Course dates
European securitisation outstanding at the end of 2010 was 2.1 trillion. The International Monetary Fund has gone on record saying that restarting securitisation is “critical” to economic recovery.
Issuers are back although public issuance has not reached the levels seen in 2007/08
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
There is an element of convergence between the securitisation and covered bond markets.
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 securitisation
- 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
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Structural features of a securitisation (part one)
- Credit risk
- Spread and reserve accounts
- PDL ledgers
- Liquidity risk
- Cashflow waterfalls
- Reinvestment risk
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
A recent Residential Mortgage Backed Security (RMBS)
Day 2
Structural features of a securitisation
- Asset casualty risk
- Originator insolvency
- Servicer failure
- Dealing with short life assets
- Tax, legal and accounting issues
- Typical SPC structures
Impact of the crisis on the securitisation market
- The credit crisis and the role of securitisation
- 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 and modelling
Auto-loan case study
- Delegates will work in groups to analysis and discuss
A recent auto-loan backed security (ABS)
Day 3
Asset-backed commercial paper (ABCP)
- What is a conduit?
- Typical conduit structure
- Key features
- Conduit dynamics
- Benefits for an originator
- Outlook for ABCP in the post-crisis market
Post crisis RMBS
- Historic performance
- What lessons did investors learn
- The master trust structure
- The new drivers for originators
- Put options
- Trends and pricing
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
Securitisation and covered bond markets converge?
- A group discussion
Case study
- Aggregator of Loans Backed By Assets (A.L.B.A.) 2011-RP1 PLC
A repackaging of non-performing and non-standard mortgages
Course conclusion and questions
Amsterdam Hotel, Amsterdam, Netherlands
This programme takes place on a non-residential basis at a central Amsterdam hotel. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.
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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.
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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Course dates