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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
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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
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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
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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
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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
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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
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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
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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
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Please find enclosed a cheque for________________________________ made payable to BIBF
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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.