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Structured Finance
Stern Executive MBA Program

Stern School of Business, New York University


Prof. Ian Giddy passed away on June 14th 2009. He is deeply mourned by his wife, Jenny O'Grady Giddy and his family and friends. He will be greatly missed by all those who knew him in the world of Finance. A visionary who founded two nature reserves, Cloudbridge in Costa Rica, and Wildcliff in South Africa, he influenced the lives of many young researchers, and his legacy will live on in the forests and mountains where he loved to hike.


Goals
Structured Finance is the design of debt, equity and hybrid financing techniques in order to resolve particular issuer or investor problems that cannot be solved by conventional methods. This course will be taught around five major topics employing in-depth group work on case studies and deal documentation. The focus will be on identifying situations that call for nonstandard corporate finance solutions, and the design and pricing of the situation-specific financing instruments. Examples of such situations include stress-induced financial restructuring, recapitalizations, leveraged financings, and arbitrage-driven hybrid notes.


Instructor
Prof. Ian Giddy is a graduate of the University of Michigan (MBA 1972, PhD 1974) and the University of the Witwatersrand (BSc 1970). He has taught finance at NYU, Columbia, Wharton, Chicago and lectured in 45+ countries abroad during the past thirty years. He was Director of International Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989 and has been a consultant to numerous companies and banks. He is the author or co-author of many articles and books, including The Handbook of International Finance, The International Money Market, Cases in International Finance, Global Financial Markets, Asset Securitization in Asia and The Hudson River Watertrail Guide.

Pedagogy
The course employs cases and problems as well as classroom lectures and discussions, and "live case studies" to offer a hands-on learning experience. We will make use of international as well as domestic examples. Each student will be expected to prepare thoroughly and to participate actively in class discussion. Material covered in the assigned readings will generally not be repeated in class. Rather, class time will be devoted to lecture and case discussion, applying the material covered in the readings.

The Course on the Internet
We will make use of the Internet for resource material and communication. Indeed this course outline itself will evolve: the definitive version is the Web site at pages.stern.nyu.edu/~igiddy/structured-emba.html. In addition, assignments and grades will be available on Blackboard.


Textbook
Introduction to Structured Finance ("ISF") by Frank J. Fabozzi, Henry A. Davis, and Moorad Choudhry. Additional readings may be downloaded from the links in the course outline below. More articles and applications could be added after the course gets underway.

Pre-Course Reading
1. Introduction to Structured Finance (ISF), Ch 1 & 2
2. Hybrid Instruments

Grading
The course grade will be based on class participation, group work, written assignments and a final exam. The distribution of grades may be found on
Blackboard.

Additional Resources
The Wall Street Journal and the London Financial Times provide the most comprehensive daily coverage of financing news. Other key resources for structured finance include Structured Products, the Journal of Applied Corporate Finance and Euromoney magazine.

Try the following Web sites:


Structured Finance - EMBA

Date 

Topics 

Readings

Assignments

Slides

May 1
1

Introduction to structured finance.

Market update
Hybrid Instruments
In-class work on "A Day in the Life"
Bavaria Bank MTN

sf-intro
May 2
2
Structured investment products ISF Ch 10
Structured Notes


Endesa; DBS Pens; Warrant Bonds; Lyons;
Equity Index Note;
Oil-Linked Notes
sf-equity
May 15

3

Design and pricing of convertible and hybrid capital

Convertibles

Convertible Preferred
Moodys on Hybrids

Songa Convertible
Sealed Air Convertible
US Bancorp Hybrid
Lottomatica

sf-hybrids
May 16
4
ABS and CDOs: ratings and credit enhancement ISF Ch 4 & 5
ISF Ch 6
Rating CDOs

Ford Credit Auto Owner Trust
Chase Credit Card ABS
KKR's LBO CDO
A CDO from Scratch

sf-abs
May 29
5
Credit swaps, credit-linked notes, and related instruments ISF Ch 3, 7 & 9 CDS Sample Termsheet
Bespoke Synthetic CLO
Assignment: Magnolia Finance

sf-cds
May 30
6
Mezzanine finance Mezzanine Finance 1 & 2
Second Lien Loans
Second Lien and PIK
Woodstream's Mezz and
Termsheet

sf-mezz
June 1-11

Final Exam Sample Final On-line Final is on Blackboard 

Additional resources:

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Copyright 2009 Ian Giddy. All rights reserved