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Training Course Summary:

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.

Training Course Overview/Content:

Principles of Asset-Backed Securities (ABSs)
The history of the development of ABSs.
Agency participation certificates

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.
Private label pass-through structures
Mortgage prepayment option
Yield, average life and duration calculations
Creating & managing the pool
Top-up and Substitution procedures
Conduit structures, Special Purpose Vehicles / Entities (SPVs & SPEs)
Using short term assets in ABSs
Application to auto loans, credit cards, trade receivables
“Whole-business” securitisations

Pricing the ABS Issue
Assessing the risk vs reward profile
Issues relating to over-collateralisation & ratings
Default experience and structured finance ratings
Pricing principles – spreads, guarantees, options
Default Models
Sensitivity to interest rate changes

The Use of Derivatives in ABS Issues
Using Credit Derivatives to replace or enhance the pool
Credit Default Swaps
Total Return Swaps
Credit Linked Notes (CLNs), Collateralised Debt Obligations (CDOs) and
Synthetic Collateralised Debt Obligations (SCDOs).
Structuring a Credit Linked Note
Coping with an event of default or variation (restructuring / takeover)