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Provided by: FitchTraining Covered Bonds Credit Market Risk Workshop EuropeAccounting and Finance |
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Training
Provided by FitchTraining
Covered Bonds: Empower your credit judgment, improve your market knowledge and learn how Covered Bonds differ from RMBS and other bank issued instruments.
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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Covered Bonds Credit Market Risk Workshop Europe
Course Objectives
A two-day workshop covering the analysis of covered bonds backed by mortgages and public sector assets. Prepare yourself to assess the risk and rewards inherent in Covered Bonds.
Specifically, participants will be equipped to:
Use a structured analytic approach to evaluate the risk profile of covered bonds
Understand the legal framework used to issue covered bonds in key jurisdictions
Identify risks to continued payments in the event of an issuer default
Distinguish the credit quality of cover pools
Assess the impact of programme features on ratings
Evaluate the relative risks and rewards of covered bonds versus alternative funding instruments (e. g. RMBS, CMBS, unsecured debt etc.).
Target Audience
A two-day workshop for investors, credit risk managers, issuers, regulators, bankers and other professionals who need to understand the key risks and rewards of covered bonds.
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
Industry overview
Features of covered bonds
Motivations for issuance
Covered bonds versus unsecured financings versus securitisations
Analytic approach to credit
A structured approach to analysis: purpose, payback, risks and structure
Application to different types of covered bonds
RISKS TO REPAYMENT
Issuer risk
Credit quality of the issuer: Issuer Default Rating (IDR)
The link between IDR and rating of the covered bond
Evaluating the issuer s business organisation: origination practices, client base and IT systems
Implications of covered bond issuance on bank ratings
Cover pool risk
Characteristics of eligible assets
Static analysis: residential mortgages, commercial mortgages and public sector pools
Drivers of PD s based on specific asset pools
Recovery assumptions: timing and magnitude based on collateral and jurisdiction
Calculation of expected defaults and losses
Portfolio realisation analysis
Impact of dynamic pools on creditworthiness
Understanding cover pool credit quality under various stress scenarios
Operational risk
Scope of asset monitor s role and relevance to performance
Appointing a substitute manager and providing back-up servicing
Continuity risk
Considering asset segregation, liquidity gaps, alternative management and covered bond oversight
STRUCTURE
Legal framework
Understanding the differences between regulatory (special-law) and contractual (general-law) framework
Segregation of cover assets
Ranking of covered bondholder claims in a bankruptcy scenario
Likelihood of interruption of payments
Debt profile
Priority of payment
Bullet terms: hard versus soft, extension risk and call options
Program features
Asset / liability management: maturity, interest rate and currency mismatches
Assessing potential liquidity gaps
Governing substitute assets
Cash flow analysis
Overcollateralisation: use of asset coverage tests (ACT), enforceability
Hedging and associated counterparty risk
Pricing
Credit tiering
Basel II implications for investors
Current market conditions: impact on spreads across the sector
Relative value: risk vs. return across asset classes (RMBS, CMBS, unsecured bank debt etc.)
Assessing mark to market risk
Jumbos versus private placements
MONITORING PERFORMANCE
Comparison of cover pools and covered bonds exposure to credit and market risks
The need for vigilance in turbulent times.
A two-day workshop covering the analysis of covered bonds backed by mortgages and public sector assets. Prepare yourself to assess the risk and rewards inherent in Covered Bonds.
Specifically, participants will be equipped to:
Use a structured analytic approach to evaluate the risk profile of covered bonds
Understand the legal framework used to issue covered bonds in key jurisdictions
Identify risks to continued payments in the event of an issuer default
Distinguish the credit quality of cover pools
Assess the impact of programme features on ratings
Evaluate the relative risks and rewards of covered bonds versus alternative funding instruments (e. g. RMBS, CMBS, unsecured debt etc.).
Target Audience
A two-day workshop for investors, credit risk managers, issuers, regulators, bankers and other professionals who need to understand the key risks and rewards of covered bonds.
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
Industry overview
Features of covered bonds
Motivations for issuance
Covered bonds versus unsecured financings versus securitisations
Analytic approach to credit
A structured approach to analysis: purpose, payback, risks and structure
Application to different types of covered bonds
RISKS TO REPAYMENT
Issuer risk
Credit quality of the issuer: Issuer Default Rating (IDR)
The link between IDR and rating of the covered bond
Evaluating the issuer s business organisation: origination practices, client base and IT systems
Implications of covered bond issuance on bank ratings
Cover pool risk
Characteristics of eligible assets
Static analysis: residential mortgages, commercial mortgages and public sector pools
Drivers of PD s based on specific asset pools
Recovery assumptions: timing and magnitude based on collateral and jurisdiction
Calculation of expected defaults and losses
Portfolio realisation analysis
Impact of dynamic pools on creditworthiness
Understanding cover pool credit quality under various stress scenarios
Operational risk
Scope of asset monitor s role and relevance to performance
Appointing a substitute manager and providing back-up servicing
Continuity risk
Considering asset segregation, liquidity gaps, alternative management and covered bond oversight
STRUCTURE
Legal framework
Understanding the differences between regulatory (special-law) and contractual (general-law) framework
Segregation of cover assets
Ranking of covered bondholder claims in a bankruptcy scenario
Likelihood of interruption of payments
Debt profile
Priority of payment
Bullet terms: hard versus soft, extension risk and call options
Program features
Asset / liability management: maturity, interest rate and currency mismatches
Assessing potential liquidity gaps
Governing substitute assets
Cash flow analysis
Overcollateralisation: use of asset coverage tests (ACT), enforceability
Hedging and associated counterparty risk
Pricing
Credit tiering
Basel II implications for investors
Current market conditions: impact on spreads across the sector
Relative value: risk vs. return across asset classes (RMBS, CMBS, unsecured bank debt etc.)
Assessing mark to market risk
Jumbos versus private placements
MONITORING PERFORMANCE
Comparison of cover pools and covered bonds exposure to credit and market risks
The need for vigilance in turbulent times.
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...
