RMBS: Assessing Value & Risk Europe

Fitch Learning

Training

In London

£ 2,075 + VAT

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Description

  • Type

    Training

  • Level

    Intermediate

  • Location

    London

  • Duration

    2 Days

Suitable for investors, issures, fund management professionals and thise involved in RMBS credit risk management.


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)

Facilities

Location

Start date

London
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Start date

On request

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Subjects

  • ActionScript
  • Actionscript (Flash)

Teachers and trainers (1)

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Course programme

ContentINTRODUCTIONAnalytic 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 REPAYMENTCollateral 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.
STRUCTUREProfile
  • 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.
Pricing
  • 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.

Additional information

At Fitch Learning we consistently receive excellent customer feedback - 94% of our participants recommend a colleague attend the same course. With 25 years’ experience, our interactive training methods are tried and tested. Our workshops are small – with no more than 16 people – to ensure your learning experience is as interactive and personal as possible. They are taught through up-to-date , region-specific case studies and exercises so you can apply the analytic skills you learn as soon as you are back at your desk. If you register a place 8 weeks or more in advance of the course, you can save 10%.

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RMBS: Assessing Value & Risk Europe

£ 2,075 + VAT

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