Cash Flow Modelling For Securitisation - CMBS
UK CMBS Criteria (1 hour Theory/2 Hours Practical)
The CMBS market is
somewhat complicated by the different approaches used by the rating
agencies not only within their own organisations but among themselves. The
module aims to cover Standard & Poor’s approach to UK CMBS and how
this can be applied using some of the concepts that have been seen in the
RMBS arena. As an aside, the practical looks at the securitisation of
rental receipts (not the property values) from a portfolio of
Click here to view PDF of PowerPoint slide
Fitch’s Rating Performing Loan Pools (2 Hours Theory/2 Hours Practical)
Whilst there is a paucity of written material from the rating agencies on the quantitative aspects of CMBS, the Fitch research piece comes closest to being the definitive piece. The theory part look at how the default probability and loss severity can be calculated for a pool of unrated bank loans using net cash flows and calculated loan to values. The practical session will show how using the data from a pool of unrated loans, it is possible to derive adjusted DSCRs and calculated valuation from stressed capitalisation rates.