SCI Training "Core Mechanics of ABS" 28th & 29th February 2012, London Day 1, 28th: Auto ABS & RMBS  Day 2, 29th: CMBS

European securitisation outstanding at the end of 2010 was €2.1 trillion - that’s more than the UK GDP.
• The IMF has gone on record saying that restarting securitisation is “critical” to economic recovery.
• Issuers are back in both the US and Europe. Banks see ABS as a way of raising long-term funds which is good for Basel III requirements.

This course is divided into two days, and delegates may attend a single day or both days. Download a brochure via the link at the bottom of the page

Day One ABS: Auto and RMBS deals | 28th February
The first day examines the post-crisis securitisation market – where it is today and where it is going. It covers the why and how of the two currently popular securitisation asset classes (Residential Mortgages and Auto Loans). Day One will start with a reminder of what drives current issuers to use securitisation and how deals are put together. The ways in which the various risks in deals, such as credit and liquidity, are managed will be covered using real life examples. The following sessions cover theory and practical example of Auto Loans and RMBS.

Day Two CMBS | 29th February
Commercial Mortgage-Backed Securities (CMBS) was a large market before the crisis, but there has been little issuance in recent times. The first session covers the CMBS market and how deals are structured and rated, including a case study. The course then moves on to the effects of the crisis on CMBS, and approaches used to address problems arising. There are then sessions on special servicing and restructuring troubled CMBS, before rounding off the day with the outlook for the CMBS market

COURSE OVERVIEW QUESTIONNAIRE
Participants in this module should be able to answer the following questions:
• Define credit risk.
• Define assets and liabilities.
• What are the characteristics of debt and equity?
• How does a swap work?
• What is the difference between a fixed and a
floating coupon?

Participants do not need to take this course if they can answer these questions:
• What are the main features of the current market?
• What are the key differences between the rating approach to RMBS and CMBS?
• In what ways can the various risks in a CMBS or Auto loan book be mitigated?
• What were the causes of the problems in the CMBS market, and what actions were taken in various cases?

TOPICS NOT INCLUDED
• Basics of capital markets
• Derivatives
• Mathematics in depth
• Non-European markets
7-8th December, London
TRAINING METHODOLOGY
The program will focus on the practical realities of the post-crisis market, rather than a mathematical or academic approach. The course style is discussion and case study based (there are usually lots of questions from both sides) in addition to presentations by the course directors. This interactive approach allows the participants to think through the products themselves and thus gain a more intuitive understanding of the market.

COURSE DIRECTORS
Richard Senior
Richard Senior founded Robin Hood Finance Ltd. (RHF) in 2003. Prior to that he had been Head of Origination, Securitisation, at Bankgesellschaft Berlin from 1995. He joined BGB after 9 years at Chemical Investment Bank Ltd (now JP Morgan Chase). Before joining the securitisation group, Richard was responsible for the UK Structured Finance Group, completing property related and other structured transactions, particularly involving the use of derivatives. Prior to that he worked at ICI and Morgan Grenfell after graduating from Oxford University. He is a qualified Accountant (ACMA), and a fluent French and German speaker. He structured and funded his first securitisation transaction, a Commercial Mortgage Backed Security (CMBS) in 1989, and has originated, structured and distributed a wide variety of asset-backed and tax-based transactions in Europe, from Finland to Spain. He has regularly spoken on various securitisation-related topics, and contributes to articles in various publications. His teaching activities include being a tutor on the “Postgraduate Diploma in Securitisation” course at the Dublin Institute of Technology
Bruce Gaitskell
Bruce is Managing Director of Capital Consultants (UK) which undertakes corporate finance assignments and designs new financial products, most recently the UK local authority mortgage indemnity scheme launched in March of this year. Bruce was the transaction manager for Europe’s first securitisation transaction back in 1987. Having commenced his structured finance career on the Issuer side he moved into lead management having been European Head of Securitisation for each of UBS Limited, Daiwa Securities, Sakura International and National Australia Bank. He has been responsible for transactions in Europe, Japan and Malaysia.
Over the past ten years Bruce has been a leading trainer and consultant in structured finance across five continents and an acknowledged authority on the development of the credit crisis and what went wrong with certain types of structured finance transactions.

Overview - Day One - 28th February 2012
Auto ABS and RMBS
Securitisation and Market Overview
• Interesting times in securitisation!
• What drives the market?
• Risk and tranching
• The market now – which asset classes are hot
• Mini Case study: Economic rationale for securitisation
This section is an overview of why and how securitisation is done, and an overview of the market

Auto ABS
• The car cycle
• Loan origination
• Loans & Leases
• Structural features of auto loan deals
• Rating & modelling
• Case study: working in groups, analyse the strengths and weaknesses of an Auto ABS transaction
This section covers the current Auto ABS market, and the main features of these transactions

Residential Mortgage-Backed Securities (Two Sessions)
• RMBS as an asset class
• What drives the market?
• RMBS vs covered bonds
• Structuring & rating RMBS
• Quantitative & qualitative due diligence
• Structuring – structural features
• Rating: inputs to the model/how the model works
• Case study: working in groups, analyse the strengths and weaknesses of an RMBS transaction
This double session deals with RMBS, by far the largest asset class, one which will feature in most investors’ portfolios.

Overview - Day Two - 29th February 2012
CMBS
CMBS Background
• Residential & Commercial similar but radically different performance and drivers
• CMBS as an asset class
• Market drivers
• Structuring & rating CMBS
This section is an overview of the CMBS market, and the structural features of transactions

CMBS: The Market Now
• CMBS pre-crisis
• What went wrong and why
• What actions have been taken to address problems
• Structural features
• Rating & modelling
• Case study: working in groups, analyse the strengths and weaknesses of a CMBS transaction
This session deals with what happened to CMBS as a result of the credit crisis, and what steps have been taken to
address problems.

Guest speakers:
Special Servicing
Solveig Loretz, Founder and Principal, SOLO & Partners. Solveig has restructured and advised on distressed European CMBS
Legal and taxation
Guest Speaker: Jayne Black, Partner, Banking & Capital Markets, Berwin Leighton Paisner, who has practical
experience of restructuring troubled European CMBS

CMBS Market outlook
• Summary of recent events and actions
• Discussion of the prospects for the CMBS market
• Is CMBS a good investment?

Review and Questions

Who should attend?
People from:
• Banks and insurers which are, or are considering, funding via ABS
• Lawyers, accountants, trustees and other professionals involved with ABS
• Companies which fund, or might fund, via ABS
• Pension funds, insurers and other investors

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