This three day course focuses on the post-crisis securitisation market, the issues that are driving it and the types of transactions which have and are emerging in the European Market

The course also examines the role of securitisation in the crisis, the regulatory response and the over-hang of problem transactions, particularly in CMBS.

The first day provides a comprehensive overview of the nuts and bolts of securitisation, the rationale, the structuring techniques, SPC variations and the rating processes.

• European securitisation outstanding at the end of /2010 was €2.1 trillion. That’s more than the gross domestic product of the UK.
• The International Monetary Fund has gone on record saying that restarting securitisation is “critical” to economic recovery
• Issuers are back. [over Euro100bn was issued in Europe in the first four and a half months of 2011]
• The motivation to securitise has moved from principally regulatory arbitrage to a range of objectives that include sourcing long-term funding,  improving asset/liability management and tapping central bank repo facilities
• Opportunities are opening up including NPL securitisation and new financial and regulatory arbitrages.

Who should attend

• Central, Investment and Corporate bankers who need to understand the current securitisation market
• Risk and credit professionals from banks and the investment sector
• Lawyers, accountants, trustees and other professionals involved with ABS
• Treasurers from larger corporates
• Pension funds, insurers and other investors with existing ABS exposures
  
  

Day 1 – the nuts and bolts of securitisation

Introduction to securitization

· Course objectives

· The building blocks of securitisation

· The development of the securitisation market

· Rationale for banks and corporate to securitise assets

· Differences from ordinary debt and from covered bonds

Structural features of a securitisation

· Credit risk

· Spread and reserve accounts

· PDL ledgers

· Liquidity risk

· Cashflow waterfalls

· Reinvestment risk

· Other features

· Dealing with short life assets

· Typical SPC structures

· A1/A2 senior notes

· Deferred interest notes

· Hedging securitisation transactions

The rating process

· Key rating elements

· CDO cashflow models

· New counter party criteria

· Un-rated risks for investors

Case study

· Delegates will work in groups to analysis and discuss

An Residential Mortgage Backed Security (RMBS)

[UK Master trust structure]

Day 2

The credit crisis and the role of securitization

· US sub prime mortgage loans

· Sub prime rating model

· Poor origination standards

· Repackaging through CDO’s

· CDO rating models

· Other problem CDO’s

· Effect on markets

· How did it affect the real economy?

Impact of the crisis on the securitisation market

· Impact across different asset classes

· Re-pricing of the market and effect on valuations

· Investor reaction

· New regulation for Securitisation

· Impact of new Basel 3 – capital and liquidity requirements

· The new drivers in the securitisation market

· Investors or repo?

· Popular assets classes post crisis – auto and RMBS

The auto-loan securitisation market

· Performance during the crisis

· Impact of sovereign and macro-economic risks

· The most popular asset class for investors – why?

· Issuers and structures

· Rating issues & modelling

Auto-loan case study

· Delegates will work in groups to analysis and discuss

A recent auto-loan backed security (ABS)

Day 3

Post crisis RMBS

· Historic performance

· What lessons did investors learn

· The master trust structure

· The new drivers for originators

· Put options

· Trends and pricing

Securitising non-performing residential mortgage loans

Case study - Aggregator Of Loans Backed By Assets (A.L.B.A.) 2011-RP1 PLC

CMBS and other problems

· the problem of legacy CMBS

· what is the outlook for maturing CMBS 2011-2015

· restructuring options

· re-rating

· prospects for new issuance

The importance of central bank activities

· Re-characterisation for Basel 3 arbitrage

· Re-packaging of assets for repo access

· ECB attitude to securitisation

· ECB repo – criteria for securitisation issues

· ECB bond purchasing programmes

· Bank of England – attitude to securitisation

· Bank of England repo – criteria for securitisation issues

Course conclusion and questions

• Bruce Gaitskell

  Bruce Gaitskell specialises in securitisation and corporate finance. He has been involved in the European securitisation market for over 20 years, completing Europe's first rated securitisation in 1987 as Securitisation Controller for National Home Loans.
  
  Bruce continued his early securitisation career on the issuer side and did a number of ground-breaking transactions for CIBC including Europe's first CP funded securitisation. In 1991, he became Executive Director and head of European Securitisation at UBS Limited where he was responsible for the autoloan securitisation by Nissan UK and Europe's first securitisation of vehicle leases (Truck Funding for DAF(UK)). Subsequently, he became Head of Securitisation for Diawa Europe Limited, Sakura Finance International and National Australia Bank.
  
  Bruce has been a regular conference speaker around the world on securitisation topics and teaches at a number of securitisation seminars and courses. In addition he is a contributing author to three securitisation textbooks.

  Courses run by this instructor

  • Covered Bonds

Asset Securitisation Post Credit Crisis

Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.

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