Asset Securitisation

Date: TBC

Programme overview

Course Overview

This one-day course is designed for participants to understand the securitization process, from the assets that can be securitized to the packing process and to the marketing. We also cover pricing and revaluation. There is use of examples and case studies throughout the course to explain the application of principles.


Prerequisite Knowledge or Courses

The participants should have basic knowledge of fixed income products such as bonds and money market instruments. Know of the price yield relationship would also be helpful.


Course Objectives

Understand the following key topics

  • Use a structured approach to understand ABS (using credit card ABS as well as mortgage MBS as the illustration asset class): basic transaction structures, roles of the parties, and originator motivations.
  • Recognize the main risks pertaining to the collateral, originator and servicer.
  • Appreciate how asset characteristics and desired ratings impact credit enhancement levels.
  • Risks and understand how they are mitigated within ABS structures.
  • Understand the impact of changes to bank capital regulation and of regulatory changes on the ABS market.

Who is the course for

  • The programme is aimed at all teams and individuals who are working with securitized products and need to understand more about them. This could include junior dealers, operations and settlements teams, and those involved in risk and revaluation. Participants can be from a variety of backgrounds including banks, asset managers or custodians

Course Content


  • Why Securitisation? Originator and investor motivations
  • Parties to the transaction and their roles
  • Overview of Securitisation market.


Motivations: Why Securitise?


Analytic approach to credit

  • Introducing a structured approach to analysis: purpose, payback, risk and structure
  • Application of the structured approach to various types of ABS securities.

Risks to Repayment


  • Analytic focus: credit card ABS
  • Key performance variables: applying steady state assumptions and credit stresses
  • Understand ‘tranching’ and how credit enhancement is specified
  • Credit Rating related Strees Testing

Originator / servicer evaluation

  • Cash Flow stability: commercial and financial reliability
  • Risks arising from the business model
  • Servicer strength and reliance upon it: why, how and impact on credit enhancement.


 Credit enhancement (CE)

  • Understanding the role and various forms of CE, Tranching, Insurer, Guarantor etc
  • Unravelling CE across asset classes (credit card, auto, and mortgage transactions)
  • The ‘Waterfall’: understanding loss allocation
  • Stress Testing revisited: ensuring credit enhancement mechanisms provide adequate protection.

Note profile

  • Cashflow waterfalls: Amortising and non-amortising assets
  • Cashflow waterfalls: Bullet, Soft Bullet, Amortising
  • Cash flow allocation triggers
  • Early and ‘Controlled’ amortisation and the triggers: how they are set and how they operate.

Legal safeguards

  • Key legal safeguards: True Sale, Bankruptcy Remoteness, Independence, Role Replacements
  • Contractual and Legal frameworks

Quality Vigilance

  • Credit Rating Agencies: collateral, originator / servicer
  • Interpreting performance to identify early warning signals
  • Overview of historical outcomes across asset classes.

Relative value

  • Pricing of ABS transactions: Spreads and analysis
  • Liquidity
  • Correlation risks across tranches.

Training Provider.

Please contact for more information on Training Providers.


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