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Asset Securitisation

Principles of Asset Backed Securities

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.
Mortgage prepayment option
Yield, average life and duration calculations
Creating and managing the pool
Conduit structures and short term assets
Application to auto loans, credit cards, trade receivables
Issues relating to over-collateralisation & ratings
Default experience and structured finance ratings
Pricing principles - spreads, guarantees, options
Default models
Sensitivity to interest rate changes
Using credit derivatives to replace or enhance the pool
Default swaps and total return swaps
CLNs, CDOs & SCDOs
Structuring a credit linked note
Coping with an event of default or variation (restructuring / takeover)

HOW YOU WILL BENEFIT

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.

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