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 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
- What securitisation actually does18m
- Originators, SPVs and true sale19m
- Tranching basics17m
Intermediate
- AAA to equity tranche mechanics24m
- Overcollateralisation tests21m
- Interest coverage tests and diversion20m
Advanced
- Building the CLO cash flow waterfall30m
- Default and recovery assumptions25m
- Prepayment and stress test scenarios27m