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.

Course Content:

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 ¡V 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)

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.

Course Content:

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 ¡V 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)