- An Overview of the Asset-backed Securities
Market
- The concept of asset-backed securities
- Why asset-backed securities exist
- Market participants and their roles
- The standard templates for asset-backed
securities
- Common Types of Asset-backed Securities
- Credit card receivable asset-backed securities
- Auto loan asset-backed securities
- Residential mortgage-backed securities
- Commercial mortgage-backed securities
- Credit-linked notes (CLNs)
- Collateralised loan obligations (CLOs)
- Collateralised bond obligations (CBOs)
- The Rating of Asset-backed Securities
The role of the rating agencies is critical
in the world of asset-backed securities because
most of the institutions that invest in asset-backed
rely very heavily on ratings when making their
investment choices.
- Rating criteria used by the agencies
- Defining the collateral pool, calculating
the weighted average rating factor and diversity
score
- Constructing the waterfall and defining
the credit enhancement
- Changes to the collateral credit rating
and the impact on the credit rating of the
ABS
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- Asset-backed Securities, Returns and Capital
Utilisation
One of the biggest driving factors in the growth
of the asset-backed security market is reduction
of capital utilisation.
- How banks are required to calculate capital
for credit risk purposes under the existing
BIS Capital adequacy directive and how this
will change under the proposed Basel II
arrangements
- Regulatory and economic capital calculations
as related to asset-backed securities
- From the Collateral Pool to the Asset-backed
Security
- Cash structures
- Partially-funded structures
- Synthetic structures
- Tranched notes
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