What the Course is About
constitute a growing segment of the global capital markets and have
become widely employed in developing as well as developed countries.
Risk transfer using synthetic asset securitization technique is the
segment of the ABS market. It opens new possibilities for the transfer,
pricing and management of credit risk. This workshop explores the
of synthetic asset-backed securities and its links to the markets for
credit derivatives and leveraged finance.
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
understanding of deals through group interaction and workshop
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.
Who Should Attend?
workshop will prove informative to all involved in asset-backed
securities and corporate finance. It includes material of relevance to commercial lenders and investment
and investors in asset-backed securities. Also credit specialists;
securities analysts; investment officers and fund managers; legal advisors; and
individuals whose professional future may be enhanced by an
of synthetic securitization techniques.
to be Discussed
distinguishes synthetic securitization from "true sale" securitization?
are the key legal issues, and how are they addressed in the case of
are bank regulators' concerns?
drives ratings of synthetics?
are the counterparty triggers in synthetics?
in synthetics - the weak link or hidden strength?
can one evaluate different synthetic collateralized debt obligations
is the role and pricing of the super-senior tranche of some synthetic
- Why is the synthetic approach used in many residential and commercial mortgage-backed financings?
can the synthetic ABS technique be applied to different classes of
- Introduction and course objectives
market for structured credit
ABS and Collateralized
- True sale
versus synthetic securitization
- Case study: Global
High Yield Bond Trust. This European hybrid CDO allows
delegates to see the key elements that distinguish synthetic from true
for synthetic asset-backed securities
- Tiering the
liabilities of a CDO
- CDO pricing
- Cash flow
analysis for investors in synthetics
- Credit and
regulatory issues relating to synthetics
- Rating synthetic CDOs: factors considered by the rating agencies
- The structure
of synthetic asset-backed securities
- Case study: Creating a Synthetic CLO.
In this hands-on exercise, delegates assemble the elements of a
synthetic securitization of a bank loan portfolio
- Case study: Chase
Secured Loan Trust. Delegates learn how banks use
credit-linked notes to transfer credit risk
- The credit
default swap in synthetic ABS
forms of CDS and credit options
- How credit
derivatives work -- and how they are priced
between synthetic ABS and the market for credit derivatives
- Case study: Allied Irish Bank.
Transferring bank credit risk: using the CDS market versus structuring
a synthetic CLO.
- Review of Day One
- Unfunded risk transfer
versus unfunded synthetic CDO tranches
and pricing of super-senior tranches
- Application to the leveraged loan market
- Case study: Noname
Bank Synthetic CLO. Delegates work on the details of
a synthetic collateralized loan obligation with an unfunded
risk of funded versus unfunded risk transfer
study: Memphis RMBS. This Dutch mortgage securitization offers delegates an opportunity to
discover some of the key advantages and weaknesses of synthetic MBS
- Synthetic commercial mortgage-backed securities
- Case study: Castenea Synthetic CMBS. Delegates learn how to apply the synthetic technique to commercial property financing
of synthetic securitization to other asset classes
trading of ABS risk
opportunities, new risks in synthetics
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
of International Fixed Income Research at Drexel Burnham Lambert from
to 1989. The author of more than fifty articles on international
Dr Giddy has served at the International Monetary Fund and the U.S.
and has been a consultant with numerous financial institutions and
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
Money Market, The Handbook of International Finance, Cases
in International Finance, Global Financial Markets, Asset
Securitization in Asia, and The
Hudson River Watertrail Guide.