Structuring and Modelling for Auto ABS with Residual Value Risk (Email for Dates)

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 2018 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)

Credit Risk Portfolio Modelling (Email for Dates)

Brand New Course Presented by 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)

Introduction to Securitisation (Email for Dates)

Brand New Course for 2020

In response to requests, we are going to bring our ‘in house’ course to the public domain. The course is aimed at both non-securitisation professionals as well as those professionals just embarking on their securitisation career.

Over the three days, the delegates will be introduced to the basic tenets of securitisation starting with a ‘securitisation primer’. The primer examines the evolution of securitisation in the 1970s, through its introduction into the European markets in the 1980s - until the current post crisis situation. It also examines the three securitisation areas which gave rise to the 2008 financial crisis.

During the course, the delegates will be provided with a detailed overview to the major asset classes and the methods employed by the rating agencies to size the credit enhancement. Many, if not most of the modules, will include the use of Excel models allowing the delegates to test the concepts. These will include:

  • European RMBS - this module will explore the relationship between the quality of the collateral and the capital structure using classic measures of risk such as WAFF and WARR. Moreover, the delegates will recognize the requirement for external forms of liquidity for lower yielding assets subjected to extreme stresses.

  • Consumer ABS - using a recent Nordic consumer finance ABS. The delegates will be taken through the rating agency analysis on how to convert the the static default/loss curves into ‘normalised’ gross default rates as well as stressing the recovery rates. Two rating agencies are compared and the delegates are provided with the background on how markedly different credit enhancement numbers were arrived at. Lastly, using an Excel model we quantify the ‘excess spread’ contribution from the assets and how this can reduce the level of subordination.

  • Construction of Static Pool Loss Curves - using 12 years of ’dummy data’ from a hypothetical originator and Excel’s excellent PivotTable feature the delegates will be shown how to construct a static loss analysis for different cohorts (annual/quarterly/monthly originations). Moreover, they will be shown how to construct ‘time to default’ and ‘exposure at default’ for the different vintages.

  • ABS backed by SME Receivables - this asset class typically falls between two stools in that the rating agencies view it as a hybrid between consumer ABS and CLOs. The latter descriptive means that for the likes of Standard & Poor’s a proxy rating must be achieved for the various bank scores in the underlying portfolio so that it can be used in conjunction with CDO Evaluator.

  • Balance Sheet Structures through Public Credit Linked Notes - with the advent of STS regulation for synthetic securitisation, many participants are revisiting some of the pre-crisis credit linked notes structures. Using an Excel cash flow model, the delegated will review a structure designed to release regulatory capital tied up in CHF 4,8 billion reference portfolio of corporate loans given over to European SME borrowers .

  • Trade Receivable Securitisation - whether it be term finance or ABCP, the key elements of trade receivable securitisation is to calculate the different dynamic reserves (loss reserve, dilution reserve and carrying costs reserve). The delegates will be supplied with an Excel workbook that transforms the default and dilution ratios into their respective reserve sizes.

  • Credit Card Securitisation - the asset class most widely associated with master trusts. Moreover the short term nature of the receivables means that the regulated and rapid amortisation periods must be set at the appropriate trigger levels whilst preserving the regulatory treatment of the transaction. Delegates will also be shown how the rating agencies stress the monthly payment rate, the charge-offs and the gross yield.

  • NPL Securitisation - As the European banks restructure their balance sheets, the need to ‘clean-up’ their non-performing loan portfolios becomes more urgent. With the exceptions of arbitrage CLOs, which are actively managed, NPLs as an asset class are an exception in that they rely heavily on the previous performance of the servicer and the economic outlook to determine the value and the timing of the returns. Using a recent European case study, the delegates will examine how the portfolio mix (secured/unsecured – commercial/retail) will be used to create base cases and then be used with stresses to predict rated outcomes

EUR 2250 plus VAT (where applicable)

Structuring and Modelling for UK & EMEA RMBS (Email for Dates)

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 2018 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)

Structuring and Modelling for Dutch RMBS (Email for Dates)

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 STORM 2018-1 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 traditional  interest rate swaps being developed for the Dutch securitisation market.

EUR 2,750 plus VAT (where applicable)

Understanding and Structuring CLOs for Issuers and Investors (Email for Dates)

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 Fitch’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 – Contego V

  • 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 Fitch’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)

Structuring and Modelling for South African RMBS (Email for Dates)

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.

Structuring and Modelling for European SME ABS (Email for Dates)

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.

  • Mapping from internal bank scores to S&P ratings using 1 year PDs

  • 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 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.