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Provided by: FitchTraining Consumer ABS Credit Risk Drivers of Performance EuropeAccounting and Finance |
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Training
Provided by FitchTraining
A one-day workshop to develop an in-depth analytic approach to assessing the credit risk, structural aspects and returns of Credit Card and Auto ABS 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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Consumer ABS Credit Risk Drivers of Performance Europe
Course Objectives
Participants will be equipped to:
Use a structured approach to evaluate the risk profile of credit card and auto loan ABS by assessing the collateral, originator, servicer and structure
Understand the impact of performance variables on risk assessment models
Critique transaction structures to identify and assess the risks and mitigants
Evaluate the relative risks and rewards of consumer ABS across the rating spectrum.
Target Audience
Investors, issuers, fund management professionals and those involved in ABS 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 ABS asset classes (e. g. credit cards, auto loans)
Purpose/ payback: originator motivations and sources of repayment
RISKS TO REPAYMENT
Collateral analysis
Collateral features of ABS assets: credit card and auto loan
Key variables which impact the likelihood of default and severity of loss
Defining the base case: using static/ vintage data and steady state assumptions
Model approach: applying stresses to pools and sub-pools
Stress multiples: loss approach and obligor concentrations
Modelling the impact of key performance variables
Deriving credit enhancement levels
Originator evaluation
Company analysis: commercial/ financial viability
Risks arising from the business model
Credit risk management and underwriting
Servicer evaluation
Loss mitigation: capabilities, strategy and procedures
Specialised needs for specialized assets
Third party servicers and replacement risk
STRUCTURE
Credit enhancement (CE)
Unravelling different types of internal and external CE
Allocating losses within deal structures
Evaluating changing forms and amounts of CE
Ensuring CE mechanisms protect investor interests
Profile
Waterfall structures: protecting priority of payments
Comparing pay structures: sequential, pro rata, modified pro rata, shifting pay etc.
Revolving and amortising pools: special considerations
Expected and legal maturity, soft bullets and redemption features
Structural safeguards
Eligibility criteria: controlling new additions
Trigger events: types, mechanics, and applications
Ensuring trigger events capture key risks
Evaluating liquidity structures and providers
Using swaps to hedge various risks
Legal safeguards
Security, tax and regulatory areas of concern
Events of default, reps and warranties
Pricing
Spreads across the credit spectrum and asset classes
Moving down the curve: value versus risk
MONITORING PERFORMANCE
Surveillance: Collateral, servicer/ originator and counterparty
Interpreting performance to identify early warning signals
Credit trends: migration and developing pockets of risk.
Participants will be equipped to:
Use a structured approach to evaluate the risk profile of credit card and auto loan ABS by assessing the collateral, originator, servicer and structure
Understand the impact of performance variables on risk assessment models
Critique transaction structures to identify and assess the risks and mitigants
Evaluate the relative risks and rewards of consumer ABS across the rating spectrum.
Target Audience
Investors, issuers, fund management professionals and those involved in ABS 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 ABS asset classes (e. g. credit cards, auto loans)
Purpose/ payback: originator motivations and sources of repayment
RISKS TO REPAYMENT
Collateral analysis
Collateral features of ABS assets: credit card and auto loan
Key variables which impact the likelihood of default and severity of loss
Defining the base case: using static/ vintage data and steady state assumptions
Model approach: applying stresses to pools and sub-pools
Stress multiples: loss approach and obligor concentrations
Modelling the impact of key performance variables
Deriving credit enhancement levels
Originator evaluation
Company analysis: commercial/ financial viability
Risks arising from the business model
Credit risk management and underwriting
Servicer evaluation
Loss mitigation: capabilities, strategy and procedures
Specialised needs for specialized assets
Third party servicers and replacement risk
STRUCTURE
Credit enhancement (CE)
Unravelling different types of internal and external CE
Allocating losses within deal structures
Evaluating changing forms and amounts of CE
Ensuring CE mechanisms protect investor interests
Profile
Waterfall structures: protecting priority of payments
Comparing pay structures: sequential, pro rata, modified pro rata, shifting pay etc.
Revolving and amortising pools: special considerations
Expected and legal maturity, soft bullets and redemption features
Structural safeguards
Eligibility criteria: controlling new additions
Trigger events: types, mechanics, and applications
Ensuring trigger events capture key risks
Evaluating liquidity structures and providers
Using swaps to hedge various risks
Legal safeguards
Security, tax and regulatory areas of concern
Events of default, reps and warranties
Pricing
Spreads across the credit spectrum and asset classes
Moving down the curve: value versus risk
MONITORING PERFORMANCE
Surveillance: Collateral, servicer/ originator and counterparty
Interpreting performance to identify early warning signals
Credit trends: migration and developing 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...
