From a (re)insurer perspective, the SRT product can be appealing for a variety of reasons, while banks are increasingly seeking to broaden and diversify their SRT distribution channels. This session will explore the motivations behind executing unfunded deals, the efficiencies of employing various SRT distribution options and other regulatory, accounting and tax aspects to consider when planning a transaction. -
1:00 - 2:30INVESTOR VIEWGain insight into how PGGM, active in this field since 2006, approaches investing in Credit Risk Sharing transactions, laying out the foundations on which its investment approach has been built and sharing the knowledge built over time. During this module, PGGM’s approach to due diligence, structuring, pricing and monitoring will be discussed, flagging where investors should pay specific attention and highlighting the ‘things to consider’ in relation to transaction terms. The objective is to contribute to transparency on relevant risk and return drivers and how they can be analysed and assessed under the motto: ‘it’s fine to take risks, as long as you know which ones you take’. -
2:30 - 4:00Reporting Templates & Performance MeasurementUnder ESMA’s securitisation disclosure requirements, CRT issuers must disclose loan-by-loan data on the underlying reference portfolios. Given the private nature of the market, this raises confidentiality issues for banks, but the templates are also widely considered to be onerous and irrelevant for investors. How issuers and investors can address these challenges will be the subject of this module. CRT transactions are expensive, have many different drivers and need to cope with a number of dynamics during their lifetime that may impact their efficiency. This session outlines approaches to determine whether a deal continues to add value and/or remains economical for the issuer. -
4:00 - 5:00THE NORTH AMERICAN OPPORTUNITYWhile Europe has long been the pioneer of CRT transactions in terms of both issuing banks and investors, the North American market is beginning to catch up. Canadian banks rushed to issue after the OFSI brought forward to 1 January 2023 the implementation of Basel 4 and the output floor in the jurisdiction. Meanwhile, the US Federal Reserve served to green-light risk transfer with its clarification of the definition of CLNs in September 2023. This module outlines the opportunity set that is emerging across the region and the factors that differentiate it from the European experience.
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