Enstruct’s 4-day Structured Finance Analytics training is a rigorous introduction to modeling and analyzing structured finance transactions. Taught by Enstruct’s principal trainer, Keith Allman, this course guides participants through every step of analytically structuring asset backed securities. 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. Exercises involving different rating agency methodologies will add breadth to participants’ overall knowledge base.

VBA (Visual Basic Applications) is integrated throughout the course to enhance comprehension and to ensure that each participant develops more powerful modeling skills. This part of the curriculum familiarizes participants with using VBA for structured finance transactions and teaches users how to create performance data and amortize assets on a loan-level basis.

Day One
  • Introduction to Structured Finance Modeling
  • Data Requirements & Management
  • Tape Cracking & Stratification Reporting Exercise: Creating Stratification Reports
  • Introduction to Performance History
  • Delinquency: How to Measure Historical Deliquency for Trigger
  • Transition Matrices Exercise: Creating a Transition Matrix
  • Default: Static Loss Analysis Exercise: Creating an Aggregated Static Loss Analysis
  • Advanced Theories of Loss: Trending, Projecting & Adjustment
Day Two
  • Introduction to Object-Oriented Programming
  • Introduction to Visual Basic Applications (VBA)
  • Variables
  • Moving Data between Excel & VBA Exercise: Simple Data Movement & Storage
  • IF THEN ELSE statements
  • FOR NEXT Loops
  • Functions and Subroutines Exercise: Creating a Static Loss Based on Loan Level Information
  • Prepayments: How to Measure Historical Prepayments & Projecting
  • Future Prepayment Rates Exercise: Historical Prepayment Analysis & Simple Regression
  • Recoveries: Rates & Lags Exercise: Analyzing Historical Recovery Rates & Lags
Day Three
  • Asset Amortization: Theory & Application Exercise: Fixed Rate, Floating Rate, Interest Only & Pay
  • Option Amortization
  • Amortizing Assets in VBA Exercise: Amortizing a Single Loan in VBA
  • Complete Loan Level Amortization Exercise: Amortizing an Unlimited Number of Loans in VBA
  • Public Securities Association Amortization Methodology
  • Integrating Loan Level Amortization into a Structuring Model Exercise: Working with a Structuring Model
Day Four
  • Liabilities & the Cash Flow Waterfall: Fees, Interest and Principal Exercise: Transforming a Legal Priority of Payments into Excel
  • Liability Amortization Methodologies: Pro Rata versus Sequential
  • Advanced Liability Features
  • Deal Analytics & Reporting
  • Sensitivity Scenarios
  • Optimizing Tranches for Given Risk Ratings Exercise: Optimizing a Tranche under Different Scenarios
  • Rating Agency Methodologies: Standard & Poor’s versus Moody’s