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Provided by: FitchTraining RMBS Assessing Value Risk EuropeAccounting and Finance |
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Training
Provided by FitchTraining
Develop an in-depth analytic approach to assessing the credit risk, structural aspects and returns of RMBS asset classes.
Related Awards, Degrees or Certifications: Earn CPD credits
We are an accredited training provider with a number of institutions including:
ACCA
NASBA
Securi
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RMBS Assessing Value Risk Europe
Course Objectives
Participants will be equipped to:
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.
This course will provide an in-depth understanding of the credit and structural aspects of European RMBS (cash and synthetic).
Target Audience
A two-day workshop for investors, issuers, fund management professionals and those involved in RMBS credit risk management.
The majority of Fitch Training programmes are offered at an intermediate and advanced level. There are no specific prerequisite courses to attend our programmes, however some topic knowledge maybe required. Please refer to the target audience to see what level of prior knowledge is required for a specific course.
Content
INTRODUCTION
Analytic approach to credit
A structured approach to analysis: purpose, payback, risks and structure
Applying the approach to true sale and synthetic RMBS
Originator and investor motivations / sources of repayment
The need for vigilance: opportunities and threats in current climate
RISKS TO REPAYMENT
Collateral analysis
Understanding RMBS collateral features: prime, non-conforming, U. S. versus 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
STRUCTURE
Profile
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
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
MONITORING PERFORMANCE
Surveillance: collateral, servicer/ origination and counterparty
Interpreting performance to identify early warning signals
Credit trends: understanding and anticipating pockets of risk.
Participants will be equipped to:
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.
This course will provide an in-depth understanding of the credit and structural aspects of European RMBS (cash and synthetic).
Target Audience
A two-day workshop for investors, issuers, fund management professionals and those involved in RMBS credit risk management.
The majority of Fitch Training programmes are offered at an intermediate and advanced level. There are no specific prerequisite courses to attend our programmes, however some topic knowledge maybe required. Please refer to the target audience to see what level of prior knowledge is required for a specific course.
Content
INTRODUCTION
Analytic approach to credit
A structured approach to analysis: purpose, payback, risks and structure
Applying the approach to true sale and synthetic RMBS
Originator and investor motivations / sources of repayment
The need for vigilance: opportunities and threats in current climate
RISKS TO REPAYMENT
Collateral analysis
Understanding RMBS collateral features: prime, non-conforming, U. S. versus 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
STRUCTURE
Profile
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
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
MONITORING PERFORMANCE
Surveillance: collateral, servicer/ origination and counterparty
Interpreting performance to identify early warning signals
Credit trends: understanding and anticipating pockets of risk.
About The Training Provider: FitchTraining
FitchTraining - Fitch Training is a specialist training firm focused on the provision of credit and corporate finance training. Courses are offered in three areas: financial institutions, corporate credit and securitization. Fitch Training is part of Fitch Solutions, a division of the Fitch Group. We also work in partnership with Fitch Solutions to provide quantitative training.
Fitch Training operates...
