Moderator

ian.giddy@nyu.edu

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.

• The Hidden Risks of Synthetic CLOs  from Euromoney
• Fear and Loathing in Hollywood 

• Global High Yield Bond Trust 
• Belenus Securities (note: follow links for complete case study)
• FILMS
• Hong Kong Card 

• Hidden Risks 

• Absnet Many free resources plus a fee-based deal monitoring service 
• First Union, Banc One and other sources Current spreads in the US ABS market. No non-US source yet. 
• Deal-Watch Reporting on ABS and other bond deals in Europe.
• ABSreports Tracking data for European securitization
• Fitch Materials on their rating methods as well as reports on deals 
• Standard and Poors Extensive materials on their rating methods and deals 
• Moodys Mostly deal reports 
• Securitization.net A law firm's ABS website -- good "knowledge base" 
• European Securitisation Forum has some booklets explaining ABS and MBS to investors 
• globalsecuritization.com ABS seminars and resources compiled by Ian Giddy