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Fitch Learning

Assessing Value and Risk — Europe

Oct 28—29, 2019
2 days
London, United Kingdom
GBP 2195 ≈USD 2668
GBP 1097 per day

How it works


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Key Learning Outcomes:

  • Use a structured approach to evaluate the risk profile of RMBS by assessing the collateral, originator, servicer and structure
  • Understand the impact of key variables on risk assessment models
  • Critique transaction structures to identify and assess the risks and mitigants
  • Monitor deal performance to anticipate rating potential rating migration
  • Evaluate the relative risks and rewards of RMBS across the rating spectrum
  • Understand the potential ramifications of the current regulatory environment on RMBS liquidity and structural dynamics.

This course will provide an in-depth understanding of the credit and structural aspects of both existing and developing European RMBS (cash and where applicable, synthetic).


Analytic approach to credit

  • A structured approach to analysis: purpose, payback, risks and structure
  • Applying the approach to true sale and, where appropriate, synthetic RMBS
  • Originator and investor motivations / sources of repayment
  • Historical and current perspectives
  • The need for vigilance: opportunities and threats in current climate.

Risks to Repayment

Collateral analysis

  • Understanding RMBS collateral features: prime, non-conforming, U.S. vs. Europe
  • Key variables which will impact the likelihood of default and severity of loss
  • Stressing historical performance data: sizing gross credit enhancement
  • Model approach: loan by loan analysis to determine loss levels
  • Adjustments to assumptions: why and to what extent
  • Cash flow modelling: the impact of timing on stress scenarios
  • Deriving gross credit enhancement levels.

Originator evaluation

  • Who how, where, why, and for how long?
  • Underwriting procedures and policies
  • How the business model might impact origination / securitisation.

Servicer evaluation

  • Types of servicers and their roles: primary, master and special
  • Servicer ratings: why, how and impact on credit enhancement
  • Creditworthiness and the business model
  • Third party servicers and replacement risk.



  • Waterfall structures: determining priority of payments
  • Unravelling payment flows: sources and applications of funds
  • Pay structures: sequential, pro rata and turbo features
  • Allocation of fund pre- and post-enforcement
  • Expected and legal maturity, "soft bullet" and optional redemption features.

Credit enhancement (CE)

  • Understanding and evaluating the different types of CE
  • Linking waterfall structures to changing levels and forms of CE
  • Loss allocation amongst different forms of credit enhancement
  • Benefits and risk associated with third party CE (private and government)
  • Ensuring CE mechanisms protect investor interests.

Structural safeguards

  • Substitution and replacement: eligibility criteria
  • Access to liquidity: evaluating liquidity providers and alternative structures
  • Swaps and caps: mitigating risk and guaranteeing excess spread
  • Trust structures: triggers, funding/seller shares, loan substitution.

Synthetic RMBS

  • Defining the reference pool
  • Transferring risk via a CDS
  • Credit events and loss determination
  • Note collateral: de-linking the risk.

Legal safeguards

  • Isolation of assets
  • Events of default, reps and warranties.


  • Current market conditions: impact on spreads across asset types, tranches and regions
  • Benchmarking returns
  • Moving down the curve: value versus risk (current perspectives).

Monitoring Performance

  • Surveillance: collateral, servicer / origination and counterparty
  • Interpreting performance to identify early warning signals
  • Credit trends: understanding and anticipating pockets of risk
  • Differentiating between markets and their relevant industry standards
  • Potential impact of regulatory and industry review of reporting standards.

Regulatory Developments

Understanding the dynamics and interplay of global, regional and national regulation

Impact of legislation / regulation on:

  • Mortgage markets and borrower behaviour
  • RMBS investors
  • Issuers and transaction structure.

Who should attend

For investors, issuers, fund management professionals and those involved in RMBS credit risk management.


Detailed Description
Detailed Description

Next dates

Oct 28—29, 2019
2 days
London, United Kingdom
GBP 2195 ≈USD 2668
GBP 1097 per day

How it works

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