Asset Securitisation

Course Overview

Participants will gain a broad understanding of the process of securitisation, the drivers behind the market and the needs of the various participants.

In addition, delegates will be aware of the different forms of ABS structure and the distinguishing features of each.

Throughout the course there will be various exercises and case studies to aid with the understanding of the material.

Course Content

Principles of Asset-Backed Securities (ABSs)

• The history of the development of ABSs.
• Agency participation certificates

Reasons for Creating Asset Backed Securities

• Need for investment uplift
• Greater awareness of credit risk
• Better tools to assess credit risk
• Perceived opportunities for arbitrage
• Need to diversify and / or dissipate credit risk

Features and Procedures of Securitisation

• Cash flows of US fixed rate mortgages
• Private label pass-through structures
• Mortgage prepayment option
• Yield, average life and duration calculations
• Creating & managing the pool
• Top-up and Substitution procedures
• Conduit structures, Special Purpose Vehicles / Entities (SPVs & SPEs)
• Using short term assets in ABSs
• Application to auto loans, credit cards, trade receivables
• “Whole-business” securitisations

Pricing the ABS Issue

• Assessing the risk vs reward profile
• Issues relating to over-collateralisation & ratings
• Default experience and structured finance ratings
• Pricing principles – spreads, guarantees, options
• Default Models
• Sensitivity to interest rate changes

The Use of Derivatives in ABS Issues

• Using Credit Derivatives to replace or enhance the pool
• Credit Default Swaps
• Total Return Swaps
• Credit Linked Notes (CLNs), Collateralised Debt Obligations (CDOs) and Synthetic Collateralised Debt Obligations (SCDOs)
• Structuring a Credit Linked Note
• Coping with an event of default or variation (restructuring / takeover)

Delivering this course in-house for you to a number of participants could be very cost effective. Please call us on 020 7387 4484 to discuss this further.

If you have any questions about this seminar please write to us at post@redcliffetraining.co.uk.