Product details

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Published by: International Institute for Management Development (IMD)
Originally published in: 2008
Version: 27.05.2008
Length: 20 pages
Data source: Published sources

Abstract

The objective of the case is to discuss the development of asset-backed securities and collateralised debt obligations (CDO). Securitisation has been a way to remove assets to shrink the bank's balance sheet, as well as regulatory and economic capital. A special purpose vehicle (SPV) which was bankruptcy-remote was formed to acquire debt securities or bank loans. The debts were then repackaged, stratified and sold to investors. Synthetic securitisation did not require a true sale of assets. Instead, a sponsor bank merely transferred the credit exposure to counterparty through a derivative agreement and the assets were still kept on the balance sheet.
Location:
Industry:
Size:
170,000 employees
Other setting(s):
2005

About

Abstract

The objective of the case is to discuss the development of asset-backed securities and collateralised debt obligations (CDO). Securitisation has been a way to remove assets to shrink the bank's balance sheet, as well as regulatory and economic capital. A special purpose vehicle (SPV) which was bankruptcy-remote was formed to acquire debt securities or bank loans. The debts were then repackaged, stratified and sold to investors. Synthetic securitisation did not require a true sale of assets. Instead, a sponsor bank merely transferred the credit exposure to counterparty through a derivative agreement and the assets were still kept on the balance sheet.

Settings

Location:
Industry:
Size:
170,000 employees
Other setting(s):
2005

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