Dates                                                                                  
 
22-23 June 2010
1-2 December 2010

Course Overview

This two day course begins by providing a thorough introduction to the development of the asset-backed securities market and the reasons behind the decreasing popularity of CDOs since the advent of the GFC.

It focuses on the different types of CDOs structures and the rational for their usage. It provides a clear explanation on the rating agencies’ approaches to CDOs, and the reasons behind the failure of the rating agency models, the use of derivatives in CDOs structures and the risk-return characteristics of CDOs in an investment portfolio.

Participants are required to bring a laptop to the course

Course Content

Introduction
Securitisation principles
Resecuritisations and SIVs

Overview of the CDO market
What is a CDO, how does it differ from ordinary securitisation
Development of the CDO market and synthetic structures

Types of CDOs
Cash flow CDOs
Capital Structure of a Cash Flow CDO
Market value CDOs
Role of the Asset Manager
Trading Constraints and Reinvestment Criteria
Balance sheet cash flows CDOs
Arbitrage CDOs
CDO Assets
Overcollateralisation and other credit enhancements
Credit Triggers

Case study of a typical CDO structure

The Investor Standpoint
Benefits to Investors
CDO Equity Return Analysis
Global performance of CDO’s over the past year

Regulation
Recent regulatory changes (including Basel 2)
Possible future regulations

Synthetic CDOs
Fully funded synthetic structures
Partially funded structures
The CDO Squared
Single tranche CDO
The future for synthetic CDOs

Valuing a CDO
General Principles
Impact of Default
Summary of the Major Risks for CDO Investors

Rating agency models
Overview of the rating agency approaches
Understanding defaults, correlation and recoveries
The different approaches to correlation and the problems involved
Review of the three basic models in use – S&P, Moody’s and Fitch
Likely changes and improvements to rating agency CDO models

Case study example of a recent CDO rating

Credit Derivatives
Asset swaps
TROR swaps
Credit Default Swaps
Credit events
Credit linked notes
FTD swaps
Basket swaps
Range Accrual Notes
What else could be done?
Current position of the market post-Lehman

The Legal Background
Documentation and legal issues
Overview of ISDA documentation issues in respect of synthetic CDO’s
Credit triggers and settlement procedures

Case studies: examples of recent synthetic CDO deals

IN ADDITION TO THE PUBLIC DATES ABOVE, THIS COURSE CAN ALSO BE TAILORED TO YOUR REQUIREMENTS AND DELIVERED IN-HOUSE FOR YOU.

PLEASE CIRCULATE THIS PDF AMONG YOUR COLLEAGUES!

IF YOU HAVE ANY QUESTIONS ABOUT THIS SEMINAR PLEASE WRITE TO US AT post@redcliffetraining.co.uk


Please click here if you wish to be added to our mailing list for notification of forthcoming training courses