Enstructâ€™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*