Securitisation – Understanding the Mechanics

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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 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 and specialising in securitisation advisory and training since 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 Brochure

Click here to download the Securitisation – Understanding the Mechanics course brochure.

Course Outline

Session 1

Contents

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.

Session 2

Contents

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.

Session 3

Contents

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.

Session 4	Contents
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

Session 5

Contents

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.

Session 6	Contents
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.

Session 7	Contents
Case Study (2-day course only)	Delegates work in groups to analyse the structure, stengths and weaknesses of an actual transaction

Session 8

Contents

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

Brussels, 22-23 November 2010
Registration deadline: 15 November 2010

Hosted at:
Dexia Corporate University - The Parabole
Rue Ohilippe Le Bon, Filip de Goedestraat, 2
Brussels

Belgium

Costs

The cost of the "Securitisation - Understanding the Mechanics" course is £1,000.00 for ICMA Members 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*
*Please note that discounts are applied by way of a refund to the organisation when registration has closed and the final number of candidates from the firm has been determined.

Payment can be made by secure online credit card or by invoice. Please note that the BACS invoice method has an additional £50 admin fee.

Note that anyone requiring accommodation to take the course will be required to arrange this on their own; it is a class-based but non-residential course.

For more information

This course is also available on a group booking basis.
Should you have any queries about this seminar please contact:

Mike Kirkman for general marketing queries

mike.kirkman@icmagroup.org
Phone: +44 207 213 0329