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The Finance Dublin Securitisation Conference 2005-
Investment and Issuance: Debt, ABS and Credit

28th - 29th November 2005, Burlington Hotel, Dublin




Securitisation 200 - Advanced Securitisation

Day 1 - 28th November 2005

Go to Introduction programme
Time Slot Event Speakers
12:30 Registration   
13:00 Lunch - Sponsored by GMAC Commercial Mortgage Bank Europe, PLC   
14:00 Introduction by Chairman and Course Leader
 
Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading 
14:10 Securitisation 201: Assessing different structures
- True sale, hybrid, and synthetic structures
- Whole business securitisation
- Location of the SPV
- Assessing the relative value for the investor 
Alex Cataldo, Vice President, Senior Credit Officer, Moody's Investor Services Ltd. 
14:40 Securitisation 202: Cashflow modelling for ABS and CDOs
- Establishing a framework for evaluation and monitoring purposes
- Interpretation of documentation
- Investor reporting and analysis

 
Darren Smith, Director, Dresdner Kleinwort Wasserstein 
15:30 COFFEE - Sponsored by GMAC Commercial Mortgage Bank Europe, PLC    
15:45 Securitisation 203: Credit Derivatives, total return swaps and synthetic securitisation
- CDSs, hedge costs and synthetic CDOs
- Alternate termination payments: digital cash, initial value – par, normalised price method
- Default and recovery rate, and default protection seller (credit and correlation)
- Default: sovereign debt and non-sovereign debt
- Total (rate of) return swaps
- CDS v TRORS and TRORS v Repos
 
Olivier Renault, Vice President, Quantitative Credit Strategy, Citigroup 
16:25 Securitisation 204: Cash v CDOs
- Managed arbitrage CDO features
- Selecting portfolio and impact on ratings: rating criteria and restrictions
- Substitution and reinvestment criteria
- Warehousing, pricing, closing, ramping up portfolio
- Reinvestment period, non-call period, pay down period
- Tranching and the synthetic arbitrage advantage, payment-in-kind tranches (PIK)
- CDS v cash asset spreads
- Hedging the CDO portfolio cash flow
- Cash v synthetic arbitrage CDO equity cash flow
- Summary of cash arbitrage CDOs v synthetic arbitrage CDOs
 
Darren Smith, Director, Dresdner Kleinwort Wasserstein 
17:05 Securitisation 205: Synthetic funding structures: treasury desk application of credit derivatives
- Synthetic and hybrid conduit structures
- SIV and MTN structures
 
Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading 
17:35 DRINKS RECEPTION - Sponsored by the Irish Stock Exchange
END OF AFTERNOON SEMINAR 
 

Conference Sponsors
Click on logos for information

Matheson Ormsby Prentice

Function Sponsors
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Marsh

Ernst & Young

TMF

BDO Simpson Xavier

GMAC Commercial Mortgage Bank Europe, PLC

Irish Stock Exchange

Panel Sponsors
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Bank of New York

Exhibitors
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Deutsche Bank Trust & Securities Services

3d

Mourant

Wilmington Trust

HML

JP Morgan

IDA

Media Partners
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www.absreports.com

Asset-Backed Alert

ISR


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