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Fitch Learning

Understanding Securitization and ABS

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Next dates

May 3
Singapore, Singapore
USD 1495
USD 1495 per day
Jun 5
New York, NY, USA
USD 1495
USD 1495 per day
Jun 14
London, United Kingdom
GBP 1095 ≈USD 1427
GBP 1095 per day

Description

Key Learning Outcomes:

  • Use a structured approach to understand ABS (using credit card ABS as the illustration asset class): basic transaction structures, roles of the parties, and originator motivations
  • Recognize the main risks pertaining to the collateral, originator and servicer
  • Appreciate how asset characteristics and desired ratings impact credit enhancement levels
  • Identify key risks and understand how they are allocated within ABS structures
  • Understand the impact of recent government initiatives and regulatory changes on the ABS market.

Introduction

  • Why securitization? Originator and investor motivations
  • Parties to the transaction and their roles
  • Overview of securitization market.

Purpose: Payback

Analytic approach to credit

  • Introducing a structured approach to analysis: purpose, payback, risk and structure
  • Application of the structured approach to various types of ABS securities.

Risks to Repayment

Collateral

  • Analytic focus: credit card ABS
  • Key performance variables: applying steady state assumptions and credit stresses
  • Understanding how credit enhancement is sized
  • Modelling the impact of various stress scenarios across different credit card portfolios

Originator / servicer evaluation

  • Company analysis: commercial and financial viability
  • Risks arising from the business model
  • Servicer ratings: why, how and impact on credit enhancement

Structure

Credit Enhancement (CE)

  • Understanding the role and various forms of CE
  • Unravelling CE across asset classes (credit card, auto, and mortgage transactions)
  • Clarifying loss allocation
  • Safeguards: ensuring credit enhancement mechanisms provide adequate protection

Note Profile

  • Cash-flow waterfalls: Amortizing and non-amortizing assets
  • Cash flow allocation mechanics
  • Early amortization triggers: how they are set and how they operate

Legal Safeguards

  • Key legal safeguards: isolation of assets
  • Reps and warranties.

Monitoring Performance

  • Surveillance: collateral, originator / servicer
  • Interpreting performance to identify early warning signals
  • Overview of performance across asset classes.

Relative Value

  • Pricing of ABS transactions: risk vs. return
  • Credit trends in ABS: pockets of risk.

Who should attend

An introductory workshop for those new to the securitization market or seeking an understanding of the ABS product.

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