MPAcc学术讲座第六讲

“The Challenge of the Securitizing and Structuring on Collateralized Debt Obligations Products  in Structure Finance in Practice”

[资产信贷证券化在实践中的问题和挑战]

By Dr. George X. Yuan (袁先智)

Energy and Finance Risk Management in the Practice

[金融和能源风险管理部Director]

美国KPMG(毕马威)财务审计公司

 

 

The Abstract: In this talk, I will discuss the general challenge in the securitizing and structuring on collateralized Bond/Debt obligation products in structure finance (资产信贷证券化) with the emphasis in establishing the general framework for financial reports by applying proper accounting standard (资产证券化会计核心问题) from the regulatory side (政府和交易监控管理规章制度), associated with Legal structure (证券化的合法架构),  Taxation of securitization transactions (证券化交易的税收), financial valuation(证券化交易的金融评估). In particular, I will discuss the motivations of securitization and applications (激励机制和 证券化应用) in the practice. Finally I may discuss some the valuations issues for securitization products when time is permitted.

The key outline of my proposed talk is as follows:

1) Introduction: From the Primary to the Secondary Market (e.g., the Prepayment Risk to Credit Risk Management)

·        The Securitization and Structuring

·        Introduction on the Special-Purpose Entities/Vehicles (SPEs/SPVs)

·        Accounting Treatment of SPEs in the Practice (to Hide Debt)

2) The Issuer’s Motivations: Legal, Accounting and Tax Considerations

·        The Major Drivers for Securitization

·        The Motivation of Sponsors

·        The Challenge of Financial Report by applying Fair value concept in Asset side via the Traditional Amortized cost in Liability Side

3) The Originating Process (or say, how to organize) for “Securitization Credit Derivatives Markets in the practice

·        How to Create SPE (SPV)

·        Securitizations Setup and Operation in Processing Transactions

·        In Originating CDO by Enhancing Credit Rating!

·        Example of CDO Capital Structure

4) How to exposure/report Securitization Credit Derivatives’ Risk in the Practice

·        Accounting Difficulty with SPEs

·        Legal Issues on the Definition of Bankruptcy  in Securitizations Market of China

5) Accounting Treatment of SPEs in the Practice(财务金融案例分析)

·        Case Study 1 (案例分析1): Enron’s Practice in CDO for its Bankruptcy

i) The Accounting Rule Change on CDO after Enron’s Bankruptcy

ii) The Model the Expected Loss of SPEs CDO in the Practice

·        Case Study 2 (案例分析2): How to Issue/Create Securitization Credit Derivatives in the Practice

           i) How to Exposure/Report Securitization Credit Derivatives

ii)  Primary Beneficiary of a Variable Interest Entity on CDO/CBO Example (based on the Expected Loss)

6)       Brief Discussion on the Valuations of Securitization in the Practice.

i)                     The Market Risk

ii)                   Credit Risk

iii)                  Put together

 

时间：2007年3月18日（周日）18：00-20：00

地点：管理学院善衡堂S221室

 

欢迎各位老师与同学参与交流！

 

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