Structuring and Modelling for Dutch RMBS (Amsterdam 29-31 January, 2018)

This three-day core course in  Dutch RMBS securitization offers delegates the opportunity to gain confidence in understanding, stressing and programming their own RMBS cash flow models.

The course begins by offering a primer on the building blocks of RMBS as they relate to structures. The course then develops the delegates understanding into the rating agencies’ programming requirements and outputs (“first dollar loss” vs “expected loss”).

Lastly, by examining the offering circular, pre-sale and investor reports from the Dutch RMBS Areana 2014-1, the delegates will reverse engineer a rating agency compliant cash flow Excel programme for the purpose of calculating the capital structure. The case study has been selected to take account of the new swapless structures being develpoed for the Dutch securitisation market.

EUR 2,500 plus VAT (where applicable)

Structuring and Modelling for Auto ABS with Residual Value Risk
(Frankfurt 21-22 February, 2018 & London 8-9 November, 2018)

This two-day core course in Auto-ABS  with Residual Value risk securitization offers delegates the opportunity to gain confidence in understanding and programming their own Auto-ABS cash flow models. The course begins by offering a primer on the building blocks of Auto-ABS as they relate to structures. The course then develops the delegates understanding into the rating agencies’ programming requirements and outputs (“first dollar loss” vs “expected loss”). Lastly, by examining the offering circular, pre-sale and investor reports from DRIVER UK five, the delegates will reverse engineer a rating agency compliant cash flow Excel programme for the purpose of calculating the capital structure

EURO 1,750 plus VAT (where applicable)

Credit Risk Portfolio Modelling (Frankfurt 9-10 April, 2018)
Course Director: Dr. Brian O'Kelly

Creative Capital Partners are proud to bring on board one of the most respected experts in credit risk and portfolio management. This two-day course in credit risk modeling offers delegates the opportunity to understand this vital area.

A robust credit portfolio model is a necessity for any organisation acquiring credit-risk assets. Understanding how each credit contributes to the risk of the overall portfolio is a central component of the investment decision

Assessing the risk of credit portfolios is a key challenge facing banks, funds, insurers and pension funds investing in credit-risk assets. This course will address the major issues confronting those charged with modelling credit portfolio risks:

  • The key elements of credit risk: probability of default, loss given default and exposure at default.
  • The impact of correlation on the shape of the credit portfolio loss distribution
  • Measuring the effect of concentrations in a credit portfolio
  • Assessing the risk of a borrower guaranteed by another entity
  • How Basel II and Basel III assess the credit risk of retail, corporate and bank loan portfolios
  • Determining the capital required to achieve a desired credit rating for debt
  • Measuring and pricing the credit risk of structured debt

GBP 1750 plus VAT (where applicable)

Structuring and Modelling for South African RMBS (Cape Town 21-23 May, 2018)

This three-day core course in RMBS securitization offers delegates the opportunity to gain confidence in understanding, stressing and programming their own RMBS cash flow models.

The course begins by offering a primer on the building blocks of RMBS as they relate to structures. The course then develops the delegates understanding into the rating agencies’ programming requirements and outputs (“first dollar loss” vs “expected loss”).

Lastly, by examining the offering circular, pre-sale and investor reports from a recent South African RMBS, the delegates will reverse engineer a rating agency compliant cash flow Excel programme for the purpose of calculating the capital structure.

EURO 1,500 plus VAT (where applicable)

Structuring and Modelling for European SME ABS (Amsterdam 20-21 September, 2018)

This two-day core course in SME ABS securitization offers delegates the opportunity to gain confidence in understanding and programming their own ABS cash flow models. The course begins by offering a primer on the building blocks of ABS as they relate to structures. It then then develops the delegates understanding into the rating agencies’ programming requirements and outputs (“first dollar loss” vs “expected loss”).

Lastly, by examining the offering circular, pre-sale and investor reports from a 2015 European SME ABS, the delegates will learn how to reverse engineer and structure a cash flow Excel programme for the purpose of calculating the different tranche thickness in the capital structure.

This programme will teach you how to become the complete securitization professional with the soup-to nuts agenda covering structuring and modelling Atlantes SME No.5.

  • Understanding how the major rating agencies derive credit enhancement levels.
  • Use of balanced interest rate swaps and principal deficiency ledgers.
  • Optimizing capital structures through tranching
  • How obligor, industry and geographic pool concentrations augment credit enhancement levels
  • Building zero prepayment/zero default amortization curves from the offering circular

Reverse engineering a 201 5 rating agency compliant SME ABS cash flow model from the offering circular and rating agencies’ pre-sale reports of a European ABS backed by SME loans

EURO 1,750 plus VAT (where applicable)

Structuring and Modelling for UK & EMEA RMBS (London 8-10 October, 2018)

This three-day core course in RMBS securitization offers delegates the opportunity to gain confidence in understanding, stressing and programming their own RMBS cash flow models.

The course begins by offering a primer on the building blocks of RMBS as they relate to structures. The course then develops the delegates understanding into the rating agencies’ programming requirements and outputs (“first dollar loss” vs “expected loss”).

Lastly, by examining the offering circular, pre-sale and investor reports from a recent UK
RMBS, the delegates will reverse engineer a rating agency compliant cash flow Excel programme for the purpose of calculating the capital structure.

GBP 2,250 plus VAT (where applicable)

Understanding and Structuring CLOs for Issuers and Investors (London 26-28 November, 2018)

This three-day core course in CLOs securitization offers delegates the opportunity to gain confidence to understand and program their own CLO cash flow models.

The course begins by offering a primer on the building blocks of CLO as they relate to structures. The course then develops the delegates understanding into the rating agencies’ programming requirements and outputs (“first dollar loss” vs “expected loss”). Lastly, by examining the offering circular, pre-sale and investor reports from a recent CLO, the delegates will reverse engineer a rating agency compliant cash flow Excel programme for the purpose of calculating the capital structure

For Moody’s the tranche rating will be based on a combination of the WAL of the tranche and the calculated expected loss. The delegates will examine how this are detailed against a range of 30 default and interest rate scenarios and what are the permissible deviations for different tranche ratings. In the case of Standard & Poor’s, each of the many scenarios will give rise to a Break Even Default (BDR) rate. These are compared to the Scenario Default Rate (SDR) for each tranche and, depending on the tranche rating, the permissible percentile where the BDR is lower than its SDR equivalent

This programme will teach you how to become the complete securitization professional with the soup-to nuts agenda covering structuring and modelling a Leverage Loan CLO – Jubilee CLO XVI

  • Using CDO Evaluator to derive SDR for different tranche ratings
  • Using the Binomial Expansion Technique for diverse portfolios of heterogeneous assets.
  • How to “mark-to-model” illiquid tranches in the secondary market.
  • Examining Standard & Poor’s & Moody’s EMEA Cashflow Modelling requirements
  • Using Excel VBA to construct User Defined Functions for Interest Coverage Tests
  • Reverse engineering a Leveraged Loan CLO cash flow model from the offering circular and rating agencies’ pre-sale reports of a recent CLO issue.

GBP 2,500 plus VAT (where applicable)

Understanding and Structuring Reverse Mortgage  (London 10-11, 2018)

Coming soon - Brand new course covering the securitisation of this new and forthcoming asset class. Looking at Moody's, Fitch, DBRS and Standard & Poor's rating approach.

WORLD LEADERS IN SECURITISATION TRAINING

For over 17 years Creative Capital Partners have been the recognized 'go-to' organisation for securitisation training programs for both in house and public courses. We have trained securitisation and credit professionals from practically every major bank and financial institution in European securitisation.

Our courses take place all over the world including Europe, Asia, the US and Africa. Moreover, we have received the coveted 'excellent' scores from over 90% of our delegates.

ASSET CLASSES COVERED

We are continually updating our course material to ensure coverage of the most relevant asset classes including RMBS, CLOs, Auto ABS, ABS backed by SMEs as well as General Credit Enhancement. They have been developed specifically for the 'international' securitisation market based on the current criteria of the 'big three' rating agencies.

CASE STUDIES

Particular care is taken to ensure only the most 'up-to-date case studies are used. Thus ensuring that, where possible, the latest technology is available to all the delegates.

If you would like to attend any of the above courses on an alternative date, please leave your contact details below with a description of which courses are of interest to you and your preferred timing.

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