The program below is offered in 3 modules, each consisting of a half-day session:
Module 1
• Overview of the different types of securitizations
• Key components of a securitization
• Motives of originators and investors
• Credit ratings – what do they really mean?
• History of the securitization market
• Volumes and the latest trends

Collateral Analysis
• Rating agencies’ approach
• Asset analysis
• Variables influencing the likelihood and severity of loss
• Scenario analysis based on historical data
• Cash flow modeling: the impact of timing

Assessment of the Seller and Servicer
• Experience/track record
• Procedures and policies of credits
• Commercial strategy
• Replacement risks and options

Liability Structure
• Structuring the waterfall
• Cash flows: sources and use of funds
• Waterfall structures: sequential, pro rata, and turbo
• Differences in waterfalls before and after enforcement
• Expected vs legal maturity, soft bullet vs hard bullet, and optional redemption

Protection bondholders
• Eligibility criteria
• Coverage tests and consequences
• Sources of liquidity
• Hedging and derivatives /counterparty risk

Legal considerations
• Asset transfer, bankruptcy remoteness
• Settlement, commingling, clawback risk
• Security interests, parallel debt
• Representations and warranties
• Events of default
Module 2

Synthetic Securitization
• Differences between true sale and synthetic securitization
• Guarantees, credit derivatives, and credit-linked notes
• Synthetic securitization structures

Regulation
• EU Securitisation Regulation
• Risk retention options
• Investor due diligence requirements
• Simple, Transparent and Standardized (STS)
• STS for synthetic securitizations
• Significant Risk Transfer (SRT)

Buy-to-Let RMBS
• Overview of market participants and business models
• Overview of the rental housing market
• Buy-to-let product characteristics
• Regulations in buy-to-let
• Implementation of ‘Affordable Rent Act’

Central Bank Support
• Packaging assets for repos
• ECB repo criteria
• ECB purchase programs and their impact on the market
Module 3

Forms of financing
• Captive vs non-captive financing
• Overview of market participants and business models
• Car loans vs car leasing
• Financial vs operational lease
• How to manage operational assets
• Waterfall structures
• Asset transfer

CDOs
• Characteristics of CDOs
• Overview of market participants and business models
• Balance Sheets vs Arbitrage CDOs
• True sale vs synthetic structures
• Static vs managed structures
• Rating analysis
• Role of the asset manager
• Life cycle of a CLO
• Recent developments in CLOs

The credit crisis and the role of securitization
• Subprime mortgages
• Excesses in asset repackaging
• Consequences for other securitizations
• Changes in rating criteria since credit crisis

ESG securitization
• What is green securitization?
• Green assets vs green use of proceeds
• Challenges in the ESG securitization market
• Greenwashing and overregulation
• EU Green Bond Standard
• Recent market developments