Securitisation – Understanding the Mechanics
Objectives
There are EUR 1.7 trillion of Asset-Backed Securities (ABS) outstanding in Europe. This course is designed to broaden attendees’ knowledge and understanding of this important market, and the opportunities it offers to issuers & investors.
Target Audience
The course is suitable for those with knowledge of some aspects of ABS who wish to expand their knowledge, as well as those with limited prior knowledge of ABS. People who have exposure to ABS assets or portfolios as part of their management responsibilities should benefit from this course.
Length and Structure of the Course
The course consists of one or two days of lectures, case studies and group exercises. Each day consists of four 90 minute sessions with coffee breaks in the morning and afternoon and lunch break in the middle. There is no exam for this course but candidates will get a certificate of attendance.
Course Tutor
Richard Senior
Richard has over 20 years’ experience in securitisation. He is CEO of Robin Hood Finance Ltd., a securitisation advisory and training company he established in 2003. Prior to that he had been Head of Origination, Securitisation, at Bankgesellschaft Berlin from 1995, following 9 years at Chemical Investment Bank Ltd (now JP Morgan Chase). He is a qualified Accountant (ACMA), and a fluent French and German speaker. His diverse training activities include being a tutor on the “Postgraduate Diploma in Securitisation” course at the Dublin Institute of Technology.
Course Outline
Securitisation and Market Overview
- The securitisation market
- Risk and tranching
- What motivates issuers and investors?
- What is being securitised?
- The market
Case study: Economic rationale for securitisation
This section is an overview of the basics of securitisation and the general size of the market.
Structuring ABS
- Typical structure
- Special Purpose Vehicles
- Structuring out risks
Case study: Dealing with short life assets
Case study: Overview of rating agency presale of an actual transaction
This section will serve as an overview of ABS fundamentals and how the various risks are managed.
Executing the Transaction
- Parties to an ABS transaction and their roles
- Planning and objectives
- Stages of a transaction
Case study: You are the consultant on an actual trade receivables securitisation transaction
This section goes through the lifecycle of an ABS and the key decision making points.
The Market Now
- The sub-prime crisis and its effects
- Central bank repos
- Financing SMEs
- The shadow banking system: CP Conduits and SIVs
- The ABS market in 2009
Case study: Northern Rock
This section explores market developments since 2007, and examines market problems and opportunities
Rating
(2-day course only)
- Ratings
- What is really meant by a rating?
- Rating agencies
- Overview of the rating process
- Approach to rating
- How do we approach rating a pool of assets?
- Analysis and modelling
- What went wrong?
Case study: presentation to rating agency from actual transaction
This section examines the role of ratings and rating agencies, and the approach to ratings in ABS, plus a discussion of the current situation regarding ratings.
Collateralised Debt Obligations (CDOs)
(2-day course only)
- What are CDOs?
- CDOs are different from other ABS!
- What drives the market?
- Types of CDO: Cash, synthetic, single tranche
- Dynamic and static portfolios
Case study: Modelling CDOs
This section is an overview of the CDO market, and how CDOs are constructed.
Case Study
(2-day course only)
Delegates work in groups to analyse the structure, stengths and weaknesses of an actual transaction
Residential Mortgage-Backed Securities (RMBS)
(2-day course only)
- RMBS as an asset class
- What drives the market?
- RMBS vs covered bonds
- Structuring & rating RMBS
- Quantitative & qualitative due diligence
- Structuring
- Rating: inputs to the model/how the model works
RMBS is the largest asset class, with over €1 trillion outstanding at end 2008, and one which will feature in most investors’ portfolios. The US sub-prime sector has caused severe problems since mid-2007, but other areas of RMBS are far more stable.
Details of the next seminar
Coming soon.
Costs
The cost of Securitisation-Understanding the Mechanics course is £1,000.00 for ICMA Mmebers and £1,300.00 for non-members with the following discount scale being offered.
2-4 candidates - 5% discount each*
5+ candidates - 10% discount each*
For more information
This course is available on a group booking basis only, for more information please email sec@icmacentre.ac.uk.
