Asset Securitisation Workshop

Intoduction 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. Course Overview This 3-day workshop focuses both on the practicalities of securitisation and on the realities of 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 half of the workshop provides a comprehensive overview of the nuts and bolts of securitisation, the rationale, the structuring techniques, SPC variations and the rating processes. 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 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 summary and close