Capital Markets & Derivatives Training specialise in developing and delivering
bespoke in-house training courses and programmes. This sample course outlines the
content and structure of a typical course.
Introduction to Securitisation
This section provides an introduction to the area of securitisation, encompassing Asset
Backed Securities (ABS), Mortgaged Back Securities (MBS) and the role of Special Purpose
Vehicles (SPV) together with sponsor and investor motivation.
- What is the meaning of securitisation?
- What's the difference between ABS, MBS, CDO, CLO, CMO, CBO, CLN, etc?
- Who are the main players in the CDO market? What are their motivations?
- How are the deals structured and credit rated? What's the role of a SPV?
- What's the role of certain derivatives such as CDS in these structures?
- What does credit enhancement mean and the idea of tranches?
Introduction to Collateralised Mortgage Obligations (CMO)
This section provides an introduction to the market place for CMO's, considering
the early origins of the market and recent innovations.
- How has the market evolved from the early mortgage pass-through and MBS?
- WAC and WAM and GNMA
- prepayment risk , contraction and extension risk
- Sequential bonds, PACS and SUPS
- Principal only and interest only classes
- Floaters and inverse floaters, z-bonds
- Coverage tests
- over collateralisation and interest coverage tests
- How do Collateralised Mortgage Obligations work?
- demand from investors, risk reward profiles
Introduction to Collateralised Bond Obligations (CBO)
The following section offers an overview of the collateralised bond obligation
market, the different types of classes or tranches within the structure and how the
CBO is credit rated.
- Diversification and the underlying bond pools
- Senior, mezzanine and equity tranche construction
- Cash flow and market value structures
- Why invest in a CBO?
- Rating a CBO tranch
- WARF score, diversity score
- Modelling the probability loss
- expected losses, credit rating the CBO structure
- Sponsor motivation
- arbitrage or balance sheet transaction
- Static and managed deals
- ramp up period
- investment (revolver) period
- final period
- Cash flow and market value deals
Introduction to Collateralised Loan Obligations (CLO)
This section looks at a CLO, how it is constructed and compares the merits of cash versus
- How and why do banks sell on debt?
- Basle II accord and capital adequacy requirements
- risk weighted assets, obtaining capital relief
- CLO structure and the use of Special Purpose Vehicle (SPV)
- Cash and Synthetic CLO's
- Fully funded synthetic CLO
- Partially funded CLO structure
- What are Credit Default Swaps (CDS) and how are they used in CDO's?
- first default swaps, basket swaps, total return swaps
- Creating a super senior structure with CDS
- Balance sheet and arbitrage CDO's