Modeling and Structuring Securitisation and Sukuks 4 - 5 November 2009 Modeling and Structuring Securitisation and Sukuks Highlights • 100% Practical, Excel Based Course • From basics of Securitisation to learning the key elements of modelling and modelling of Real Life Transactions. • Looking into the Investor’s perspective of Securitisation as well. • Hand-hold the participants to build the excel models and provide transparent understanding of Securitisation; relevant and practical. For whom • • • • • • Structured Finance Executives Securitisation and sukuk Professionals Capital Market Practitioners Islamic finance practitioners and investors Head of Business Divisions in any Industry Derivatives experts who want to transfer into Securitisation Course Outline DAY 1 Session 1 • Overview of securitisation: securitisation and corporate finance • Key principles of securitisation: • Isolation of assets • Self-liquidating transaction nature • Leverage features • • • • • Securitisation and cost of funding Key motivations in securitisation Limitations of securitisation Securitisation and investor experience so far Sukuk structures – types of sukuks and how it qualifies as an Islamic finance instrument Session 2 • • • • The cash-flow model of a simple pass through transaction Impact of the pass through nature on the payback pattern for investors Impact of defaults, delays and prepayments Introducing cash re-investments and other asset liability mismatches; impact thereof on the transaction economics • The disparity in seller and investor concerns: value of residual interest, weighted average cost of the transaction and the duration and investor returns • Time tranching of liabilities and impact thereof • Impact of different forms of credit enhancement and selecting the ideal mix Session 3 • • • • • • Prepayment rates and default rates as a function of time and seasoning Determination of prepayment and default rates from historical data Stress-testing of the key variables determining the stress levels Rating agencies’ approach to rating reduction the tail risk Understanding prepayment as a function of interest rates. Building interest rate sensitivity to the model Session 4 • Sizing of credit enhancements on retail pools • Computation of expected losses • Application of beta distribution on the parameters and working out required confidence levels of credit enhancement • Nature of credit enhancements in sukuks • Structuring and cashflow modeling for sukuks DAY 2 Session 5 • • • • Testing the risk of wholesale portfolios Binomial distributions and Poisson distributions Applying binomial and Monte Carlo approaches to probability of default Modeling of a CDO portfolio Session 6 • Modeling of a real life RMBS transaction • Modeling of a revolving transaction structure: • Credit cards • Consumer finance transactions • Modeling for ijara loans with a sukuk structure Session 7 • • • • Investor analytics Relevance of the duration and weighted average maturity Impact of prepayment rate on investor returns Understanding the implicit callability feature and computation of the option- adjusted spread Session 8 Modeling of a future flow transaction • Essential differences between the transaction structure and volatilities of a future flows transaction • Modeling the future flows based on Weiner distributions • Projecting future flows, cashflows and analyzing the risk of future flows transactions • Applying simulation techniques to future flows transactions • Structuring of sukuks based on murbaha structure Session 9 • • • • • Modeling of CMBS transactions CMBS transactions as loans against value of properties Relevance of LTV and D/I ratios in CMBS funding Modeling property incomes and CMBS repayment Understanding of refinancing risks ABOUT THE FACULTY : VINOD KOTHARI QUALIFICATIONS: • Chartered Accountant • Company Secretary ACHIEVEMENTS: Internationally recognised as author, trainer and consultant on specialised financial subjects, viz., securitisation, credit derivatives, accounting for financial instruments, etc.. As such, he lectures all over the world. The locations where he has lectured on these subjects include New York, Washington, London, Milan, Frankfurt, Luxembourg, Singapore, Hong Kong, Sydney, Colombia (South America), South Africa, Malaysia, Jordan, Dubai, Kuwait, Turkey, Egypt, Sri Lanka, Bangladesh, etc. A member of the consulting team of the Asian Development Bank to advise the Govt of India on (a) security interest laws in India; (b) reducing the burden of the judiciary under sec. 138. AUTHOR OF BOOKS: • Lease Financing and Hire purchase (4th edition, 1996), published by Wadhwa & Company • Securitisation: The Financial Instrument of the Future, 3rd edition 2006 has been published by Wiley Finance Singapore and is sold all over the world. • Credit Derivatives and Structured Credit Trading, 2nd edition forthcoming soon from Wiley, Singapore • Securitisation, Asset Reconstruction and Enforcement of Security Interests, 2003, second edition 2007, published by Wadhwa and Company • Introduction to Securitization, co-author with Frank Fabozzi, published by Wiley, USA • Author of 3 Chapters in Handbook of Finance, (editor Frank Fabozzi), published by Wiley, USA LECTURING : • Regular speaker at professional institutes • Visiting faculty at Indian Institute of Management, Joka, Calcutta for several years, teaching a full fledged course for the final year students on Structured Finance and Taxation. Over 125 students sign up of the course every year. • Visiting faculty at the National University of Juridical Sciences POSITIONS • Vinod Kothari is the Director of Association of Leasing and Financial Services Cos., a body of over 500 top leasing companies in India and is editor of its Newsletter Fin-n-lease. • Vinod Kothari is the former Chairman of the Institute of Company Secretatries of India. • Vinod Kothari is the Executive Director of the Asian Securitisation Forum • Vinod Kothari is independent director in several listed public companies. AWARDS In 1987, a voluntary organisation of Calcutta chose him as the Outstanding Young Person of Calcutta in the field of Finance and Taxation. Vinod Kothari won several academic awards. Fees BD 300 for levy payers BD 400 for non-levy payers Duration 2 days (4-5 November 2009) Timing 8:00 am – 4:00 pm Venue BIBF, Kingdom of Bahrain Contacts The Re g i s t r a r Tel: (+ 9 7 3 ) 1 7 8 1 5 5 5 5 / 1 7 8 1 5 5 1 8 Fax: (+ 9 7 3 ) 1 7 7 2 9 9 2 8 / 1 7 9 1 6 4 4 4 Email : i n f o d e s k @ b i b f . c o m We b s i t e : w w w. b i b f . c o m Modeling and Structuring Securitisation and Sukuks R e g istration F orm Duration: 2 days ( 4 - 5 November 2009 ) Venue: Bibf, Kingdom of Bahrain Fees: BD 300 for levy payers, BD 400 BD for non-levy payers Organization Sponsored Name of the participant (s): Self Sponsored 1. (Mr/Mrs/Ms):________________________________________________________________ First Name Middle Name Last Name ___________________________________________________________________________ Position Department Nationality Tel Email 2. (Mr/Mrs/Ms):________________________________________________________________ First Name Middle Name Last Name ___________________________________________________________________________ Position Department Nationality Tel Email 3. (Mr/Mrs/Ms):________________________________________________________________ First Name Middle Name Last Name ___________________________________________________________________________ Position Department Nationality Tel Email Contact Person (Mr/Mrs/Ms):__________________________________________________________________ First Name Middle Name Last Name Position:_ _______________________________ Department:_ __________________________ ______________________________________ Organization:_____________________________ Nationality:____________________________ Address:_ ____________________________________________________________________ Telephone:__________________ Fax:_________________Email:__________________________ Signature & Stamp:_ _______________________________ Date:__________________________ ______________________________________________ Methods of Payment 1. 2. Please find enclosed a cheque for________________________________ made payable to BIBF Please debit my credit card: Visa MasterCard Card No:_ ______________________________ Expiry date:______________________________ Cardholder’s name:________________________ Signature:_______________________________ Please forward this form together with course fee to: The Registrar The Bahrain Institute of Banking & Finance – BIBF P.O. Box 20525, Manama, Kingdom of Bahrain. Tel: +973 17815555 / 17815518 Fax: +973 17729928 /17916420/17916444 E-mail: [email protected] Website: www.bibf.com IMPORTANT NOTICE: All courses are subject to demand. The Institute reserves the right to cancel or postpone courses at short notice at no loss or liability where, in its absolute discretion, it deems this necessary. CANCELLATION AND REFUND OF FEES: In the case of cancellations by delegates, fees will only be refunded if a written notice of cancellation is received by the Institute not less than two weeks prior to the commencement of the course/ program in question. Course/program fees already paid or invoiced may not be refunded and invoices will be due and payable. Substitute delegates are permitted. VISA PROCEDURES: GCC nationals and residents do not require a visa for the Kingdom of Bahrain. All others should have an entry visa, which BIBF can arrange. Should you wish that the Institute obtains an entry visa for you, please mail or Fax (+973 17 916402) our Information Desk, a copy of your passport at least 15 days prior to the course/program starting date. Visa costs will be charged to the participant. ACCOMMODATION & TRANSPORTATION: Hotel accommodation and transportation costs are the participant's own responsibility. Should you wish that the Institute arrange accommodation for you, please Fax (+973 17 916402) our Information Desk or Email [email protected] for assistance. Background of BIBF BIBF is a leading professional training Institute in Bahrain and the Gulf Region. It was founded in 1981 to provide essential training for the banking community in Bahrain. Since then it has evolved into an internationally recognised training and development organisation where over 100,000 students have attended courses since its inception. In 2006, more than 13,000 participants attended BIBF programs resulting in approximately 400,000 participant hours. Thirty percent of these participants were from outside Bahrain. BIBF now offers courses in most major business disciplines including Insurance, Management, Professional Studies and Banking. Most of these courses are accredited by top business school partners of BIBF in Europe and the United States including Darden Graduate School of Business Administration (University of Virginia), DePaul University, Bentley College, Cambridge University and Wales University. In addition, BIBF offers preparatory courses in most major professional designations including but not limited to CFA, CPA, CMA, CIA, ACII, FRM. CENTER FOR ACCOUNTING & IT Accounting, Finance and IT courses have been offered by BIBF for many years. The Newly created (January 2008) Center for Accounting & IT offers courses in Accounting, Finance and IT, using certificated, academically and professionally qualified accountants, finance and IT specialists. The Center is working hard to ensure that the courses offered are based on the most up-to-date practices in its areas of expertise – Accounting, Finance and IT.
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