Asset Securitisation

IFF Training

IFF Training


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About the course

A detailed, practical guide to the opportunities and mechanics within Asset Securitisation. The course will help you learn:

  • How to recognise the optimum internal and external conditions and how to capitalise on them
  • The importance of creating the right product for the right market
  • The mechanics of the securitisation process – from origination and structuring through to pricing and trading
  • The essential risk management techniques to utilise in securitisation
  • What exactly went wrong during the worst of the credit crisis
  • Practical credit enhancement techniques, including a review of credit enhancement decisions in recent deals
  • How the world of securitisation changed as a result of the credit crunch and how you can exploit opportunities in the new market environment

How You Will Learn

This is a complete review of the securitised market, that will leave you able to exploit the opportunities when using these financial instruments.

Highly practical and interactive, delegates will use Excel to build a cashflow waterfall model for a CDO structure.

Agenda Summary

Introduction: The State of Play and What Went Wrong

  • The history and growth of securitisation
  • Leveraged structures and inappropriate asset classes
  • Modelling problems
  • Examples of distressed deals
  • Recent developments and trends in the market
    • who’s issuing what, for whom, and how
    • how the application of securitisation technology is changing
    • range of new asset classes and structures
  • Standard deal technology

Review of Securitised Products

  • Amortising loans
    • mortgage-related products (RMBS and CMOs)
    • automobile loans
    • commercial mortgages (CMBS)
    • student loans
  • Revolving receivables
    • credit cards
    • lease receivables
    • trade receivables
  • Royalties and annuity-type cash flows
    • Payment structure of ABS deals
    • impact of pre-payments
    • revolving structures
    • early amortisation triggers
    • clean-up calls
  • CDOs
    • cashflow CLO structures
    • synthetic CDOs
    • ABS CDOs

The Players, Their Contributions and Commitments

  • Originator
  • Issuer
  • Arranger
  • Lead manager
  • Credit enhancement providers
  • Legal advisors
  • Trustees
  • Paying agents
  • Reference banks
  • Liquidity provider
  • Guaranteed investment contract provider
  • Servicer
  • SPV management
  • Swap provider
  • Rating agencies

Rationale for Securitisation: Benefits for Originator

  • Maintenance of capital requirements
  • Improving the balance sheet
  • Asset/liability management
  • Diversification of funding
  • Credit risk management
  • Reduced cost of funding
    • straightforward savings
    • gains from specialisation
    • benefits from tradable credit risk
  • Liquidity
  • Receivables management

Preparing for First-Time Securitisation: Creating the Right Internal Environment

  • Effectively reviewing contracts for possible constraints
  • Conducting a comprehensive analysis of systems
    • hardware and software capacity
    • backup and disaster recovery
    • manual systems
  • Review of procedures for administration of arrears management and provisioning
  • Developing ongoing policies for collateral
  • Cashflow modelling and analysis of the asset pool
    • historical data required
    • correlation with economic cycles and receivables characteristics
  • Managing customer relations in a securitisation programme

Servicing Requirements

  • Servicing agreements
  • Third party and back-up servicing
  • The importance of segregating cashflows
  • The importance of managing cashflows
  • Reporting on the performance on securitised assets to investors and credit enhancers
  • Potential benefits from servicing charges

Funding the Assets: The Most Common Routes

  • FRNs
  • Conduit funding
  • Asset Backed Commercial Paper (ABCP)
  • Private placements
  • Bank loans
  • Combinations
  • Cross border funding opportunities

Identification and Mitigation of Risks for the Various Parties Involved

  • Forms of risk
    • credit risk
    • liquidity risk
    • interest rate risk
    • re-investment risk
    • currency risk
    • market risk
  • Risk management techniques available
  • Execution strategy

Credit Enhancement

  • Reasons behind credit enhancement
  • External sources with examples
    • guarantees and letters of credit
    • pool insurance
    • monoline insurers: surety bonds
  • Internal sources with examples
    • subordination
    • over-collateralisation
    • excess spread
  • Using the originator’s own credit standing
  • Choosing the optimum: factors to take into account
    • cost
    • cash and capital constraints
    • investor preferences
    • moral hazard
  • Analysis of credit enhancement decisions in recent deals – the logic behind them and their performance

The Rating Process

  • The role of rating agencies and who they are
  • Rating criteria and how this has changed since the credit crisis
  • The benefits each different agency can bring
  • Compliance with the rating agencies’ requirements
    • quality of assets
    • systems and procedures
  • How to manage the rating process

Regulatory, Legal, Accounting and Tax Issues

  • European and US regulatory issues
  • Basle III impact for issuers and investors
  • Structuring the SPV
  • Effectively transferring or assigning the contracts
    • novation
    • equitable assignment
    • subparticipation
  • Profit extraction
  • Ongoing involvement
  • Accounting objectives to be achieved
    • the on or off balance sheet decision
  • Impact of IFRS on securitisation structures

Cashflow Modelling of Transactions

  • What can be modelled and what cannot
  • Collateral pool modelling – building the warehouse model
  • Assessing default rates and rating migration
  • Correlation assumptions and using Moody’s diversity score technique
  • Modelling the cashflow waterfall

EXERCISE: Delegates will use Excel to build a cashflow waterfall model for a CDO structure


John Richardson

John Richardson was previously the Managing Director of the corporate finance subsidiary of a London merchant bank, having previously worked in an advisory capacity with several high profile global investment banks. He holds the position of Programme Director, Visiting Faculty at Cass Business S...

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Asset Securitisation at IFF Training

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Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

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