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