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 workshop provides investors with 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.
The workshop will include case studies of actual deals. Group meetings
and general discussions will give participants the opportunity to share
and clarify their understanding of deals.
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
Some of the issues to be discussed include:
What are the key legal issues, and why are they sometimes circumvented?
What are bank regulators' concerns, and what are the flaws in the new Basel
What drives ratings? Are rating agencies fooled by brand names and issuer's
persuasion? How can this lead to weaknesses in the legal structure?
Why do rating agencies sometimes "miss the boat?"
Servicers - the weak link or hidden strength?
How do waterfall structures allow ABS quality to improve to levels better
than the ratings?
Why is pricing, not credit, the key issue?
Synthetics: no problems so far -- but what is the investor really getting?
When is a so-called ABS really a corporate bond -- where the investor is
simply taking business risk?
Outline of Workshop
|Thursday 17 May
||Coffee and Registration
||Session 1. Can structurers hoodwink the rating agencies?
Situations where, by using the rating agency's methods or formulas,
structurers have steered the agency's and investors' attention away from
the core risks or issues. Focus: Pool analysis. Examples: franchise loan
securitisation, balance sheet and arbitrage CDOs.
||Session 2. Are rating agencies fooled by brand names and issuer's
Situations where the rating agency's focus, issuer's hype or the cachet
of a name-brand institution covers up weaknesses in the legal structure.
Focus: Legal analysis. Example: Haus, Trains.
||Session 3. Synthetics: what is the investor really getting?
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. Examples:
||Session 4. ABS or corporate bond?
Deals that have the ABS legal structure but where the investor may
be simply taking business risk of the seller. Examples: Formula 1 revenues,
Films, Tobacco settlements, 6 Battery Road.
||Drinks and dinner
|Friday 18 May
||Session 5. Servicers: hidden strength or weak link?
Structures and countries where diligent, knowledgable servicing and
collection can improve assets' value -- or where a dearth of back-up servicers
is a weak link. Examples: Island Finance, FIAT, CIC Conso, Haus.
||Session 6. Appreciating waterfalls.
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. Examples: Belenus, Ford Motor Credit,
||Session 7: Future-flow ABS and intangibles: financing thin air?
Can future-flow securitizations mitigate sovereign risks? If so, who
bears the risks? Does sovereign volatility produce ratings volatility?
What ownership rights do intangible securitizations convey? Examples: Ras
Laffan, trade payment rights, Bowie Bonds.
Case Studies and Deals