Understanding and Structuring CLOs for Issuers and Investors (London 23-25 January, 2019)

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 Auto ABS with Residual Value Risk
(Frankfurt 18-19 February, 2019)

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)

Structuring and Modelling for UK & EMEA RMBS (London 29 April-1 May, 2019)

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 (Amsterdam 4-6 June, 2019)

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)

Structuring and Modelling for European SME ABS (Frankfurt 23-24 May, 2019)

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 2015 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.

Structuring and Modelling for South African RMBS (Cape Town 27-29 August, 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 (Thekwini 14), 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)

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