Advanced Asset Securitisation Programme Course Duration - 2 Days

Size: px
Start display at page:

Download "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

Asset Securitization 1

Asset Securitization 1 Asset Securitization 1 No securitization Mortgage borrowers Bank Investors 2 No securitization Consider a borrower that needs a bank loan to buy a house The bank lends the money in exchange of monthly

More information

General Methodology. Last Updated: December 3, 2012

General Methodology. Last Updated: December 3, 2012 Last Updated: December 3, 2012 General Methodology 1. Introduction The following is a general methodology for structured finance rating, which replaces and updates Outline and Rating Points of Structured

More information

Criteria for identifying simple, transparent and comparable securitisations

Criteria for identifying simple, transparent and comparable securitisations Basel Committee on Banking Supervision Board of the International Organization of Securities Commissions for identifying simple, transparent and comparable securitisations July 2015 This publication is

More information

Lecture 7 Structured Finance (CDO, CLO, MBS, ABL, ABS)

Lecture 7 Structured Finance (CDO, CLO, MBS, ABL, ABS) Lecture 7 Structured Finance (CDO, CLO, MBS, ABL, ABS) There are several main types of structured finance instruments. Asset-backed securities (ABS) are bonds or notes based on pools of assets, or collateralized

More information

Model guide to securitisation techniques

Model guide to securitisation techniques February 2010 slaughter and may Model guide to securitisation techniques Status: Law stated as at 01-Nov-2009 Securitisation has become an essential part of many jurisdictions financial markets and economies.

More information

Securitisation as an Alternative Funding Tool May 2007. Roger Desmarchelier Chief Manager Group Securitisation St George Bank

Securitisation as an Alternative Funding Tool May 2007. Roger Desmarchelier Chief Manager Group Securitisation St George Bank Securitisation as an Alternative Funding Tool May 2007 Roger Desmarchelier Chief Manager Group Securitisation St George Bank Agenda Why Securitise Growth of global securitisation What assets have been

More information

Bank Capital Adequacy under Basel III

Bank Capital Adequacy under Basel III Bank Capital Adequacy under Basel III Objectives The overall goal of this two-day workshop is to provide participants with an understanding of how capital is regulated under Basel II and III and appreciate

More information

KBW Mortgage Finance Conference. June 2, 2015

KBW Mortgage Finance Conference. June 2, 2015 KBW Mortgage Finance Conference June 2, 2015 Forward Looking Statements This presentation contains forward looking statements within the meaning of the safe harbor provisions of the Private Securities

More information

Synthetic CDOs: Rating Credit-Linked Notes

Synthetic CDOs: Rating Credit-Linked Notes di Doc ID: SFR#058/RAM/06 STRUCTURED FINANCE RESEARCH (Company No. 208095-U) 14 DECEMBER 2006 CRITERIA PAPER Synthetic CDOs: Rating Credit-Linked Notes KDN No: PP9298A/12/97 ANALYST: Low Li May (603) 7628

More information

Introduction. What is AIF Securitisation? Analysts. Press. www.scoperatings.com

Introduction. What is AIF Securitisation? Analysts. Press. www.scoperatings.com October, 2014 Securitisation of Alternative Investment Funds s www.scoperatings.com Introduction Alternative Investment Fund ("AIF") 1 managers are looking to respond to investors search for yield in a

More information

Commercial paper collateralized by a pool of loans, leases, receivables, or structured credit products. Asset-backed commercial paper (ABCP)

Commercial paper collateralized by a pool of loans, leases, receivables, or structured credit products. Asset-backed commercial paper (ABCP) GLOSSARY Asset-backed commercial paper (ABCP) Asset-backed security (ABS) Asset-backed securities index (ABX) Basel II Call (put) option Carry trade Collateralized debt obligation (CDO) Collateralized

More information

Development of mortgage lending in Russia

Development of mortgage lending in Russia Development of mortgage lending in Russia Development of Russian mortgage market: 2007-2012 Mortgage origination, bln. (RUB/$) Mortgage share of residential market turnover 1000 900 800 700 600 500 400

More information

EURANDOM PREPRINT SERIES 2010-045. Quantitative assessment of securitisation deals. Henrik Jönsson and Wim Schoutens ISSN 1389-2355

EURANDOM PREPRINT SERIES 2010-045. Quantitative assessment of securitisation deals. Henrik Jönsson and Wim Schoutens ISSN 1389-2355 EURANDOM PREPRINT SERIES 2010-045 Quantitative assessment of securitisation deals Henrik Jönsson and Wim Schoutens ISSN 1389-2355 Quantitative assessment of securitisation deals Authors: Henrik Jönsson

More information

Conceptual Framework: What Does the Financial System Do? 1. Financial contracting: Get funds from savers to investors

Conceptual Framework: What Does the Financial System Do? 1. Financial contracting: Get funds from savers to investors Conceptual Framework: What Does the Financial System Do? 1. Financial contracting: Get funds from savers to investors Transactions costs Contracting costs (from asymmetric information) Adverse Selection

More information

Structured Finance. Synthetic Overview for CMBS Investors. Credit Products Special Report. Analysts

Structured Finance. Synthetic Overview for CMBS Investors. Credit Products Special Report. Analysts Credit Products Special Report Synthetic Overview for CMBS Investors Analysts Credit Products Brian Bailey +1 212 908-0833 brian.bailey@fitchratings.com Richard Hrvatin, CFA +1 212 908-0690 richard.hrvatin@fitchratings.com

More information

CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013

CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 DATED AS OF MAY 15, 2013 Table of Contents Qualitative Disclosures Basis of Preparation and Review... 3 Risk

More information

NHMFC S HOUSING LOAN RECEIVABLES PURCHASE PROGRAM (HLRPP) Presentation to the 20 TH CREBA National Convention 6-7October, 2011 Marriot Hotel, Manila

NHMFC S HOUSING LOAN RECEIVABLES PURCHASE PROGRAM (HLRPP) Presentation to the 20 TH CREBA National Convention 6-7October, 2011 Marriot Hotel, Manila NHMFC S HOUSING LOAN RECEIVABLES PURCHASE PROGRAM (HLRPP) Presentation to the 20 TH CREBA National Convention 6-7October, 2011 Marriot Hotel, Manila ITEMS FOR DISCUSSION NHMFC CHARTER AND MANDATE A SHORT

More information

Glossary of Common Derivatives Terms

Glossary of Common Derivatives Terms DRAFT: 10/03/07 Glossary of Common Derivatives Terms American Depository Receipts (ADRs). ADRs are receipts issued by a U.S. bank or trust company evidencing its ownership of underlying foreign securities.

More information

The Securitization Process

The Securitization Process Asset-Backed Securities The Securitization Process Prof. Ian Giddy Stern School of Business New York University Asset-Backed Securities The basic idea What s needed? The technique Applications Typical

More information

An index of credit default swaps referencing 20 bonds collateralized by subprime mortgages.

An index of credit default swaps referencing 20 bonds collateralized by subprime mortgages. ABX Asset-backed commercial paper (ABCP) Asset-backed security (ABS) Assets under management (AUM) Call (put) option Capital-to-risk-weighted assets ratio Carry trade Cash securitization CAT (catastrophe)

More information

Copyright 1999 Ian H. Giddy Managing Credit Risks 3 SELL ASSETS (MAY ADD MORE) Copyright 1999 Ian H. Giddy Managing Credit Risks 5

Copyright 1999 Ian H. Giddy Managing Credit Risks 3 SELL ASSETS (MAY ADD MORE) Copyright 1999 Ian H. Giddy Managing Credit Risks 5 Managing the Credit Risks/1 Asset-Backed Securities Managing the Credit Risks Managing the Risks Identifying the risks The role of rating agencies Managing the credit risks Managing the sovereign risks

More information

The Securitization Process/1

The Securitization Process/1 The Securitization Process/1 Asset-Backed Securities The Securitization Process Prof. Ian Giddy Stern School of Business New York University Asset-Backed Securities The basic idea What s needed? The technique

More information

ASF Discussion Paper - Use of Master Trust Structures for Securitisation by ADIs

ASF Discussion Paper - Use of Master Trust Structures for Securitisation by ADIs ASF Discussion Paper - Use of Master Trust Structures for Securitisation by ADIs A. Key benefits of master trust structures Below is a high level summary of the key benefits of master trust technology.

More information

Mortgage Loan Conduit & Securitization Two Harbors Investment Corp. November 4, 2015

Mortgage Loan Conduit & Securitization Two Harbors Investment Corp. November 4, 2015 Two Harbors Investment Corp. November 4, 2015 Two Harbors Investment Corp. is proud to present a webinar titled: Mortgage Loan Conduit and Securitization. Periodic webinars from Two Harbors will provide

More information

Enhancements to SAMA's Bank Disclosure Requirements Under the Basle II Framework Pillar 3 Component

Enhancements to SAMA's Bank Disclosure Requirements Under the Basle II Framework Pillar 3 Component Circular No.: BCS 13134 Date: 11 May 2010 From : Saudi Arabian Monetary Agency To : All Banks Subject: Enhancements to SAMA's Bank Disclosure Requirements Under the Basle II Framework Pillar 3 Component

More information

SHENKMAN. A Case for Collateralized Loan Obligations (CLOs) INVESTMENT NOTE. June 2013. A Case for Collateralized Loan Obligations 1.

SHENKMAN. A Case for Collateralized Loan Obligations (CLOs) INVESTMENT NOTE. June 2013. A Case for Collateralized Loan Obligations 1. INVESTMENT NOTE A Case for Collateralized Loan Obligations (CLOs) June 2013 A Case for Collateralized Loan Obligations 1 SHENKMAN CLOs are in the midst of staging a big comeback with over $30 billion year-to-date

More information

Public Policy and Innovation: Partnering with Capital Markets through Securitization. Antonio Baldaque da Silva November 2007

Public Policy and Innovation: Partnering with Capital Markets through Securitization. Antonio Baldaque da Silva November 2007 Public Policy and Innovation: Partnering with Capital Markets through Securitization Antonio Baldaque da Silva November 2007 Agenda 1. Motivation: Innovation and Public Policy 2. Traditional tools 3. Alternatives:

More information

National Mortgage & Consumer Lending Services (MCL) kpmg.com

National Mortgage & Consumer Lending Services (MCL) kpmg.com National Mortgage & Consumer Lending Services (MCL) kpmg.com The mortgage and consumer lending industry has experienced unprecedented changes. Financial services and housing are the nation s most challenged

More information

American International Group, Inc. Second Quarter 2008 Results Conference Call Presentation August 7, 2008

American International Group, Inc. Second Quarter 2008 Results Conference Call Presentation August 7, 2008 1 AIG F American International Group, Inc. Second Quarter 2008 Results Conference Call Presentation August 7, 2008 2 Cautionary Statement Regarding Projections and Other Information About Future Events

More information

Consultative Document

Consultative Document Basel Committee on Banking Supervision Board of the International Organization of Securities Commissions Consultative Document for identifying simple, transparent and comparable securitisations Issued

More information

STRUCTURED FINANCE RATING CRITERIA 2015

STRUCTURED FINANCE RATING CRITERIA 2015 STRUCTURED FINANCE RATING CRITERIA 2015 1. Introduction 3 1.1 Credit quality of the collateral 3 1.2 The structure designed 3 1.3 Qualitative risks on the Securitization Fund 4 1.4 Sensitivity 4 1.5 Definition

More information

National Mortgage & Consumer Lending Services (MCL) kpmg.com

National Mortgage & Consumer Lending Services (MCL) kpmg.com National Mortgage & Consumer Lending Services (MCL) kpmg.com The mortgage and consumer lending industry has experienced unprecedented changes. Financial services and housing are the nation s most challenged

More information

ANAPTYXI SME II 2009-1 PLC. Citicorp Trustee Company Limited. Collection Period End Date. Interest Payment Date

ANAPTYXI SME II 2009-1 PLC. Citicorp Trustee Company Limited. Collection Period End Date. Interest Payment Date Issuer ANAPTYXI SME II 2009-1 PLC Seller / Servicer EFG Eurobank Ergasias SA Trustee Citicorp Trustee Company Limited Transaction Manager Citibank NA London Chris Prudden christopher.richard.prudden@citi.com

More information

CREDIT RISK MANAGEMENT

CREDIT RISK MANAGEMENT GLOBAL ASSOCIATION OF RISK PROFESSIONALS The GARP Risk Series CREDIT RISK MANAGEMENT Chapter 1 Credit Risk Assessment Chapter Focus Distinguishing credit risk from market risk Credit policy and credit

More information

VII COMMERCIAL PAPER BACKED BY CREDIT CARD RECEIVABLES

VII COMMERCIAL PAPER BACKED BY CREDIT CARD RECEIVABLES VII COMMERCIAL PAPER BACKED BY CREDIT CARD RECEIVABLES INTRODUCTION Asset-backed commercial paper (ABCP) conduits issue short-term notes backed by trade receivables, credit card receivables, or medium-term

More information

Nationwide Building Society Treasury Division One Threadneedle Street London UK EC2R 8AW. Tel: +44 1604 853008 andy.townsend@nationwide.co.

Nationwide Building Society Treasury Division One Threadneedle Street London UK EC2R 8AW. Tel: +44 1604 853008 andy.townsend@nationwide.co. Nationwide Building Society Treasury Division One Threadneedle Street London UK EC2R 8AW Tel: +44 1604 853008 andy.townsend@nationwide.co.uk Uploaded via BCBS website 21 March 2014 Dear Sir or Madam BASEL

More information

Learning Curve Asset-Backed Commercial Paper Anuk Teasdale October 2004

Learning Curve Asset-Backed Commercial Paper Anuk Teasdale October 2004 Learning Curve Asset-Backed Commercial Paper Anuk Teasdale October 2004 YieldCurve.com 2004 Page 1 Asset-Backed Commercial Paper Introduction The rise in securitisation has led to the growth of short-term

More information

The Ratio of Leverage. When you combine ignorance and leverage, you get some pretty interesting results. Warren Buffett

The Ratio of Leverage. When you combine ignorance and leverage, you get some pretty interesting results. Warren Buffett The Ratio of Leverage When you combine ignorance and leverage, you get some pretty interesting results. Warren Buffett 1 What is leverage? definition of leverage: debt to equity ratio Basel Commitee: One

More information

Credit Default Swaps and the synthetic CDO

Credit Default Swaps and the synthetic CDO Credit Default Swaps and the synthetic CDO Bloomberg Seminar 20March 2003 Moorad Choudhry Journal of Bond Trading and Management www.yieldcurve.com Agenda o Credit derivatives and securitisation o Synthetic

More information

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc.

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Introduction Basel II is an international framework on capital that applies to deposit taking institutions in many countries, including Canada.

More information

Rating Action: Moody's upgrades LEAF Receivables Funding equipment backed ABS from 2011 and 2012

Rating Action: Moody's upgrades LEAF Receivables Funding equipment backed ABS from 2011 and 2012 Rating Action: Moody's upgrades LEAF Receivables Funding equipment backed ABS from 2011 and 2012 Global Credit Research - 28 Feb 2014 Approximately $168 million of asset-backed securities affected New

More information

Annex 4 PROPOSED AMENDMENTS TO BANKING (DISCLOSURE) RULES ( BDR )

Annex 4 PROPOSED AMENDMENTS TO BANKING (DISCLOSURE) RULES ( BDR ) Annex 4 PROPOSED AMENDMENTS TO BANKING (DISCLOSURE) RULES ( BDR ) New disclosure requirements Amendments in the Basel II enhancements Guiding Principles of Pillar 3 (paragraph 809) The purpose of Pillar

More information

NEWS RELEASE Nov 17, 2015

NEWS RELEASE Nov 17, 2015 Nov 17, 2015 Assignment of a Preliminary Rating (Additional Report) Japan Housing Finance Agency Japan Housing Finance Agency Secured Pass-through Bonds No.103: AAA Rating and Investment Information, Inc.

More information

INSURANCE. Moody s Analytics Solutions for the Insurance Company

INSURANCE. Moody s Analytics Solutions for the Insurance Company INSURANCE Moody s Analytics Solutions for the Insurance Company Moody s Analytics Solutions for the Insurance Company HELPING PROFESSIONALS OVERCOME TODAY S CHALLENGES Recent market events have emphasized

More information

Basel Committee on Banking Supervision. Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework

Basel Committee on Banking Supervision. Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework Basel Committee on Banking Supervision Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework April 2014 This publication is available on the BIS website (www.bis.org).

More information

Aquila (Eclipse 2005-1) PLC - DEAL SUMMARY REPORT

Aquila (Eclipse 2005-1) PLC - DEAL SUMMARY REPORT Aquila (Eclipse 20051) PLC Aquila (Eclipse 20051) PLC DEAL SUMMARY REPORT Report Date 13 September 2012 Prior Report Date 14 June 2012 25 July 2012 14 December 2012 Pages Deal Overview 1 8 Individual Loan

More information

AUSTRALIAN RESPONSE TO IOSCO S PROPOSED RISK MITIGATION PRINCIPLES

AUSTRALIAN RESPONSE TO IOSCO S PROPOSED RISK MITIGATION PRINCIPLES Chris Dalton Chief Executive Officer 3 Spring Street, Sydney NSW 2000 T +61 (0)2 8243 3906 M +61 (0)403 584 600 E cdalton@securitisation.com.au www.securitisation.com.au 23 September 2015 Mr Andrew Alexandratos

More information

Ellington Financial LLC (NYSE: EFC) First Quarter 2015 Earnings Conference Call May 7, 2015

Ellington Financial LLC (NYSE: EFC) First Quarter 2015 Earnings Conference Call May 7, 2015 Ellington Financial LLC (NYSE: EFC) First Quarter 2015 Earnings Conference Call May 7, 2015 Important Notice Forward-Looking Statements This presentation contains forward-looking statements within the

More information

NEED TO KNOW. IFRS 9 Financial Instruments Impairment of Financial Assets

NEED TO KNOW. IFRS 9 Financial Instruments Impairment of Financial Assets NEED TO KNOW IFRS 9 Financial Instruments Impairment of Financial Assets 2 IFRS 9 FINANCIAL INSTRUMENTS IMPAIRMENT OF FINANCIAL ASSETS IFRS 9 FINANCIAL INSTRUMENTS IMPAIRMENT OF FINANCIAL ASSETS 3 TABLE

More information

FOR IMMEDIATE RELEASE November 7, 2013 MEDIA CONTACT: Lisa Gagnon 703-903-3385 INVESTOR CONTACT: Robin Phillips 571-382-4732

FOR IMMEDIATE RELEASE November 7, 2013 MEDIA CONTACT: Lisa Gagnon 703-903-3385 INVESTOR CONTACT: Robin Phillips 571-382-4732 FOR IMMEDIATE RELEASE MEDIA CONTACT: Lisa Gagnon 703-903-3385 INVESTOR CONTACT: Robin Phillips 571-382-4732 FREDDIE MAC REPORTS PRE-TAX INCOME OF $6.5 BILLION FOR THIRD QUARTER 2013 Release of Valuation

More information

FIIG ESSENTIALS GUIDE. Residential Mortgage Backed Securities

FIIG ESSENTIALS GUIDE. Residential Mortgage Backed Securities FIIG ESSENTIALS GUIDE Residential Mortgage Backed Securities Introduction Residential Mortgage Backed Securities (RMBS) are debt securities that are secured by a pool of home loans. RMBS are a subset

More information

GLOBAL STRUCTURED FINANCE RECAP: A SUMMARY OF 2007 REVIEW AND 2008 OUTLOOKS ACROSS ASSET CLASSES WITH METHODOLOGICAL UPDATES

GLOBAL STRUCTURED FINANCE RECAP: A SUMMARY OF 2007 REVIEW AND 2008 OUTLOOKS ACROSS ASSET CLASSES WITH METHODOLOGICAL UPDATES STRUCTURED FINANCE Special Report GLOBAL STRUCTURED FINANCE RECAP: A OF 2007 REVIEW AND 2008 OUTLOOKS ACROSS ASSET CLASSES WITH METHODOLOGICAL UPDATES AUTHOR: Teresa Wyszomierski Vice President/ Senior

More information

Securitisation in France

Securitisation in France Omar BIROUK and Laetitia CASSAN Directorate General Statistics Monetary and Financial Statistics Directorate The financial crisis that emerged in 2007 resulted in greater scrutiny of securitisation and

More information

CMBS 301. Bond Pricing & Structuring. Michael Gerdes Senior Vice President, Moody s Investors Services

CMBS 301. Bond Pricing & Structuring. Michael Gerdes Senior Vice President, Moody s Investors Services CMBS 301 Bond Pricing & Structuring Michael Gerdes Senior Vice President, Moody s Investors Services Chris Stevens Vice President and Director, TD Securities Sponsored by October 15, 2007 Hilton Toronto

More information

Structured Finance.. Rating Methodology..

Structured Finance.. Rating Methodology.. Structured Finance.. Rating Methodology.. www.arcratings.com GLOBAL CONSUMER ABS ABS RATING CRITERIA This is an update to the methodology previously published on 5 September 2014. There are no material

More information

Commercial Mortgage Securities Association (CMSA) July 2007

Commercial Mortgage Securities Association (CMSA) July 2007 Commercial Mortgage Securities Association (CMSA) July 2007 THE COMMERCIAL MORTGAGE-BACKED SECURITIES INDUSTRY FACTUAL BACKGROUND: Commercial Mortgage-Backed Securities (CMBS) Commercial mortgage-backed

More information

FSR Insights. Private Student Loans Market. Financial Instruments, Structured Products & Real Estate Insights September 2013. What s new?

FSR Insights. Private Student Loans Market. Financial Instruments, Structured Products & Real Estate Insights September 2013. What s new? FSR Insights Financial Instruments, Structured Products & Real Estate Insights September 2013 Private Student Loans Market What s new? The amount of student loans outstanding today, currently exceeding

More information

Transition Resource Group for Impairment of Financial Instruments Significant increases in credit risk

Transition Resource Group for Impairment of Financial Instruments Significant increases in credit risk STAFF PAPER 16 September 2015 Project Paper topic CONTACT(S) Transition Resource Group for Impairment of Financial Instruments Significant increases in credit risk Bernadette Whittick Kumar Dasgupta bwhittick@ifrs.org

More information

Licensed by the California Department of Corporations as an Investment Advisor

Licensed by the California Department of Corporations as an Investment Advisor Licensed by the California Department of Corporations as an Investment Advisor The Impact of the Alternative Minimum Tax (AMT) on Leverage Benefits My associate Matthias Schoener has pointed out to me

More information

Investing in residential real estate debt - but which type?

Investing in residential real estate debt - but which type? Market Insight Investing in residential real estate debt - but which type? London 19 January 2015, by Arjan van Bussel and Steve Curry With interest rates at historically low levels, fixed income investors

More information

Structured finance. - accounting developments: Special purposes entities Consolidation and Disclosure

Structured finance. - accounting developments: Special purposes entities Consolidation and Disclosure www.pwc.com/securitisation Structured finance - accounting developments: elop Special purposes entities Consolidation and Disclosure Sp pecial purp pose entit ies new standards on consolidation and disclosure

More information

European DataWarehouse

European DataWarehouse European DataWarehouse European Commission Workshop Brussels, 27 November 2013 November 2013 European DataWarehouse GmbH 1 Agenda Corporate governance General update on SME ABS transactions onboarded so

More information

The CDO Product. Overview

The CDO Product. Overview The CDO Product Overview Collateralized debt obligations, or CDOs, are structured vehicles that are similar to leveraged closed-end funds. As discussed below, the majority are cash flow structures, a fair

More information

AFME / ESF Prospectus for UK Auto Loan Transaction. As of December 2012 [NAME OF ISSUER]

AFME / ESF Prospectus for UK Auto Loan Transaction. As of December 2012 [NAME OF ISSUER] AFME / ESF Prospectus for UK Auto Loan Transaction As of December 2012 [NAME OF ISSUER] (incorporated in England and Wales with limited liability under registered number ) Notes Initial Principal Amount

More information

Regulating Shadow Banking. Patrick Bolton Columbia University

Regulating Shadow Banking. Patrick Bolton Columbia University Regulating Shadow Banking Patrick Bolton Columbia University Outline 1. Maturity Mismatch & Financial Crises: a classic story Low interest rates and lax monetary policy Real estate boom 2. New twist in

More information

An Impact Assessment of the EU Capital Requirements Directive (CRD) Retention Rule

An Impact Assessment of the EU Capital Requirements Directive (CRD) Retention Rule Teleconference 18 January 2010 An Impact Assessment of the EU Capital Requirements Directive (CRD) Retention Rule Ian Linnell Ramadurai Krishnan Lars Jebjerg Agenda Why the Retention Rule? What Is the

More information

Asset-Backed Securities: It's as easy as this! A Practical Factbook Helge Münkel Telephone: +49 89 378-11294 E-mail: helge.muenkel@hvb.

Asset-Backed Securities: It's as easy as this! A Practical Factbook Helge Münkel Telephone: +49 89 378-11294 E-mail: helge.muenkel@hvb. Asset-Backed Securities: It's as easy as this! A Practical Factbook Helge Münkel Telephone: +49 89 378-11294 E-mail: helge.muenkel@hvb.de February 2006 page 1 Contents 1 Index 2 Introduction to ABS 3 Description

More information

Problem Loan Workout and Debit Restructuring for SME s in Egypt

Problem Loan Workout and Debit Restructuring for SME s in Egypt Problem Loan Workout and Debit Restructuring for SME s in Egypt Course Hours: 24 Course Code: 12167 Objectives The principal objectives of this programme are to provide delegates with a developed understanding

More information

European RMBS: Cashflow dynamics and key assumptions December 2008

European RMBS: Cashflow dynamics and key assumptions December 2008 European RMBS: Cashflow dynamics and key assumptions December 2008 Domenico Picone +44 (0)20 7475 3870 domenico.picone@dkib.com Priya Shah +44 (0)20 7475 6839 priya.shah@dkib.com Structured credit research

More information

Arkle Master Issuer Monthly Investor Report

Arkle Master Issuer Monthly Investor Report Reporting Date Reporting Period 16 February 2015 1 January 31 January 2015 Quarterly Accrual Period 17 ovember 2014 16 February 2015 Semi Annual Accrual Period 18 August 2014 16 February 2015 Contact Details

More information

WHAT IS STRUCTURED FINANCE?

WHAT IS STRUCTURED FINANCE? WHAT IS STRUCTURED FINANCE? Andreas A. Jobst # Working Paper September 2005 Abstract On the heels of the April downgrades of General Motors Corp. and Ford Motor Co. to non-investment grade status, the

More information

Cagamas Berhad National Mortgage Corporation of Malaysia

Cagamas Berhad National Mortgage Corporation of Malaysia Cagamas Berhad National Mortgage Corporation of Malaysia Presentation to the Indonesia International Conference on Islamic Finance Development of Securitisation in Malaysia - Cagamas Experience Chung Chee

More information

Fannie Mae Reports Pre-Tax Income of $8.1 Billion for First Quarter 2013

Fannie Mae Reports Pre-Tax Income of $8.1 Billion for First Quarter 2013 Resource Center: 1-800-732-6643 Contact: Pete Bakel 202-752-2034 Date: May 9, 2013 Fannie Mae Reports Pre-Tax Income of $8.1 Billion for First Quarter 2013 Release of Valuation Allowance on Deferred Tax

More information

Commercial paper collateralized by a pool of loans, leases, receivables, or structured credit products.

Commercial paper collateralized by a pool of loans, leases, receivables, or structured credit products. Asset-backed commercial paper (ABCP) Asset-backed security (ABS) Asset-backed securities index (ABX) Auction rate security Basel II Call (put) option Carry trade Commercial paper collateralized by a pool

More information

Securitisation of residential mortgage loans purchased by Argo Mortgage srl. Calculation Agent: THE BANK OF NEW YORK.

Securitisation of residential mortgage loans purchased by Argo Mortgage srl. Calculation Agent: THE BANK OF NEW YORK. Securitisation of residential mortgage loans purchased by Argo Mortgage srl Calculation Agent: THE BANK OF NEW YORK Payment Report For the Payment Date: 28/07/2011 Determination date 26/04/2011 Collection

More information

Special Purpose Entities (SPEs) and the. Securitization Markets

Special Purpose Entities (SPEs) and the. Securitization Markets Special Purpose Entities (SPEs) and the Securitization Markets Prepared by: The Bond Market Association International Swaps & Derivatives Association Securities Industry Association February 1, 2002 Special

More information

Content. Hercules (Eclipse 2006-4) plc Quarterly Surveillance Report for the Collection Period July October 2011 Issue Date: 19th December 2011

Content. Hercules (Eclipse 2006-4) plc Quarterly Surveillance Report for the Collection Period July October 2011 Issue Date: 19th December 2011 Content Hercules (Eclipse 2006-4) plc Quarterly Surveillance Report for the Collection Period July October 2011 Issue Date: 19th December 2011 Content INDEX Deal Overview 3 Activity since last reporting

More information

Securitisation after the credit crunch Is it right for your business?

Securitisation after the credit crunch Is it right for your business? www.pwc.com/securitisation Securitisation after the credit crunch Is it right for your business? Securitisation undoubtedly received a lot of adverse press during the credit crisis. In this publication

More information

Disclosure Principles for Public Offerings and Listings of Asset-Backed Securities

Disclosure Principles for Public Offerings and Listings of Asset-Backed Securities Disclosure Principles for Public Offerings and Listings of Asset-Backed Securities Consultation Report TECHNICAL COMMITTEE OF THE INTERNATIONAL ORGANIZATION OF SECURITIES COMMISSIONS June 2009 This paper

More information

Securitisation after the credit crunch Is it right for your business?

Securitisation after the credit crunch Is it right for your business? www.pwc.com/securitisation Securitisation after the credit crunch Is it right for your business? Securitisation undoubtedly received a lot of adverse press during the credit crisis. In this publication

More information

Chapter 2 Cashflow Modelling

Chapter 2 Cashflow Modelling hapter 2 ashflow Modelling 2.1 Introduction The modelling of the cashflows in a securitisation deal consists of two parts: the modelling of the cash collections from the asset pool and the distribution

More information

CANADIAN TIRE BANK. BASEL PILLAR 3 DISCLOSURES December 31, 2014 (unaudited)

CANADIAN TIRE BANK. BASEL PILLAR 3 DISCLOSURES December 31, 2014 (unaudited) (unaudited) 1. SCOPE OF APPLICATION Basis of preparation This document represents the Basel Pillar 3 disclosures for Canadian Tire Bank ( the Bank ) and is unaudited. The Basel Pillar 3 disclosures included

More information

By Hoin Lee, Kim & Chang and Frank Will, HSBC & Chairman of the EU Legislation Working Group

By Hoin Lee, Kim & Chang and Frank Will, HSBC & Chairman of the EU Legislation Working Group SOUTH KOREA 3.31 South Korea By Hoin Lee, Kim & Chang and Frank Will, HSBC & Chairman of the EU Legislation Working Group I. FRAMEWORK Efforts to create a covered bond market in Korea The Covered Bond

More information

HIGH YIELD FINANCING Middle Market. ELA 45th Annual Convention Palm Desert, CA October 22 24, 2006

HIGH YIELD FINANCING Middle Market. ELA 45th Annual Convention Palm Desert, CA October 22 24, 2006 HIGH YIELD FINANCING Middle Market ELA 45th Annual Convention Palm Desert, CA October 22 24, 2006 Värde Partners, Inc. Founded in 1993 $2.5 billion assets under management Minneapolis and London offices

More information

Fabozzi Bond Markets and Strategies Sixth Ed. CHAPTER 14 ASSET-BACKED SECURITIES

Fabozzi Bond Markets and Strategies Sixth Ed. CHAPTER 14 ASSET-BACKED SECURITIES Fabozzi Bond Markets and Strategies Sixth Ed. CHAPTER 14 ASSET-BACKED SECURITIES CHAPTER SUMMARY In Chapters 11 and 12 we discussed securities backed by a pool of standard mortgage loans (both residential

More information

CORPORATE MEMBERS OF LIMITED LIABILITY PARTNERSHIPS

CORPORATE MEMBERS OF LIMITED LIABILITY PARTNERSHIPS 1. INTRODUCTION CORPORATE MEMBERS OF LIMITED LIABILITY PARTNERSHIPS 1.1 This note, prepared on behalf of the Company Law Committee of the City of London Law Society ( CLLS ), relates to BIS request for

More information

Structured Finance Rating Criteria

Structured Finance Rating Criteria Master Criteria Structured Finance Key Rating Drivers Asset Isolation: Investors in structured finance (SF) transactions rely primarily on the underlying asset pool securing the transaction for repayment

More information

Investment memo. Merganser Today. Overview of FFELP Loan Program. Securitization. Do Your Homework: Uncertainty in the FFELP Student Loan Market

Investment memo. Merganser Today. Overview of FFELP Loan Program. Securitization. Do Your Homework: Uncertainty in the FFELP Student Loan Market Investment memo Merganser Today Merganser has been buying and analyzing asset backed securities (ABS) since their creation in the mid 1980s. Issuance of student loans began roughly a decade later and has

More information

COMMERCIAL BANK. Moody s Analytics Solutions for the Commercial Bank

COMMERCIAL BANK. Moody s Analytics Solutions for the Commercial Bank COMMERCIAL BANK Moody s Analytics Solutions for the Commercial Bank Moody s Analytics Solutions for the Commercial Bank CATERING TO ALL DIVISIONS OF YOUR ORGANIZATION The Moody s name is synonymous with

More information

Leveraged Loan Funds: Debunking the Myths

Leveraged Loan Funds: Debunking the Myths Leveraged Loan Funds: Debunking the Myths SM Leveraged Loan Funds: Debunking the Myths Contents 2 Myth #1: Managing liquidity in actively managed leveraged loan mutual funds is difficult. 3 Myth #2: In

More information

11.437 Financing Community Economic Development Class 6: Fixed Asset Financing

11.437 Financing Community Economic Development Class 6: Fixed Asset Financing 11.437 Financing Community Economic Development Class 6: Fixed Asset Financing I. Purpose of asset financing Fixed asset financing refers to the financing for real estate and equipment needs of a business.

More information

Securitized-Product Investment: Risk Management Perspectives *

Securitized-Product Investment: Risk Management Perspectives * - March 2008 Paper Series of Risk Management in Financial Institutions Securitized-Product Investment: Risk Management Perspectives * Financial Systems and Bank Examination Department Bank of Japan Please

More information

Introduction to credit opportunity funds Richard Parkus Deutsche Bank

Introduction to credit opportunity funds Richard Parkus Deutsche Bank 2 Introduction to credit opportunity funds Richard Parkus 2007 Credit opportunity funds have been the largest and fastest-growing segment within the market-value collateralised debt obligation (MV CDO)

More information

Securitizing Reperforming Loans into Agency Mortgage Backed Securities: A Program Primer

Securitizing Reperforming Loans into Agency Mortgage Backed Securities: A Program Primer Securitizing Reperforming Loans into Agency Mortgage Backed Securities: A Program Primer Fannie Mae recently announced plans to securitize single-family, fixed-rate reperforming loans (RPLs) into Agency

More information

Investment policy Adopted 28 May 2014

Investment policy Adopted 28 May 2014 Adopted 28 May 2014 our our community future Background The Local Government Act 2002 requires Council to adopt a policy for the management of investments including; The mix of investments. The acquisition

More information

Prof Kevin Davis Melbourne Centre for Financial Studies. Managing Liquidity Risks. Session 5.1. Training Program ~ 8 12 December 2008 SHANGHAI, CHINA

Prof Kevin Davis Melbourne Centre for Financial Studies. Managing Liquidity Risks. Session 5.1. Training Program ~ 8 12 December 2008 SHANGHAI, CHINA Enhancing Risk Management and Governance in the Region s Banking System to Implement Basel II and to Meet Contemporary Risks and Challenges Arising from the Global Banking System Training Program ~ 8 12

More information

Fannie Mae Reports Comprehensive Income of $84.8 Billion for 2013 and $6.6 Billion for Fourth Quarter 2013

Fannie Mae Reports Comprehensive Income of $84.8 Billion for 2013 and $6.6 Billion for Fourth Quarter 2013 Resource Center: 1-800-732-6643 Contact: Pete Bakel 202-752-2034 Date: February 21, 2014 Fannie Mae Reports Comprehensive Income of $84.8 Billion for 2013 and $6.6 Billion for Fourth Quarter 2013 Fannie

More information

Financial-Institutions Management. Solutions 6

Financial-Institutions Management. Solutions 6 Solutions 6 Chapter 25: Loan Sales 2. A bank has made a three-year $10 million loan that pays annual interest of 8 percent. The principal is due at the end of the third year. a. The bank is willing to

More information

Prudential Practice Guide

Prudential Practice Guide Prudential Practice Guide APG 113 Internal Ratings-based Approach to Credit Risk January 2013 www.apra.gov.au Australian Prudential Regulation Authority Disclaimer and copyright This prudential practice

More information

Finance Company Limited

Finance Company Limited Finance Company Limited A Case Study in Asset-Backed Securities 1 An Irish finance company, Finance Company Limited, has EUR 500 million of automobile hire purchase receivables that are currently financed

More information