Advanced Asset Securitisation Programme Course Duration - 2 Days

Transcription

1 Neueda customise all courses to ensure that the content matches your specific requirements. Please feel free to contact to discuss options. Programme objectives In recent years, before the credit crisis in 2007, there was a rapid growth in both the volume and variety of securities issued and traded on the world s capital markets. Perhaps the most rapid growth in the capital markets has been in the area of asset backed debt securities. The asset securitisation market developed in the USA in the early 1980s, and there has been rapid growth in the European market during the last ten years. The trading and structuring of securitisation deals came to an abrupt halt after the credit crisis but now there are signs of a revival in this market in a number of asset classes although not all are tradable. It is possible to securitise a wide range of assets from basic mortgages through leased assets, trade receivables, credit card receivables, loans, bonds and commercial property. In fact any asset for which it is possible to forecast future cash flows with reasonable confidence can be used and even pop stars such as David Bowie have securitised the future royalty flows on their copyrighted works although not always with great success. This Advanced Securitisation Programme has been designed to provide a thorough overview of the ABS product across asset classes with specific emphasis on RMBS, CMBS, Trade Receivables and loans. The programme includes the origination, structuring, pricing and trading of these instruments together with the rating process and an overview of the cashflow modeling of the transactions. It is a complete review of the securitised market to leave you fully prepared for these financial instruments. Course Content Day 1 Introduction: the state of play and what went wrong The history and growth of securitisation Leveraged structures and inappropriate asset classes Recent developments and trends in the market - who s issuing what, for whom, and how - how the application of securitisation technology is changing - range of new asset classes and structures Standard deal technology Rationale for banks and corporates to securitise Re-pricing of the market and effect on valuations Investor reaction what are they looking for in the market now? New regulation for Securitisation Impact of new Basel III - capital and liquidity requirements What is the future of securitisation? Advanced Asset Securitisation Programme (2 Days) Page 1 of 5

2 Review of securitised products Amortising loans Mortgage-related products (RMBS and CMOs) Commercial mortgages (CMBS) Revolving receivables Lease receivables Trade receivables CLO s Cashflow CLO structures Project finance loans Modifications of securitisation structures involving mortgages Mortgage loan modifications o Typical restructuring solutions o Maturity extension impact o Margin reduction impact o Balance capitalisation impact Delinquency and foreclosure timeline o impact of modifications on liquidation timeline Predatory servicing costs Re-aging policies and the effect on reported delinquencies Reporting requirements for loan modifications Foreclosure management by SPV s Foreclosure costs Cost recovery for servicer Impact on RMBS or CMBS structure Target DTI ratios for post modification loans Restructuring the waterfall payments Loan level representations and warranties Credit benefit calculations for high LTV loans Role of the trustee o Principal forgiveness versus forbearance o Enforcement of repurchase obligations Rating agency view on modifications Bankruptcy or insolvency of transaction parties Cost recovery for trustee Case study examples of RMBS distressed situations Advanced Asset Securitisation Programme (2 Days) Page 2 of 5

3 Rationale for securitisation: benefits for originator Maintenance of capital requirements Improving the balance sheet Asset / liability management Diversification of funding Credit risk management Reduced cost of funding - straightforward savings - gains from specialisation - benefits from tradable credit risk Liquidity Receivables management Case study: Recognising the opportunity for securitisation Critical volume - bond route - conduit route Perceiving the optimal timing or environment Potential legal constraints and how they can be overcome - assignment / transfer - granting & perfection of security - obligor notification requirements Criteria for suitable asset pool Structural features of an RMBS securitisation The master trust structure Credit risk Spread and reserve accounts PDL ledgers Liquidity risk Cashflow waterfalls Reinvestment risk Pro rata and amortising structures Margin compression Originator insolvency Servicer failure Counterparty risk Case study: A recent RMBS transaction Advanced Asset Securitisation Programme (2 Days) Page 3 of 5

4 Day 2 Regulatory, Legal, Accounting and Tax issues European and US regulatory issues Basle III impact for issuers and investors Structuring the SPV Effectively transferring or assigning the contracts - Novation - Equitable assignment - Subparticipation Profit extraction Ongoing involvement Accounting objectives to be achieved - The on or off balance sheet decision Impact of IFRS on securitisation structures Student loan ABS SLABS Structure of a student loan ABS Parties involved in a deal; originators, servicers, guarantee agencies, etc Current market issuance and spreads FFELP scheme loans Deferment, grace and forbearance Master trust structures Private SLABS Case study: FFEPL securitisation Commercial Mortgage Backed Securities Commercial MBS: retail, office, multifamily, hotels, etc Single-property securitization Single-borrower/multi-borrower CMBS CMBS conduits A/B structures and mezzanine funding A loan criteria for origination review of the S&P and Fitch methodologies Identifying the key variables which will impact the likelihood of default and severity of loss Importance of property quality on cash flow Market analysis and site inspections Examining rent rolls for tenant quality and lease terms LTV and DSCR Defining the base case - the use of historical performance data in sizing credit enhancement Model approach - default probability and loss severity adjustments Cash flow modelling - the impact of timing on stress scenarios Deriving credit enhancement requirements Multi-jurisdictional property issues Case study: CMBS securitisation Advanced Asset Securitisation Programme (2 Days) Page 4 of 5

5 Cashflow modelling of transactions what can be modelled and what cannot collateral pool modelling building the warehouse model assessing default rates and rating migration correlation assumptions and using Moody s diversity score technique modelling the cashflow waterfall differences in modelling RMBS, CMBS and CLO structures Delegates will use Excel to examine a cashflow waterfall model for an RMBS transaction CLO s versus traditional asset backed structures Motivations behind CDO deals o Balance sheet management o Fee income o Credit line management o Regulatory capital relief o Regulatory capital arbitrage o Liquidity o Product line development Collateral manager objectives Investor opportunities Pricing CLOs tranches from an investor s perspective Identifying risks of investing in CLO structures The role of CLOs in an investment portfolio Project finance loans o the default and recovery profile of project finance loans versus corporate loans o the extent of diversity of project finance loans across industrial sectors and geographical regions o the potentially greater impact of political influences compared to corporate debt o the likelihood of default for loan types of differing structures, such as the amortising loans of most project finance compared to bullet loans of most corporate finance loans o refinancing risk after construction phase o swap breakage costs Case study: a recent FTPYME securitisation structure Advanced Asset Securitisation Programme (2 Days) Page 5 of 5