Securitisation: ABS, ABCP, MBS and CDO

Basic principles

• Objectives of securitisation (corporate, banks, investors)
• Key principles, types of products, mechanisms, key players, rating
• Main structures: cash and synthetic securitisation

Primary and secondary markets

• Description of the primary market and placement
• Financial crisis: stakes and responses (TALF and other government rescue programmes)
• Securitisation as a source of liquidity (Repo, Central Banks etc.)
• Secondary market, role of the various market players

ABCP markets

• Conduits
• Role of sponsor bank
• Liquidity and letter of credit
• Investor market tendencies

• Practical workshop

• Securitisation of commercial debt

ABS, RMBS and CMBS structuring

• Analysis of sellers
• Specific risks and performance indicators
• Rating, tranching, credit enhancement
• Master trust

• Practical workshop

• Study of 3 typical deals: cost analysis, calculation of tranching, reporting issues

Analysis and impact of Basel II

Pricing and valuation

• Bloomberg™
• Management of pre-payments
• Estimating the cash flows of a tranche
• Valuation methods

• Practical workshop

• Calculation of discount margin in EXCEL™

Mechanics and uses of CDOs

• A mix of securitisation and credit derivatives
• Arbitrage CDO and balance sheet CDO
• Types of collateral: bonds, loans, ABS, CDO squared
• CDO single tranche
• Analysis and trading of correlation

• Practical workshop

• Study of a CDO of ABS during the crisis

Market perspectives