Financial Management of Structured ProductsThe course provides a detailed overview of the financial management of structured product transactions. The parameters of structured product deals will be explored; because of the elevated levels of market and operational risk, the course creates guidelines for the assessment framework needed to manage risk. In addition, the course incorporates a discussion of FASB rules regarding accounting for variable interest entities, accounting for warehouses and Basel II guidelines for regulatory capital requirements. |
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| Securitization market practitioners, portfolio risk managers, corporate financiers, treasurers, credit risk managers, traders. |
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| No advance preparation required. |
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Students will be able to:- Understand and analyze the securitization process for structured products
- Gain a conceptual and analytical framework for collateralized debt obligations (CDOs)
- Develop managerial mechanisms for CDO financial oversight
- Identify major accounting and control methods for structured products
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| A basic knowledge of derivatives and capital markets. |
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| Structured Credit ModelingAccounting for Derivatives & Hedging |
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Day 1Overview of Structured Finance- What is structured finance?
- Who are the market participants?
- Motivation for structured finance
- Mortgages
- Credit card accounts
- Auto loans
- Lease receivables
Introduction to Securitization- Mechanics of a securitization transaction
- Roles & responsibilities of participants to a securitization
- Cash vs. synthetic securitization
- Size of securitization markets
Credit Swaps, Synthetic ABS- Types of CDS
- Uses of CDS
- Pricing of CDS
- Disadvantages of CDS
- Synthetic ABS/CDOs
Assessing Securitization Risk: A Structurer's Perspective- Credit risk of underlying assests
- Credit spreads
- Subordination
- Legal issues: True sales vs. bankruptcy remoteness
Securitization and Cost of Capital- CAPM and cost of equity capital
- Cost of debt capital
- Weighted average cost of capital - WACC
- Capital regulation capital under Basel II
| Day 2Collateralized Debt Obligations (CDOs)- Distinction of CDO from ABS/MBS
- Taxonomy of CDO types
- Transaction structure of CDOs: Tranches, Triggers, Overcollateralization and Reserving
- Cash vs. synthetic CDOs: Funding, cash-flow waterfall, structuring
Analyzing CDOs- Structural models of default probability
- Loss curves
- Modeling cash-flow CDOs: Moody's binomial expansion technique
- Rating transition matrices
- What is a Moody's rating?
- Monitoring and rating actions
Accounting for Securitizations- Accounting example for a securitization
- Sale criteria for securitization transaction
- What are Variable Interest Entities (VIEs)?
- FAS 140
- FAS 156
- Applying FIN 46(R)
- FAS 155
- Accounting for warehouses
International Developments- Hedge funds' activities involving structured finance
- New international accounting standard - IFRS
Q&A Session | | |
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| Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only. |
Lunch included for all students taking day classes. |
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