The Course
Asset-backed
securities
constitute a growing and complex segment of the global capital markets
and have
become widely employed in developing countries such as South Africa as
well as developed countries. This course provides a brief insight into
the state of the art in
securitisation and structured credit risk transfer. In addition to
covering new developments in 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. Asset-backed commercial paper
conduits, a growing sector, offer participants the
opportunitiy 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.
Pre-Course Reading
Issues
to be Discussed
- Where
is the 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
drives credit ratings on ABS, and how is credit enhancement achieved?
- How
can one evaluate different collateralized debt obligations
(CDOs)? How are they structured?
- How
can one calculate the required credit enhancement for different
tranches backed by a pool of assets?
- What is
the connection between synthetic asset-backed securities and the
markets for
credit derivatives?
- How
does asset-backed commercial paper work?
Securitisation
Workshop: Agenda
Topics
|
Resources
|
Asset-Backed
Securities Explained
- 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
From
ABS to CDOs and Synthetics
- Classic
ABS vs Collateralized
Debt Obligations
- Linkages between CDOs, credit
derivatives and leveraged finance
- 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
- 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
- Funded and
partially funded synthetic CDOs
- Case study: Leveraged Loan Synthetic
Securitisatoin. Analysis of the
structure, pricing and risks of a synthetic CDO with a super-senior
tranche.
- Credit
and
regulatory issues relating to synthetics
- Team excercise: Allied Irish Bank.
Using the techniques of securitisation, how would you structure the
credit rislk transfer for this bank?
Asset-Backed Commercial Paper
- Single-name versus
multi-name ABCP
- ABCP conduits
- Applications of the
flexible conduit structure
- Case study: Thekwini. How did the
sponsor of this residential mortgage conduit deal with the funding
mismatch?
|
Presentations
sb-abs_intro.pdf
sb-cdo.pdf
sb-abcp.pdf
Case studies
Finance
Co. Bhd
Ford
Motor Credit 2006
Thekwini
ABCP
Atrium
Noname
Bank Synthetic CLO
Allied
Irish Bank
Articles
How
to Get an ABS Rating
Collateralized
Loan Obligations
SA
Mortgage Model
|
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 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
securitisation in Asia, and The
Hudson River Watertrail Guide. He and his
wife are the founders of Cloudbridge, a nature reserve in Costa
Rica.
|
