Key structuring tools:

• Tranching
• Credit enhancement
• 1st loss risk absorption
• Insurance
• Over-collateralisation
• Excess spread
• Seasoning of assets
• Asset selection
• Liquidity facilities

The original securitisations - RMBS and secured loan structures - covered bonds

Whole business securitisations

Rationale for securitisation

• Risk transfer and risk management - the bank perspective
• Bank regulatory capital - a key driver, costs of capital implications
• The use of special purpose vehicles and the accounting implications of off- balance sheet finance
• The impact of IAS 39 and bringing assets 'on balance sheet'
• The power of diversification and tranching of risk to meet investor objectives
• Investor base - what drives bond buyers? - investment grade

Ratings, tranching and the rating agencies' approach

• What do ratings mean? - default rates, PD, EDF and loss given default
• How do agencies rate securitisations?
• Building a simple portfolio model
• Alternative portfolio strategies
• Tranching a simple securitisation structure
• The yield curve, rating fair value curves and the swap curve
• Yield curve shape - theory and investor preference
• Duration and its importance to investors - structuring to meet investor requirements, amortisation and "soft bullets"

Derivative based and other securitisation structures

• Revolving securitisation programmes, asset backed CP
• CDOs of CDOs - CDO squared
• Derivative based securitisation
• Synthetic CDOs