Structured Finance Solutions
Compliance72 hours$800
Course Modules
Residential Mortgage-Backed Securities (RMBS)
- Important borrower characteristics
- Overview of Moody’s “MILAN” loan-by-loan methodology
- The impact of loan-to-value ratios on loss probability and severity
- Other important loan characteristics
Moody’s Investors Service Rating Methodology for Securitization
- What is a Moody’s Investors Service rating?
- Integrating structured finance into the general rating system
- Other types of Moody’s ratings
- The rating process, monitoring and rating actions
Securitization Risk Assessment
- Cash-flow structure analysis
- Credit risk of the assets
- Legal aspects
Rating Theory and Analysis in Action
- An exercise using Moody’s Investors Service MARVEL Model
Commercial Mortgage-Backed Securities
- Analysing the underlying commercial mortgages: debt service coverage, loan-to-value ratios and other important factors
- Introduction to Moody’s Investors Service rating methodology for CMBS
- Current vs. stabilized (sustainable) ratios
- Types of CMBS
Collateralized Debt Obligations (CDOs)
- Default probability, correlation and recovery rates
- Methodology for cash and synthetic CDOs: Moody’s Binomial Expansion Technique
- Introduction to extensions of the Binomial Expansion Technique
- Classifying CDOs
Introduction to Securitization
- Securitization in the spectrum of bond types
- Mechanics of a securitization transaction
- Cash versus synthetic securitization
- The size of the securitization markets
- Advantages for originators and investors
Asset-Backed Securities (ABS)
- Leases
- Auto loans
- Whole business securitizations
- SME loans
- Credit cards
Asset-Backed Commercial Paper (ABCP)
- Different types of ABCP conduits
- Liquidity and credit risks
- The main assets: ABS and trade receivables
- What is ABCP?