The Workshop
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 course provides an in-depth insight into the state of the art in
securitisation and structured credit risk transfer. In addition to
covering new developments in asset-backed
commercial paper
conduits and collateralized debt obligations, the
course explains whole business securitisation and related topics, and
the growing market for commercial as well as residential
mortgage-backed securities. It explains risk transfer using synthetic
asset securitisation, a versatile and
fast-growing technique in the ABS market. It opens new possibilities
for the transfer,
pricing and management of credit risk. Consumer finance ABS, a growing
sector, offer participants the
opportunity to explore a variety of legal and cashflow structures, and
of credit enhancement.
Method and Materials
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 interaction and workshop
discussions.
Participants
will be
provided with a package of materials useful to the structuring and
analysis of synthetic asset-backed deals, including pertinent articles,
rating agency reports and sample documentation from actual
deals done in the US, Europe and elsewhere.
Issues
to be Discussed
- After
the credit crunch: 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?
- How
does asset-backed commercial paper work?
- What
drives credit ratings on ABS, and how is credit enhancement achieved?
- What
are the key characteristics of consumer finance ABS?
- How
can one calculate the required credit enhancement for different
tranches backed by a pool of assets?
- How
can one evaluate different collateralized debt obligations
(CDOs)? How are they structured?
- What is
the connection between synthetic asset-backed securities and the
markets for
credit derivatives?
- What
methods are used in residential and commercial mortgage-backed
securities?
Background
Reading
Securitisation
Workshop: Agenda
Date
|
Topics
|
Resources
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| Day 1 |
Asset-Backed
Securities
- The state of the
market
- Getting an ABS deal
to market
- Case
study: Finance Company Bhd. We review the
process, structure and cash flows of this deal
- Credit enhancement
- Tiering the funding
structure
- Cash flow analysis
and pricing
- Key legal
prerequisites of ABS today
- Case study: Ford Motor Credit. What
is
the legal status of this securitisation? Is it a true sale? Is the SPV
independent?
- Pool analysis,
structure analysis, and determinants of credit risk
- The technique of
credit enhancement
- Getting a rating:
sequence and requirements
Asset-Backed Commercial Paper
- Single-name versus
multi-name ABCP
- ABCP conduits
- Applications of the
flexible conduit structure
- Case study: Blue Titanium. How is
credit enhancement achieved in a conduit like this one?
- RMBS
in commercial paper conduits
- Case
study: Thekwini Financing. How is the funding mismatch handled?
Credit Enhancement: Consumer
Finance
- The consumer finance
securitisation market: range of assets
- Credit enhancement
for consumer finance: excess spread considerations
- Consumer credit
scoring and default frequency analysis
- Revolving pools: cash
flow analysis
and pricing
- Structuring a credit
card deal
- Case
study: Chase Credit Card ABS. We review the
process, structure and cash flows of this deal
- Key rating agency
prerequisites for consumer credit ABS
- Servicer and master
servicer
- ABS of charged-off
loans: role of special servicer
- Consumer finance
securitisation
- Case study: Red and Black. How do
these work? What
is
the credit exposure? What
happens when credit deteriorates?
- Microfinance ABS
|
Presentations
abs-intro.pdf
abcp.pdf
consumerfinanceabs.pdf
Case studies
Finance
Co. Bhd
Ford
Motor Credit
2006
FirstRand
Nitro
Blue
Titanium
Thekwini
ABCP
Chase
Credit Card ABS
Red
& Black
Articles
How
to Get an ABS Rating
Rating
Consumer Credit ABS
|
Day 2
|
From
ABS to CDOs and Synthetics
- Classic
ABS vs Collateralized
Debt Obligations
- Cash flow versus market value CDOs
- CDO credit enhancement and ratings
- Tiering the
liabilities of a CDO
- CDO pricing and cash flow
analysis
- Case
study: Atrium. What are the
assets in this CDO deal, and how are they funded?
- Rating CDOs: factors considered by
the rating agencies
- Using ratings loss tables to
structure credit enhancement in ABS
- Application:
LevLoan CDO. An example illustrates the credit enhancement and
waterfall paydown of a leveraged loan CDO.
- Synthetic RMBS
- Links
between synthetic ABS and the market for credit derivatives
- How
credit
derivatives work -- and how they are priced
- Alternative
forms of CDS and credit options
- Credit-linked
notes
- Case study: Chase
Secured Loan Trust. Participants discuss how banks use
credit-linked notes to transfer credit risk
- The
credit
default swap in consumer finance ABS
- Case study: Magnolia Finance. Analysis of the
structure, settlement terms and risks of a synthetic RMBS CDO
- Credit
and
regulatory issues relating to synthetics
- Settlement
and counterparty issues
- Team exercise: Allied Irish Bank.
Transferring bank credit risk: using the CDS market versus structuring
a synthetic CLO.
Home and Commercial Mortgage
Securitisation
- Residential
MBS
- Example: Ikhaya RMBS
- Application:
Pool paydown analysis
- Prepayment
risk in residential MBS
- Managing
mortgage prepayment risk through multi-tranche RMBS
- Team exercise: Investec RMBS.
How to structure the MBS funding for a pool of residential
mortgage loans
- Revolving
pool ABS and the soft bullet repayment structure
- True
sale versus synthetic residential MBS
- Case
study: Memphis Synthetic RMBS. This Dutch mortgage
securitisation offers delegates an opportunity to
discover some of the key advantages and weaknesses of synthetic MBS
- Commercial
mortgage-backed securities in SA
- Example: Growthpoint CMBS
- Credit analysis of
commercial property securitisation
- Case study: Bear Stearns CMBS
New Opportunities
- Trading of ABS risk
and pool credit risk
- New
opportunities, new risks in securitisation
|
Presentations
cdo.pdf
rmbs.pdf
Case studies
Atrium
Magnolia
Finance
Allied
Irish Bank
Investec
RMBS
Ikhaya
RMBS
Memphis Synthetic RMBS
Growthpoint
CMBS
Bear Stearns CMBS 2007
Articles
Collateralized
Loan Obligations
Synthetic
Asset-Backed Securities
SA
Mortgage Model
Credit
Checklist
Fitch
CMBS Criteria
|
Workshop
Instructor
Ian Giddy is
on the faculty of finance at New York University, USA. He has taught
finance at NYU, Columbia,
Wharton, Chicago and in 40+ countries worldwide over 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
securitisation in Asia, and The
Hudson River Watertrail Guide. He and his
wife are the founders of Wildcliff, a nature reserve in the Western
Cape.
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