Introduction to Securitisation

LEVEL: INTRODUCTORY LEVEL

▪	Become familiar with the main techniques of securitisation
▪	Gradual approach for non-specialists
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▪	Know the market of securitisation
▪	Be able to choose the best funding sources
▪	Extend investment universe to untraditional products
▪	Understand how a securitisation deal is structured
▪	Understand the principles of synthetic securitisation
▪	Understand the main aspects of the subprime crisis

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▪	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
▪	Intitutional investors

Fundamental principles
▪	SPV, tranching, rating
▪	Market characteristics: growth, eligible asset classes
▪	Issuers' objectives (balance sheet optimisation, lower funding costs, risk transfer)
▪	Investors' advantages
▪	Practical workshop . Calculate the tranching of a simple transaction
Indetifying risks
▪	Credit risks, seller's risks, regulatory risks
▪	Role of rating agencies
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The various stages of a securitisation deal
Various asset classes
▪	Commercial debt (ABCP)
▪	Mortgage (RMBS and CMBS)
▪	Consumer credit
▪	Bond or loan portfolios (CDO)
Study of a typical transaction
▪	Term sheet
▪	Offering circular
▪	Presale reports
▪	Reporting
Synthetic Securitisation
▪	Basic structure and credit derivatives
▪	Risk transfer
▪	Credit enhancement
Analysis and impact of Basel II
▪	For banks
▪	For investors
▪	Practical workshop . Calculate and compare the return on capital of securitisation deals under Basel I and under Basel II
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
How the subprime crisis prpagated itself: analysis