Asset Securitization - ABS, CDOs and CBOs
Tuesday, December 2
09.00 - 09.15 Welcome and Introduction
09.15 - 12.00 Introduction to Asset Securitization
- What is “Securitization”?
- Brief history of market developments
- Motives for Securitization
- Overview of Securitization Structures
Securitization Structuring
- Setting Up the SPV
- Credit Enhancement Techniques
- Rating of Structured Securities
- Payment Management
- Pass-through vs. pay-through
- Prepayments
- Early amortization triggers
- The Role of the Trustee
- The Role of the Servicing Agent
12.00 - 13.00 Lunch
13.00 - 16.30 Securitization of Receivables and Commercial Assets
- Automobile Loans
- Credit Card Receivables
- Home Equity Loans
- Equipment Leases
- Securitization of Intellectual Property
- Future Flow Securitizations
- Asset-Backed Commercial Papers
- Case Studies
Risk Securitization
- Introduction to Risk Securitization
- Case Studies
- Contingent surplus notes
- “Act of God” bonds
- Exchange traded catastrophe options
- Securitization of mortality risk
Wednesday, December 3
09.00 - 09.15 Recap
09.15 - 12.00 Securitization of Mortgage Lending
- Introduction to Mortgages and MBS
- Prime, Subprime and “Alt-A”
- Mortgage Lenders and “Agencies”
- Mortgage Derivatives
- REMICs, PAC’s, TAC’s and CMO’s
- IO/PO strips
- Inverse floaters
- Risks of MBS and CMO’s
- Prepayment risk
- Contraction and extension risk
- Prepayment Analysis
- Factors that affect prepayments
- Prepayment models
- Option adjusted analysis (OAS)
- Exercises
12.00 - 13.00 Lunch
13.00 - 16.30 Collaterized Debt Obligations
- Concepts of CDO Transactions
- CDO Structures
- Collaterized Loan Obligations
- Collaterized Bond Obligations
- Arbitrage/balance sheet CDO’s
- Distressed debt CDO’s
- ABS and real estate CDO’s
- Applications of CDO’s
- Regulatory arbitrage
- Yield enhancement
- Bond market arbitrage
- Managing capital ratio
- Improving bank RAROC
- Case Studies and Exercises
Evaluation and Termination of the Seminar
