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Securitisation – An Introduction
 
This two-day training programme is designed to provide delegates with a thorough introduction to securitisation. The syllabus will cover the different types of structures with a primary focus on European transactions, while also covering US mortgage backed securities.

The main principles of the course will be illustrated using several different real-life case studies.

By completing the programme you will:


  • Understand what is meant by securitisation
  • Be familiar with the main participants in the securitisation process
  • Be able to demonstrate different structuring techniques
  • Have a thorough understanding of CDOs, CLO and synthetic deals

Who should attend?

This course is suitable for anyone with an understanding of the fundamental concepts of finance and fixed income that needs a holistic overview of the securitised market.  Previous participants have come from varied backgrounds such as Central Bankers, traders, middle office analysts and lawyers.


Programme Recognition

Candidates who complete the Introduction to Securitisation training programme qualify for 13 credit hours under the guidelines of the CFA Institute’s Continuing Education Programme.




Course Director


Neil Schofield is a visiting fellow at the University of Reading and is a freelance training consultant.  From 2001 to 2008, he was global head of financial markets training at Barclays Capital in London.  He was responsible for the design and delivery of a large number of seminars in a variety of different asset classes to many different audiences.  Before that he was a director at Chisholm Roth training in London and has also held positions at Chase Manhattan Bank as well as Security Pacific Hoare Govett (now trading as Bank of America).  Neil has over 20 years of experience in financial markets.
He is author of the book “Commodity Derivatives: Markets and Applications” and “Trading the Fixed Income, Inflation and Credit Markets” both published by Wiley.  His third book is “Equity derivatives: institutional applications”.  
He is currently writing a co-authored book entitled “Trading inflation: markets, instruments and strategies”.
The syllabus is divided into several topic areas, which are then broken down into multiple subtopics:

1. Motivations
  • What is securitisation?
  • Main participants
    • Case study: Whole Business Securitisation

2. Structuring techniques
  • How are the underlying assets managed?
  • Linking the cash flows of the assets to the notes
  • Repayment of principal
  • Techniques of credit enhancement

3. European Mortgage Backed Securities
  • Commercial Mortgages
    • Case study: Commercial Mortgage Backed Securities
  • Residential Mortgage Backed Securities (RMBS)
    • Case study: RMBS

4. European Consumer Loans
  • Auto loans
    • Case study: Auto loans
  • Credit Cards
    • Case study: Credit Cards

5. Collateralised Loan (& Debt) Obligations
  • Characteristics of CLOs
  • Evolution of CLO structures
  • Analysing CLO structures

6. Synthetic CDOs & index tranches

  • An introduction to Credit Default Swaps (CDS)
    • Credit correlation
    • First to default CDS
  • Features of synthetic CDOs
  • Effects of default
  • Index CDS
  • Tranche investment products

7. US mortgage backed structures

  • Structure of US mortgage backed market
    • Agency vs. non-agency RMBS
    • The ‘to-be-announced’ (TBA) market
  • Pass through securities
    • Cash flow characteristics
    • Underlying collateral characteristics
    • Prepayment risk
    • Weighted average life
    • Contraction and extension risk
  • Collateralised Mortgage Obligations (CMOs)
    • Sequential-pay tranches
    • Planned amortisation class (PAC) tranches

Details of the next seminar

London
22-23 November 2017

 
 
   
Venue:
International Capital Market Association (ICMA) Limited
3rd Floor
23 College Hill
London EC4R 2RP
United Kingdom

Please email education@icmagroup.org to register your interest to attend our next publicly scheduled course.

Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.


Cost

£1,400 for members and £1,850 for non-members

Payment can be made by secure online credit card or by invoice.


Terms and conditions


Please click here to view our terms and conditions before registering.


Contact

Should you have any queries, please contact education@icmagroup.org





 
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