RMBS: Sub-Prime Credit Risk Workshop

FitchTraining
San Francisco, California, United States

Course Format: Classroom | E-learning | Virtual Class | Online | On-site | Blended | Self-paced

Course Description:

'' Participants will be equipped to:
Use a structured approach to evaluate the risk profile of subprime RMBS by assessing the collateral, originator, servicer and structure
Understand the impact of performance variables that drive credit risk and cash flow models
Critique transaction structures to identify and assess the risks and mitigants
Appreciate how recent collateral performance is impacting modelling assumptions
Monitor collateral performance to identify potential rating migration and the impact on tranche performance
Capitalize on opportunities in the RMBS sector in context of prevailing market conditions.
This course will provide an in-depth understanding of the credit and structural aspects of RMBS (primarily sub prime) transactions.

TARGET AUDIENCE
Investors, credit risk managers and issuers looking toexpand their knowledge of RMBS.

CONTENT
INTRODUCTION
Analytic approach to credit
A structured approach to analysis: purpose, payback, risks and structure
Applying the approach to sub prime RMBS and NIMS/residuals
Originator motivations and sources of repayment.
RISKS TO REPAYMENT
Collateral analysis
Key variables which impact the likelihood of default and severity of loss
Utilizing the Fitch Mortgage Default Model: loan by loan analysis
Applying stresses to default probability and loss severity assumptions
Changes to assumptions given 2006/2007 performance
Understanding RMBS collateral features: comparing prime, Alt A and subprime.
Originator and Servicer evaluation
Role of the Originator
Servicer creditworthiness and the business model
Types of servicers and their roles: primary, master and special
Servicer ratings: why, how and impact on credit enhancement
Challenges to servicers in the current environment
Assessing replacement risk.
STRUCTURE
Credit enhancement (CE)
Understanding and evaluating different types of CE
Loss allocation: excess spread, overcollateralization and subordination
Ensuring CE mechanisms protect investor interests
Third party CE: understanding degree of protection provided.
Note Profile
Waterfall structures: protecting priority of payments
Unravelling payment flows: sources and applications of funds
Amortization pre and post step down
Triggers and their implication to the CF waterfall
Expected and legal maturity, optional redemption features
Pre-funding mechanisms.
Cash flow modeling
Valuing excess spread as credit enhancement
Stressing the impact of defaults, prepays, and basis risk
Deriving final credit enhancement levels by rating category
Evaluating NIM or residual cashflows.
Structural safeguards
Using swaps to hedge interest rate risks
Assessing available funds caps risk.
Legal safeguards
Isolation of assets
Reps and warranties.
Pricing
Current market conditions and the impact on subprime
Spreads across the credit spectrum
Moving down the curve: value versus risk.
MONITORING PERFORMANCE
Surveillance: Collateral performance, how to evaluate
Role of the servicer
Credit trends: assessing rating migration risk
Understanding the CF waterfall and impact on tranche performance
Identifying early warning signals.
...''

Phone:+ 44 (0) 20 7201 2770

School Address:

28 Headfort Place, London, SW1X 7DH, United Kingdom.


Jobs & Resumes: San Francisco
Houses & Roommates: San Francisco
Travel Agencies: San Francisco

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