Course Registration

Class Overview

• • Introduction of facilitator and background

• • Class structure and expectations

Module 1 - Structured finance overview: the long, strange trip

• • The reason why financial markets have “structured” finance

• • Structured market history, decade-by-decade

• • Product portfolio map: collateral, structure and motivation

• • Structured products—all structured, all “standardized” by price, but with different underlying risk models and motivations

• • The essential differences for off-/on-balance sheet debt capital

Module 2 - Securitization: turning claims into securities

• • Securitization is financial arbitrage. Finance theory posits a “no arbitrage” condition. Can what securitization does be legit?

• • Legal structuring makes securitization possible, but the rules differ by jurisdiction.

• • Operational roles are also reorganized and decentralized

• • Reassessing the value of collateral

• • Key differences in preparing “cash” and “synthetic” collateral for a securitization

• • Special terminology continued

Module 3 - Structuring: the logic of risk transfer

• • Structured finance is a different value proposition! It needs a different risk approach!
• • Think systematically and reason mathematically—in addition to exercising the intuition and judgment that make credit analysis different from other forms of finance.
• • The essential elements of structured finance, collateral, capital structure, and ratings.
• • The boundary between structured and corporate. Know it or, there will be a price to pay.
• • Data sophistication is part of understanding collateral, not a separate dimension.

Module 4 - Relative Quality: rules of thumb on credit investing

• • Data sophistication is part of understanding collateral, not a separate dimension.

• • Structured security quality depends on quantitative factors

• • Measurement fundamentals

• • Repurposing CAPM concepts for structured security analysis

• • Mapping the 5 Cs of Credit to measures of volatility

• • Deep dive into the world of Credit Ratings and their relationship to quality

• • Setting the record straight on sector quality through the GFC

• • Questions for self-review

Module 5 - CLOs: out of the ashes of middle-market lending, reborn

Module 6 - Deep dive into CLOs: where value is created and destroyed

Module 7 - Monitoring vs. Trading: dynamic risk management strategies

Module 8 - CDOs and Synthetics; or, how to spot a ticking time bomb

Desk-Ready Skills

• • Look beyond the names to the essential value propositions within the structured product portfolio

• • Extend your fixed-income mastery by recognizing the essential differences between structured and traditional corporate finance

• • Gain facility with terms and measures unique to structured finance, to understand the risk-return properties along the product spectrum

• • Sharpen your value insights by observing how to unpack a structured deal and kick its tires

• • Build confidence in approaching deals with unfamiliar features or collateral

• • Develop a nose for nonsense, a sixth sense about hidden risk, and intuition for when to approach value quantitatively or qualitatively

Recommended for:

• • Investment professionals from asset managers, such as pension funds, endowments, family offices, insurance companies, sovereign wealth funds, investment and development banks

• • Policymakers and government officials who are responsible for regulating the financial sector

None needed