2024/2025
Foundations of Securitization
Type:
Mago-Lego
Delivered by:
International College of Economics and Finance
When:
3 module
Open to:
students of one campus
Language:
English
ECTS credits:
3
Contact hours:
26
Course Syllabus
Abstract
Securitization bonds represent about one-third of the total new issuance of securities in the U.S. Only the U.S. Treasuries are issued in larger volumes. All the rest: stocks, corporates, municipal bonds print less. Most of the institutional investors in the U.S. have significant portions of their portfolios allocated to various securitization sectors.
In this course the goals are to
1) Give the students a good overview of various sectors of securitization in the U.S. and European space, starting with the largest one – the Mortgage-backed securities, moving forward to Commercial MBS, then to CLOs, then to Consumer ABS and finishing with Transportation ABS and other, more exotic types.
2) Introduce students to the Russian legal framework for securitizations and to discuss securitizations in the local market.
3) Teach students to analyze securitization bonds and to model them. Arm the student with sufficient knowledge and experience to work as a junior trading or structuring analyst on the trading floor.
Prerequisites.
Ideally the student would have studied elementary bond math, should be familiar with concepts of yield, modified duration, convexity. Basic accounting concepts are good to have but not required.
Learning Objectives
- To develop a general understanding of securitization market in Russia and abroad and to be able to autonomously analyze, model and evaluate securitization bonds.
Expected Learning Outcomes
- analyze securitization securities using offering documents and deal reports, being capable of modeling securitization bonds with Excel;
- evaluate risks and rewards involved in investing between sectors and through the capital structure
Course Contents
- Securitization. General idea.
- Mortgage-backed securities 1
- Mortgage-backed securities 2
- Mortgage-backed securities 3
- Commercial MBS.
- CDOs
- CDOs: CBOs and CLOs.
- CDOs continued
- Consumer ABS: structures and risks.
- Transportation ABS and other types,
- Trading MBS / ABS / CLO in the U.S. and Russia.
- Legal and regulatory framework for securitizations in Russia.
Assessment Elements
- final exam
- Homework: Modeling level-pay loans
- Homework: Modeling Floater / Inverse IO
- Homework: Modeling three-tranche write-down structure
- Homework: Pretend that the mall you know is in SASB deal. Would you buy its BBB?
- Homework: Modeling junior OC test.
- Homework: borrowing from the swap.
- Homework: Looking at a recent Russian MBS deal.
- Homework: Looking at a recent Russian Consumer ABS deal.
- Homework: Looking at a mixed U.S. aircraft deal. Would you buy its BBB?
- Homework: Compose your best portfolio from a given list of Russian MBS.
Interim Assessment
- 2024/2025 3rd module0.08 * Homework: Compose your best portfolio from a given list of Russian MBS. + 0.03 * Homework: Looking at a mixed U.S. aircraft deal. Would you buy its BBB? + 0.07 * Homework: Looking at a recent Russian Consumer ABS deal. + 0.07 * Homework: Looking at a recent Russian MBS deal. + 0.05 * Homework: Modeling Floater / Inverse IO + 0.03 * Homework: Modeling junior OC test. + 0.05 * Homework: Modeling level-pay loans + 0.05 * Homework: Modeling three-tranche write-down structure + 0.03 * Homework: Pretend that the mall you know is in SASB deal. Would you buy its BBB? + 0.04 * Homework: borrowing from the swap. + 0.5 * final exam
