Structured Finance Fundamentals

Course objectives

  • Understand the techniques of asset finance and securitisation transactions

  • Understand the current structured finance market environment

  • Gain knowledge on risk analysis methods applied by banks and rating agencies

Introduction: Case study showing the securitisation of a bank's mortgage portfolio (MBS)

Structured Finance - securitisation: what it is and what it is not? Comparing with corporate finance and plain vanilla financing

Why have structured products been so popular on the financial markets since the 1990's? What has been their impact on the financial crisis?

What are the main objectives pursued by issuers of securitisation vehicles?

  • Balance sheet management. Solvency regulation's pressure
  • Direct access to the financial markets (disintermediation)
  • Cost aspects

Structuring in's and out's. The main market players and their functions in a securitisation vehicle:

  • Originator,
  • Issuer : the SPC and its parent company (trust, charity fund)
  • Credit enhancer
  • Commercial banks as arranger, underwriter, trustee, credit servicer, stand L/C bank, placing agent
  • Mono-line insurers
  • Swap providers
  • Investors

Legal and accountancy issues when structuring a securitisation deal.

The « bankruptcy remote » and « true sale » principles

Overview of the main types of securitisation: ABS, MBS, RMBS, CDO, CLO's

Credit enhancement, main instruments :

  • Over - collateralisation
  • Mono-line insurance
  • Stand-by L/C's

Subordination principles: IIPP and IPIP schemes

Risk management: analysing and rating a securitisation program

Case Study : Looking at Standard & Poor's methodology when rating an ABS vehicle

Regulation and key legislation on securitisation in Europe. Special focus on the French legal framework of FFC and FCT

Case Study

Conclusion: Where and how is the securitisation market nowadays? Looking at the current recovery and the main market players in Europe

Sylvaine Chubert

Sylvaine Chubert

Sylvaine has made much of her professional career in major banking groups (ING, Rabobank, BNP Paribas) where she performed commercial and risk management operations of Corporate, Trade Finance and Real Estate Project Finance. Sincemore than 10 years, she is also a visiting professor at the University of Paris Dauphine where she teaches in the Structured Finance Banking to the Finance Insurance Masters. Today she intervenes as a trainer and consultant to banks and large exporters.

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