Davide Tait
All courses

Module 5 · Coming soon

Structured Products

Securitisation, tranching and CLO cash flow waterfalls under stress.

9 episodes2h 45mEntry · Intermediate · Advanced
Course on The Alternatives
Structured Products

Structured products are plumbing. Once you can follow a cash flow from borrower to tranche holder, the ratings stop doing your thinking for you.

The module ends with a CLO waterfall model you run under varying default and prepayment scenarios.

What you will learn

  • Explain securitisation, originators and SPV mechanics
  • Walk a deal from AAA down to the equity tranche
  • Use overcollateralisation and interest coverage tests correctly
  • Model CLO cash flows under default and prepayment stress

Episode curriculum

Entry

  1. What securitisation actually does18m
  2. Originators, SPVs and true sale19m
  3. Tranching basics17m

Intermediate

  1. AAA to equity tranche mechanics24m
  2. Overcollateralisation tests21m
  3. Interest coverage tests and diversion20m

Advanced

  1. Building the CLO cash flow waterfall30m
  2. Default and recovery assumptions25m
  3. Prepayment and stress test scenarios27m