Asset securitisation was at the heart of the financial crisis but most losses were due to just one sector, in one country – US sub-prime mortgages. Elsewhere, securitisation continued its roles in providing an alternative funding source for issuers and a menu of risk/return for investors – from AAA that performs as AAA to ‘Equity’ – across an ever-widening range of asset types.
This course explains how securitisation is done, why it is done – from issuers’ and investors’ perspectives, the various risks involved, how – and to what extent – they are mitigated. It incorporates case studies from each of the major asset sectors – residential mortgages, auto loans, CLOs, commercial MBS, etc.
Objectives
By the end of the course, the participant will be able to:
Explain the features and characteristics of Asset Backed Securities (ABS)
Know the main applications of ABS
Identify the main risks
Explain the basics of pricing
Understand the main terminology used in the marketplace
Be familiar with the different structures in the market
Course Content
How securitisation is done
The role of the SPV/SPE
Cost-Benefit Analysis
The various parties involved and their roles
How the rating agencies effectively determine the ‘tranching’
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