Enstruct’s 3-Day Structured Finance Analysis and Modeling training is a rigorous introduction to modeling and analyzing structured finance transactions. This course guides participants through every step of structuring asset backed securities and analyzing them. Through theoretical discussion, demonstrations based on real transaction data and modeling exercises in Excel, participants will gain a thorough understanding of the complexities of structured finance analytics.

Introduction to Strucured Finance Modeling Analysis

I. What is Financial Modeling?
II. Why Professionals Build Models
III. Which Models to Implement
IV. Basic Model Layout & Design

Exercise: Working with a Bad Model

Building a ToolKit

I. Time Value of Money Functions
II. Mathematical/Statistical Functions
III. Logical Functions
IV. Lookup Functions
V. Naming Ranges / Data Validation Lists
VI. Function Combinations

Exercise: Time Value of Money Functions
Exercise: Mathematical/Statistical Functions
Exercise: Logical functions
Exercise: Lookup Functions
Exercise: Naming Ranges / Data Validation Lists

Scenario Selectors: The First Step in a Model

I. Overview of a Scenario Selector
II. Specific Scenario Selector Setup & Use

Exercise: Scenario Selectors

Dates and Timing: The Framework for a Model

I. Overview of Dates and Timing Set Up
II. Specific Date and Timing Functions and Organization

Exercise: Dates & Timing

Assets: Cash Flow Generation

I. Basic Loan Amortization (Fixed/Floating)
II. Delinquency / Default
I. Static Loss Analysis
II. Transition Matrices / Roll-Rate Analysis
III. Prepayment
I. Building Prepayment Assumptions
IV. Recovery
I. Recovery Rate and Lag Analysis
V. Combined Loan Amortization

Exercise: Build a Basic Loan Amortization Schedule
Exercise: Create a Static Loss Analysis
Exercise: Calibrate a Transition Matrix and Apply It
Exercise: Complete a Prepayment Assumption Analysis
Exercise: Determine Recovery Rates and Lags
Exercise: Combine All Concepts into Advanced Loan Amortization

Liabilities: Priority of Payments

I. Fees
II. Interest
III. Principal

Exercise: Walking Cash through a Waterfall
Exercise: Payment Priority

Credit Enhancement

I. Overcollateralization
II. Payment Priority
III. Reserve Accounts
IV. Liquidity Facilities
V. Excess Spread
VI. Deal Triggers
VII. Swaps

Exercise: Setting Up and Modeling Reserve Accounts
Exercise: Modeling Deal Triggers
Exercise: Assessing Credit Enhancement
Exercise: Modeling a Basis Risk Swap

Internal Checks and Output Reporting

I. Internal Tests to Ensure Model Integrity
II. Appropriate Outputs for a Structured Finance Model
III. Integrating Financial Statements as an Output
IV. Controlling the Output System

Exercise: Bond Pricing, Weighted Average Life, and Yields
Exercise: Implementing Automated Output Reporting

The Rating Agency Process

I. The Major Rating Agencies and their Ratings
II. Differences Between Rating to First Loss and Expected Loss
III. Quantitative Aspects of Ratings
Exercise: How Rating Agencies May Size Leverage in Various Deals