Introduction to Securisation

Introduction
  • Tranching, SPV, rating
  • Market characteristics: growth, asset classes, geography, currencies
  • Objectives for issuers: balance sheet optimisation, attractive funding costs, risk tranfer
  • Advantages for investors
  • Practical workshop:
  • Calculate the tranching of a simple transaction
Identifying risks
  • Credit risk, issuer’s risk, legal risks
  • The role of rating agencies
Various asset classes
  • Commercial debt (ABCP)
  • Mortgage (RMBS and CMBS)
  • Consumption credit
  • Bond or loan portfolios (CDO)
Study of a typical transaction
  • Term sheet
  • Offering circular
  • Presale reports
  • Reporting
Synthetic Securitisation
  • Basic scheme and credit derivatives
  • Risk transfer
Analysis and impact of Basel II
  • For banks
  • For investors
  • Practical workshop:
  • Calculate the impact of securitisation on ROE under Basel II and Basel III
Pricing and secondary market
  • Calculation of discount margin
  • Elements of Bloomberg™ pricing
  • Various types of amortising
  • Practical workshop:
  • Analysis of a term sheet on the secondary market

  • Understand the market and uses of securitisation
  • Manage asset portfolios and understand all refinancing possibilities
  • Increase investment possibilities beyond traditional interest rate products
  • Know-how to structure a securitisation operation
  • Understand the principles of synthetic securitisation
  • Understand the major elements of the 2007- 2009 crisis
  • Familiarisation with securitisation techniques
  • Step-by-step approach for non-specialists
  • Financial divisions (banks and corporate)
  • Risk management – banks
  • Senior bankers
  • Advisers in charge of corporate customers
  • Support staff: IT, middle office, internal and external audit, senior back office
  • Interest rate managers
  • Institutional investors
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