Securitisation 200 - Advanced Securitisation
Day 1 - 28th November 2005
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| 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 | |
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