3-Day Seminar on
Asset-Backed Securities
New Techniques, New Opportunities
Prof. Ian Giddy
New York University

Asset Securitization

Asset-backed securities constitute a growing segment of the US and global capital markets. The asset securitization technique, while complex, has won a secure place in corporate financing and investment portfolios because it can, paradoxically, offer originators a cheaper source of funding and investors a superior return. Not only does securitization transform illiquid assets into tradable securities, but it also manages to transform risk by means of the separation of good financial assets from a company or financial institution with little loss of revenue. The assets, once separated from the originator, are employed as backing for high-quality securities designed to appeal to investors.

For more details see the instructor's website,


Ian Giddy has taught finance at NYU, Columbia, Wharton, Chicago and in 30+ countries abroad for the past two decades. He was Director of International Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989. The author of more than fifty articles on international finance, he has served at the International Monetary Fund and the U.S. Treasury and has been a consultant with numerous corporations and financial institutions in the U.S. and abroad. He is the author or co-author of The International Money Market , The Handbook of International Finance, Cases in International Finance , Global Financial Markets, Asset Securitization in Asia and The Hudson River Watertrail Guide.

Prof Ian Giddy
Stern School of Business
New York University
44 West 4th Street
New York, NY 10024

+1 212 998 0426

  The Workshop

This three-day workshop provides ABN-AMRO clients with an opportunity to gain a good understanding of the evolving asset-backed securities market, with an focus on how to make better use of their balance sheets. The emphasis is on understanding the benefits to issuers, in terms of costs and funding opportunities, of the asset-backed securities technique. We will also look at how the rating agencies assess ABS risks and determine credit enhancement. Special attention is given to the European ABS market, although the seminar looks at a number of different asset classes and structures that ABN-AMRO is involved in, in the United States andAsia as well as Europe. 

The workshop will include case studies of actual deals, as well as hands-on exercises, and will give participants the opportunity to demonstrate their understanding of deals through group meetings and general discussions.

One goal for participants is to develop a check list or rapid overview of the key criteria in an ABS deal, to consider when analysing an ABS structure, so as to grasp the main strengths and risks of each deal after an initial company-centered analysis.

Some of the issues to be discussed include:

  • What are the key legal issues, how are typical deals structured, and what are the gray areas?
  • What are issuers' concerns, and what are the strengtrhs and weaknesses of ABS relative to alternative funding sources?
  • What drives ratings? Are rating agencies influenced by non-credit factors? 
  • Servicing contracts -- how do they work? What are the rewards and risks?
  • What is the process for securitizing a commercial or mortgage loan portfolio?
  • How can one evaluate different collateralized debt obligations (CDOs)?
  • Synthetic ABS: How do they really work, and what are their strengths and shortcomings?
  • How can one perform a cost-benefit analysis for a regulated financial institution?

Outline of Workshop Modules

Day 1

  • Module 1. Introduction.
    • The technique - where the market is going - size and character of the US and European markets - asset classes - pricing and credit trends.  
  • Module 2. Legal, Tax, Regulatory and Disclosure Aspects
    • True sale and bankruptcy-remote requirements 
    • Legal structures for asset securitization
    • Illustration: Ford Credit Auto Owner Trust
    • Accounting, tax and regulatory aspects
    • Comparison of major structures of consumer finance ABS 
    • Soft bullet and waterfall-pay structures
    • Case study: Belenus Securities (note: follow links for complete case study)
  • Module 3. The Rating Process and Collateralized Debt Obligations 
    • The rating agencies, rating levels and what they mean 
    • Pool analysis; Seller/originator risk; Servicer performance risk; Swap counterparty risk; Legal risks; Sovereign risk 
    • Focus on CLOs and CBOs
    • Cash flow vs market value structures
    • Participation vs assignment of assets
    • Arbitrage vs capital-saving structures
    • Synthetic CDOs
    • Case study
  • Discussion with ABN-AMRO Professionals
Day 2
  • Module 4. Synthetic CDOs
    • How synthetics work
    • Regulatory capital treatment of synthetics and Basel II
    • Alternative forms of credit default swaps
    • Unfunded and super-senior structures
    • Case study: Global High Yield Bond Trust 
  • Module 5. Mortgage and Commercial Real Estate Securitization
    • Residential pools
    • Commercial pools
    • Single-property securitization
    • Case study
  • Module 6. Commercial Credit Securitization
    • Originator, servicer, counterparty and manager analysis
    • Legal structure analysis 
    • Deal analysis and negotiating credit enhancement
    • Case study: Atherton Franchise Loan ABS
    • Comparison of risks and returns on security classes within particular ABS deals 
    • Deal analysis: AICCO and CNH
    • Problem deals: to HEL and back
    • Illustration: Securitization of Nonperforming Loans
  • Discussion with ABN-AMRO Professionals  
Day 3
  • Module 7. The Issuer's Viewpoint: Cost-Benefit Analysis  
    • Securitization in the context of corporate financing choices 
    • The economics of off-balance-sheet financing: how does ABS free up the balance sheet? 
    • Performing a financial cost-benefit analysis for an originator: how does ABS reduce financing costs and increase the availability of credit? 
    • Analysis: Ford Credit Auto Owner Trust
    • Cost-benefit analysis for a financial institution
    • Calculating the before-and-after cost of regulatory capital
    • Analysis: Simplified loan securitization computations
  • Module 8. Understanding the investor's viewpoint
    • Risks and Pricing
  • Module 9. Multiseller Asset-Backed Commercial Paper  
    • The conduit structure 
    • Role of rating agencies and conduit manager
    • Issuer cost and hassle analysis
    • Illustration: Diners Club
  • Module 10.  Hands-on Exercises: Evaluating Asset-Backed Securities 
    • Depending on time available
    • Each group will be given a different deal to work on
    • Their mandate is to present a convincing case to their colleagues.
  • Discussion with ABN-AMRO Professionals  on securitization opportunities

Participants will be provided with a package of materials useful to the structuring and analysis of asset-backed deals, including pertinent articles, rating agency reports and sample documentation from actual deals done in the US, Europe and elsewhere.  

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