Synthetic Securitisation

Event Details

Free


Date and Time

Wed, 9 April 2025

13:00 - 14:00


Location

Your event Zoom link is available via IOB Learn, but will also be emailed to you before 11am on the morning of your event.

Event Details

Free


Date and Time

Wed, 9 April 2025

13:00 - 14:00


Location

Your event Zoom link is available via IOB Learn, but will also be emailed to you before 11am on the morning of your event.

Event details
+

Synthetic securitisation has the potential to decrease systematic risk in the banking sector, release regulatory capital which can be used to support new lending, reduce the credit risk exposure of banks, lower the leverage of banks and thereby improve their financial position. Synthetic securitisation not only helps reduce systemic risk and improve banks' financial positions but also offers the potential to actively manage credit risk, free up regulatory capital to support new lending, and enhance return on capital.

Synthetic securitisation also has the economic advantage of weakening the link between banks deleveraging needs and credit tightening. Access to securitisation can therefore have an impact on the availability and cost of credit for a wide range of economic actors including large corporates and small and medium sized enterprises.

In the presentation Aisling and John will cover the following aspects of synthetic securitisation:

Introduction Traditional Securitisation Versus Synthetic - The Key Differences Mechanics of Synthetic Securitisation Instruments: • Credit Default Swaps (CDS)

• Credit-Linked Notes (CLN) Structure:

• Tranches: Senior, mezzanine, and equity tranches (risk/return profiles).

• Amortisation profiles: Pro-Rata and Sequential

• Special Purpose Vehicles (SPVs).

• Collateral: Types (e.g., government bonds) and their purpose. Perspectives and Motivations of the Key Parties Involved Originators: Banks transferring risk. Investors: Hedge funds, institutional investors taking on tranched risk. SPVs: Legal and operational structure.

Regulatory and Accounting Considerations Capital Requirements:

• Basel III/IV: Impact of STS (Simple, Transparent, Standardised) criteria for favorable capital treatment.

• CRR (EU Capital Requirements Regulation): Rules for significant risk transfer (SRT). Accounting Standards:

• IFRS 9 vs. US GAAP treatment of derivatives and derecognition. •Risks and Challenges

•Case Studies

•Recent Trends and Innovations

There is 1 CPD hour available for the following designtions:

  • LCI

  • FCI Compliance

  • Chartered Banker

  • Professional Banker

  • Certified Bank Director

  • Certified Fintech Risk & Compliance Professional (CFRCP)

  • Regulatory Reporting Professional (RRP)

John Caslin

Director of Investment Management and Innovation at the Carne Group

John Caslin is Director Investment Management and Innovation at the Carne Group. He is a member of the investment committee of the boards of Carne Global Fund Managers (Ireland) Limited and Carne Global Fund Managers (Luxembourg) S.A. which review and, if thought fit, approve investments in synthetic securitisations, private debt, real estate, and private equity. John is the chairperson of the Banking & Aviation Finance Committee of the Society of Actuaries in Ireland

John Caslin

Aisling Boland, CIFD, CFA

Non-Executive Director on a number of fund boards and a Management Company

Aisling Boland, CIFD, CFA: Aisling is an independent Non-Executive Director on a number of fund boards and a Management Company. Prior to this, Aisling moved back to Dublin and consulted for AIB’s Sustainability Team to identify firmwide ESG risks for CSRD.

Aisling spent 20+ years working in London, including as Global Director of Investment Risk at Aviva Investors and at Gartmore Investment Management through the Eurozone and Global Financial crises respectively. Aisling started her career on the trading floor as an Equity Derivative Salesperson & Equity Finance Analyst with Goldman Sachs International.

Aisling Boland, CIFD, CFA

Isabel Ghose, ACA

Bank Capital Regulation Expert

Isabel worked for 8 years at Goldman Sachs as a Vice President in the Regulatory Policy team in New York and London, providing advice regarding regulatory developments to a range of businesses across the firm. Isabel is a qualified Chartered Accountant (Institute of Chartered Accountants in England and Wales).