Investment Operations

Asset-Backed Securities and Collateralized Loan Obligations

Categories Introductory

Course Instructor

Course Level

Beginner

Certification

Certificate

Delivery

Via Zoom

Hours (EST)

9:00 am - 1:00 pm​

Description

*This course can be offered upon request and can be customized to fit your team’s needs.

This seminar provides a broad overview of non-mortgage asset securitizations. The program focuses on the major types of instruments traded in each of these sectors with special focus on the nature of the underlying collateral and structural characteristics of the securities. Emphasis will be placed on assessing how the interaction of underlying asset cash flows with the securities’ structural features affect the allocation of credit losses and cash distributions. The presentation begins with an introduction to the fundamentals of asset securitization: pooling of assets and its impact on risk; legal/structural considerations (e.g., bankruptcy remoteness); credit risk and credit enhancements. The discussion then turns to a review of several important types of securities from these sectors. The asset-backed securities (ABS) discussion will cover credit card receivable and auto loan backed securities in detail as well as touch on several other types of ABS. The collateralized loan obligation (CLO) section will first address the features shared with ABS such as bankruptcy remote special purpose entities (SPEs) that hold a collateral pool and then turn to features that differentiate CLOs from most other structured securities (e.g., collateral pool ramp up, cash flow waterfalls).

Who Should Attend

The seminar is useful for anyone whose duties entail some exposure to asset securitization, ABS or CLOs. The program would be especially helpful to those working in areas supporting trading or sales of structured securities as well as middle and back-office areas such as clearance and settlement, compliance, financial control, information technology, portfolio administration or marketing.

Day 1

Overview of Asset Securitization/Structured Securities

  • Fundamentals of asset securitization
  • Bankruptcy remote special purpose entity (SPE)
  • Collateral pool (asset portfolio), static and non-static pools
  • Asset cash flows and cash distributions
  • Credit losses and credit enhancement

Credit Card Receivable ABS

  • Credit card issuer/sponsor
  • SPE and transfer of accounts
  • Cash flows to investors
  • Sponsors interest in trust
  • Revolving period
  • Credit enhancements
  • Return of principal – controlled accumulation or amortization

Day 2

Auto Loan ABS

  • Characteristics of auto loans
  • Prepayment characteristics of auto loans
  • Dealer versus third party financing
  • Collateral pool quality and credit ratings of tranches
  • Typical tranche structures and credit enhancements

Collateralized Loan Obligations

  • Distinguishing features
  • Collateral pool ramp up
  • Revolving period cash flow waterfall
  • Credit enhancements: senior/subordinated and other
  • Coverage ratio tests and potential redirection of cash distributions
  • Principal return after revolving period

Summary and Questions

In-House Training

Custom Training can help you achieve your corporate training goals while staying on budget and focusing the content on the needs of your group. Email your questions regarding corporate training to training@investmentoperations.net.

2024 Training Calendar

Training Catalogue

Course Instructor

Course Level

Beginner

Certification

Certificate

Delivery

Via Zoom

Hours (EST)

9:00 am - 1:00 pm​

Description

*This course can be offered upon request and can be customized to fit your team’s needs.

This seminar provides a broad overview of non-mortgage asset securitizations. The program focuses on the major types of instruments traded in each of these sectors with special focus on the nature of the underlying collateral and structural characteristics of the securities. Emphasis will be placed on assessing how the interaction of underlying asset cash flows with the securities’ structural features affect the allocation of credit losses and cash distributions. The presentation begins with an introduction to the fundamentals of asset securitization: pooling of assets and its impact on risk; legal/structural considerations (e.g., bankruptcy remoteness); credit risk and credit enhancements. The discussion then turns to a review of several important types of securities from these sectors. The asset-backed securities (ABS) discussion will cover credit card receivable and auto loan backed securities in detail as well as touch on several other types of ABS. The collateralized loan obligation (CLO) section will first address the features shared with ABS such as bankruptcy remote special purpose entities (SPEs) that hold a collateral pool and then turn to features that differentiate CLOs from most other structured securities (e.g., collateral pool ramp up, cash flow waterfalls).

Who Should Attend

The seminar is useful for anyone whose duties entail some exposure to asset securitization, ABS or CLOs. The program would be especially helpful to those working in areas supporting trading or sales of structured securities as well as middle and back-office areas such as clearance and settlement, compliance, financial control, information technology, portfolio administration or marketing.

Day 1

Overview of Asset Securitization/Structured Securities

  • Fundamentals of asset securitization
  • Bankruptcy remote special purpose entity (SPE)
  • Collateral pool (asset portfolio), static and non-static pools
  • Asset cash flows and cash distributions
  • Credit losses and credit enhancement

Credit Card Receivable ABS

  • Credit card issuer/sponsor
  • SPE and transfer of accounts
  • Cash flows to investors
  • Sponsors interest in trust
  • Revolving period
  • Credit enhancements
  • Return of principal – controlled accumulation or amortization

Day 2

Auto Loan ABS

  • Characteristics of auto loans
  • Prepayment characteristics of auto loans
  • Dealer versus third party financing
  • Collateral pool quality and credit ratings of tranches
  • Typical tranche structures and credit enhancements

Collateralized Loan Obligations

  • Distinguishing features
  • Collateral pool ramp up
  • Revolving period cash flow waterfall
  • Credit enhancements: senior/subordinated and other
  • Coverage ratio tests and potential redirection of cash distributions
  • Principal return after revolving period

Summary and Questions

In-House Training

Custom Training can help you achieve your corporate training goals while staying on budget and focusing the content on the needs of your group. Email your questions regarding corporate training to training@investmentoperations.net.

2024 Training Calendar

Training Catalogue

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