Start Dates: TBC
Duration: 1 Day
Full Fee: €600
Network Members Fee: €350
https://www.ifsskillnet.ie Book Now
Programme overview
This one-day programme is designed to help those with experience of government bonds to gain an understanding of the risks and benefits of covered bonds. The programme is taught for a former bond trader and sales person with significant experience of the bond market. The programme can be tailored to the specific audience need.
Please contact info@ifsskillnet.ie for more information on course dates.
Learning outcomes:
- Understand the price, yield, credit risk relationship
- Know how asset swaps are created and priced
- Understand how MTN’s differ from Gilts and Bills.
- Understand how embedded options influence MTN pricing and yields
- Understand the potential for credit and liquidity risk
- Know the legal framework for the issuance of covered bonds.
- Know how to interpret the monthly investor reports for covered bonds.
- Understand the similarities and differences of the risk profiles of covered bonds compared to RMBS and straight debt
- Know the basic structures of mortgage backed securities
- Understands True sale and bankruptcy remoteness concepts
- Understand tranches and the risk reward of each tranche
Who is the course for?
This 1 day programme is aimed at front, middle and operations staff at banks. It would also suit corporate treasury staff at building societies
Course Content:
Online Pre-work
- Bonds – An Introduction
- Bond Prices & Yields
- Swaps – An Introduction
Introduction
- Introduction and Bond maths recap
Swaps and Asset Swaps
- Creation of Synthetic Floating Rate Instruments
- Recap of Swaps
- Creating Asset Swaps
- Using the logic of Asset Swaps for Relative Value comparison
MTNs
- Credit Ratings and Credit Risk
- Credit Spreads, Fixed and Floating
- Liquidity
- Finding value in fixed rate instruments
- Finding value in floating rate instruments
- MTNs with embedded options (Callable, Capped Floating etc)
- Liquidity and Credit Spread risks in MTNs
- Case Studies from recent issues
Covered Bonds
- Evaluating the risk profile of covered bonds
- Brief recap of the legal framework used to issue covered bonds in England & Wales
- What are the protections against issuer default
- Reading the monthly investor reports (online, Harmonised Transparency Template))
- How do the programme features impact ratings and liquidity
- How do the risks and rewards of covered bonds compare to RMBS, and straight debt?
- Liquidity and Spreads in the covered bonds market.
- Case Studies from Santander, Lloyds and RBS
RMBS
- Recap of Securitisation Structures
- True Sale and Bankruptcy remoteness concepts
- Credit Enhancement and Tranches
- Securitising Mortgage Cashflows
- How bullet classes are created
- Yield, Spreads and Liquidity in RMBS
- Case Studies of Triumph and Disaster, Granite, Holmes and others
Summary and Close
