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The Finance Dublin Capital Markets, Structured Finance and Securitisation Conference

Securitisation 200 - Advanced Securitisation

26th November 2007

Go to Introduction programme
Time Slot Event Speakers
12:30 Lunch   
14:00 Chairman’s opening remarks  Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading 
14:05 Cash CDO concept and illustration

- CDO structures
- Asset type
- Portfolio dynamics
- Liability profile
- Equity Note
- Interest-rate and currency risk
- Legal issues
- Current market picture
- Elementary cash analysis 
Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading 
15:05 The impact of liquidity and default on ABCP conduits and SIVs

- Lessons learned from the great liquidity crash of August 2007
- Funding considerations for Issuers and conduit/CDO fund managers
- Rating agency considerations 
Katrien Van Acoleyen, Head of the CDO and SIV group, Standard & Poor's 
16:20 Refreshment Break   
16:40 Synthetic CDO note pricing and correlation sensitivity: an accessible one-factor recursive approach

- Calculating loss distribution
- Default correlation
- Note pricing mechanics
- Importance of correlation
- Tranche subordination and sensitivity
- Implications for structuring 
Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading 
17:30 Chairman’s roundup and closing remarks   
17:40 Seminar concludes   
Conference Sponsors
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Ernst & Young

Better Regulation Ltd

Mourant

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IDA Ireland

Bedell Group

Mazars

HML

Media Partners
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