Financial Management of Structured Products

The 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.

12-Mar-2012 -- 13-Mar-2012New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Gim Seow; ] Mon Tue Level: Intermediate

13-Dec-2012 -- 14-Dec-2012New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Gim Seow; ] Thu Fri Level: Intermediate

CPE CREDITS
14.0
Securitization market practitioners, portfolio risk managers, corporate financiers, treasurers, credit risk managers, traders.
No advance preparation required.
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
A basic knowledge of derivatives and capital markets.
"The course clearly presented the application of CDOs."
"This course presents a good analysis of pricing models."
"The instructor is a strength of this course."
  • Structured Credit Modeling
  • Accounting for Derivatives & Hedging
    • Day 1
    Overview 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 2
    Collateralized 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

    Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

    Lunch is included for all students taking day classes.