Cash Flow Modelling For Securitisation - SME Loans

Review of Securitisation of SME Loans (1 hour theory)

The purpose of this module is to introduce the delegates to the securitisation issues that surround SME loans. The course module will go through the theory of what is required and how this can be achieved. I will use a recent case study from the Far East that serves as a perfect example of how typical securitisations of SME loans deal specifically with certain issues.

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Mapping Bank Loans on to a Rating Based System (2 hours – Theory & Practical) 

This module looks at how the rating agencies deal with asset pools that are not in receipt of formal ratings. As all the rating agencies use ratings as a measure of default probability, the module looks at the different alternatives that are used from shadow rating, mapping from loss based systems and extrapolating from partial ratings. The practical session uses a portfolio of CDO assets where only a portion have a formal rating and then using Standard & Poor’s 3 stage mapping (i) mean (ii) variance and  (iii) sample adjustment, derive the ratings on the unrated portion of the portfolio.

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