Structuring and Modelling for South African RMBS (Sandton 26-28 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)

Structuring and Modelling for UK & EMEA RMBS (London 23-25 September, 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)

Understanding and Structuring CLOs for Issuers and Investors (London 14-16 October, 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 Dutch RMBS (Amsterdam 18-20 November, 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 Auto ABS with Residual Value Risk (Frankfurt 2-3 December, 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)

Introduction to Securitisation (Milan 21-23 January, 2020)
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 Liked 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.

EUR 2250 plus VAT (where applicable)

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