Agenda
Registration & Coffee
Panel: Synthetic structured credit – CSOs & index tranches
The CLO market may be on fire, but it isn’t the only way to get tranched exposure to the global credit markets. Our panel of market veterans will explore the synthetic alternatives available to structured credit investors, including both index and bespoke tranches. How active is the synthetic market, and what are the prospects for the rest of 2022? What are the key differences between cash and synthetic structured credit, and where does relative value lie at the moment? And what resources are available for new investors trying to come to terms with pricing and valuation for these complex products?
Fireside chat: How we made the first ESG bespoke work
As the synthetic credit market begins to look seriously at ESG criteria we bring together the key players on the Glasgow climate-change CSO to discuss this breakthrough transaction. BNP Paribas' Guillaume Mear and Andreas Ross from equity-investor Zais talk with our deputy editor Dan Alderson about their six-month journey to make Glasgow happen, the challenges they overcame, and how the bespoke tranches market can include ESG in future deals.
Coffee
Fireside chat: Reg Cap reaches the US
A long-time staple of the European banking sector, regulatory capital relief trades have moved over to the US market as well. This masterclass explains how reg-cap trades work, the benefits for investors and how these trades compare with other structured credit products.
Panel: Trading strategies for synthetic investors
From CDS through index tranches to credit options there are a wealth of instruments available to get exposure to the credit markets. But what’s the best way to use them? Our panel of veteran credit traders discuss the latest strategies, from classic approaches like bond/CDS basis trades to the use of new products like credit ETFs and ETF options.
Networking reception
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John Burkert is currently the Head of Direct Credit at DUMAC (Duke University Management Company) and joined in 2012 to initiate the Direct Credit program. In this role he manages internal credit portfolios across global credit, rates and inflation products. Prior to joining DUMAC, he was a founding partner of two hedge funds: Tiden Capital (2007 – 2010) and Silverback Asset Management (2001 – 2007) where he was responsible for portfolio and risk management of credit relative value strategies. Prior to his buy-side experience he worked at J.P. Morgan structuring and trading corporate and municipal transactions. He received an MBA from Duke University and a BA from Northwestern University.
CJ is an Executive Director at JPMorgan Securities LLC (JPM). In leading the Global Credit & Capital solutions business, CJ, his co-head Francois Belot and their team are responsible for identifying opportunities in the structured credit, bank capital, insurance, and alternative financing markets. He works with clients and across JPM’s portfolio owners to design scalable structures to optimize and transfer risk under the theory of “Owner Alpha”. He previously focused on tactical market view solutions for clients, particularly in multi-asset derivatives and hedging solutions. CJ has a degree in Economics from the University of Chicago, and a Masters in Business Administration from Columbia University.
Kelley Baum, CFA is Head of Liquid Credit at III Capital Management and manages the credit index, option, and tranche books. She has also been involved in the firm’s CLO trading. She joined the firm in September 2014. Previously, Ms. Baum was an Associate in Interest Rate Sales and Agency Mortgage Trading with Citigroup Global Markets. She earned an AB in economics from Princeton University. Ms. Baum is a CFA Charterholder and a General Securities Representative registered with FINRA.
Eric is the Head of Structured Credit and Portfolio Manager of the Market Neutral Credit Relative Value strategy. Based in London, he is a member of the Investment committee. Eric joined the firm in 2021 to lead the development of alternative credit strategies. Eric was most recently a Senior Portfolio Manager at Chenavari Investment Managers, responsible for cross-asset trading, credit relative value and structured credit investing. Previously, he was a Portfolio Manager for JPMorgan CIO Office, responsible for macro credit trading, relative value, index tranches and options. He also held a similar role at Deutsche Bank. Earlier in his career, Eric was Chief Investment Officer at Avendis Capital, where he was amongst the forerunners in developing credit derivative absolute return strategies utilising index and bespoke tranches. Eric graduated from Ecole Nationale Superieure des Mines de Nancy with degrees in Civil & Industrial Engineering.