- resources in finance

Habib American Bank

Securitization & Credit Risk Transfer: New Developments
Prof Ian Giddy
Stern School of Business, New York University

What the Lecture is About

Asset-backed securities constitute a growing and complex segment of the global capital markets and have become widely employed in developing as well as developed countries.

This lecture provides an in-depth insight into the state of the art in securitization and structured credit risk transfer. In addition to covering new developments in asset-backed securities and collateralized debt obligations, the lecture explains risk transfer using synthetic asset securitization, a versatile and fast-growing technique in the ABS market. It opens new possibilities for the transfer, pricing and management of credit risk.

Issues to be Discussed

  • Where is the global asset-backed securities market headed?
  • What are the key legal and regulatory issues in the asset-backed market today, and how are they addressed in different forms of ABS?
  • What is "future flow securitization"?
  • What is the connection between synthetic asset-backed securities and the markets for credit derivatives?
  • What risk transfer choices do emerging market banks have?

Asset-Backed Securities Today
  • The state of the market
  • Getting an ABS deal to market
  • Credit enhancement
  • Tiering the funding structure
  • Cash flow analysis and pricing
  • Example: Finance Company Bhd. We review the process, structure and cash flows of this Malaysian deal
  • Key legal prerequisites of ABS today
  • Future-flow securitization
  • Example: Pakistan Telecommunications: Securetel SPV. Securitization as a local-currency asset-liability management tool.

Risk Transfer: From ABS to CDOs
  • The growing importance of collateralized debt obligations (CDOs) and collateralized loan obligations (CLOs)
  • CDO credit enhancement and ratings
  • Risk transfer though credit default swaps
  • Alternative risk transfer methods via synthetic ABS
  • Example: Fresco. A South African synthetic CLO securitization.
  • Conclusion: risk transfer choices for banks in emerging markets

Case studies
Finance Co. Bhd

About the Instructor
Ian Giddy is on the faculty of finance at New York University, USA. He has taught finance at NYU, Columbia, Wharton, Chicago and abroad for the past thirty years. 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, Dr Giddy has served at the International Monetary Fund and the U.S. Treasury and has been a consultant with numerous financial institutions and corporations in Europe, North America, the Middle East and Asia. He has lectured in more than forty countries, and has been involved in the asset-backed securities market for over 15 years. 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. He and his wife are the founders of Cloudbridge, a nature reserve in Costa Rica. | | | | contact
Copyright ©2006 Ian Giddy. All rights reserved.