Friday the Thirteenth Discussion at Ambac on

ABS: The Hidden Risks

Prof. Ian Giddy
New York University


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


This meeting offers a forum for exploration of hidden risks and value in the asset-backed securities market. The focus is a re-interpretation of the legal and credit risks of some of the newer techniques, the goal being to identify structures that are weaker than, or stronger than, their ratings. Special attention is given to collateralized debt obligations, although the workshop looks at a number of different asset classes and structures, in Europe, the USA and Asia. 

Some of the issues to be discussed include:

  • Topic 1. CDOs and synthetics: why are structures weaker than the pools, and why do the risks exceed the experience? Structures which deserve their ratings when the participant institutions remain solid. Signs of sponsor or servicer weakness may produce severe tiering. Focus: transferability of assets, default swap events. Example: GHYBT
  • Topic 2. How do waterfall structures allow ABS quality to improve to levels better than the ratings? The pay-down structure can break or make a deal -- indeed, can make it far stronger than its rating. Focus: relative changes in collateral ratio, information and pool quality. Example: Belenus
  • Topic 3. When is a so-called ABS really a corporate bond -- where the investor is simply taking business risk? Deals that have the ABS legal structure but where the investor may be simply taking business risk of the seller. Examples: Music royalties, Films
  • Topic 4. (If time allows) When is sovereign risk not sovereign risk? Example: Hong Kong Card Master Trust.
Background Articles Case Studies and Deals Handouts Useful Websites

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Last updated Dec 9 2005 jog