Enstruct’s 4-day Structured Finance School introduces participants to the strategy and execution of structured finance transactions. Instruction covers two streams of knowledge: structural and asset-based. Structural knowledge includes an in-depth look at standard features of transactions, such as legal organization, accounting issues and cash flow design. Asset-based knowledge covers the major types of transactions seen in the market such as Mortgages, Auto Loans and Leases, Equipment, Credit Cards, Trade Receivables, Future Flows and CDOs. Through theoretical discussion, demonstrations with real data, models and group exercises, participants will thoroughly comprehend a large body of structured finance topics.

Day One
  • Introduction to Structured Finance
  • Reasons for Using Structured Finance
  • How a Structured Finance Transaction is Set Up
  • Parties to a Structured Finance Transaction Exercise: Determine the Responsible Party
  • Structured Finance Asset Classes
  • Setting Up a Special Purpose Vehicle
  • Introduction to Trade Receivables
  • Primary Risks: Obligor Default, Seller/Servicer Default, Dilution Exercise: Sizing Credit Enhancement for Trade Receivables
  • Introduction to Future Flow: Diversified Payment Rights, Electronic
  • Remittances, Other
  • Structure and Legal Requirements
  • Risks: Transfer, Convertibility, Devaluation, Sovereign Exercise: Rating and Sizing a Future Flow Transaction
Day Two
  • Introduction to Credit Card Receivables
  • Four Key Factors: Monthly Payment Rate, Charge-Offs, Yield & New
  • Charge Rate Exercise: Analyzing Historic Rates & Sizing a Credit Card Transaction
  • Preparation for Granular Asset Pools: Mortgages, Autos, Consumer Finance
  • Default: Static Loss Analysis Exercise: Creating an Aggregated Static Loss Analysis
  • Advanced Theories of Loss: Trending, Projecting & Adjustment
  • 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 & Balloon
  • Amortization
  • Integrating Loan Level Amortization into a Structuring Model Exercise: Working with a Structuring Model
  • Liabilities & the Cash Flow Waterfall: Fees, Interest & Principal Exercise: Transforming a Legal Priority of Payments into Excel
  • Liability Amortization Methodologies: Pro Rate versus Sequential
  • Advanced Liability Features: Triggers, Reserve Accounts, Guarantors, Swaps
Day Four
  • Deal Analytics and Reporting
  • Sensitivity Scenarios
  • Optimizing Tranches for Given Risk Ratings Exercise: Optimizing a Tranche Under Different Scenarios
  • Introduction to Collateralized Debt Obligations (CDOs)
  • Cash/Synthetic Structures
  • Simulation Analysis: Structural Form Models & Structured Finance CDO Modeling
  • Rating Agency Methodologies: Standard & Poor’s versus Moody’s