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Consumer ABS Europe

Credit Risk Drivers of Performance

A one-day workshop to develop an in-depth analytic approach to assessing the credit risk, structural aspects and returns of Credit Card and Auto ABS asset classes.

Course Objectives

Participants will be equipped to:
  • Use a structured approach to evaluate the risk profile of credit card and auto loan ABS by assessing the collateral, originator, servicer and structure
  • Understand the impact of performance variables on risk assessment models
  • Critique transaction structures to identify and assess the risks and mitigants
  • Evaluate the relative risks and rewards of consumer ABS across the rating spectrum.

Target Audience

Investors, issuers, fund management professionals and those involved in ABS credit risk management.

Content

INTRODUCTION
Analytic approach to credit
  • A structured approach to analysis: purpose, payback, risks and structure
  • Applying the approach to ABS asset classes (e.g. credit cards, auto loans)
  • Purpose/payback: originator motivations and sources of repayment.
RISKS TO REPAYMENT
Collateral analysis
  • Collateral features of ABS assets: credit card and auto loan
  • Key variables which impact the likelihood of default and severity of loss
  • Defining the base case: using static/vintage data and steady state assumptions
  • Model approach: applying stresses to pools and sub-pools
  • Stress multiples: loss approach and obligor concentrations
  • Modelling the impact of key performance variables
  • Deriving credit enhancement levels.
Originator evaluation
  • Company analysis: commercial/financial viability
  • Risks arising from the business model
  • Credit risk management and underwriting.
Servicer evaluation
  • Loss mitigation: capabilities, strategy and procedures
  • Specialised needs for specialized assets
  • Third party servicers and replacement risk.
STRUCTURE
Credit enhancement (CE)
  • Unravelling different types of internal and external CE
  • Allocating losses within deal structures
  • Evaluating changing forms and amounts of CE
  • Ensuring CE mechanisms protect investor interests.
Profile
  • Waterfall structures: protecting priority of payments
  • Comparing pay structures: sequential, pro rata, modified pro rata, shifting pay etc.
  • Revolving and amortising pools: special considerations
  • Expected and legal maturity, soft bullets and redemption features.
Structural safeguards
  • Eligibility criteria: controlling new additions
  • Trigger events: types, mechanics, and applications
  • Ensuring trigger events capture key risks
  • Evaluating liquidity structures and providers
  • Using swaps to hedge various risks.
Legal safeguards
  • Security, tax and regulatory areas of concern
  • Events of default, reps and warranties.
Pricing
  • Spreads across the credit spectrum and asset classes
  • Moving down the curve: value versus risk.
MONITORING PERFORMANCE
  • Surveillance: Collateral, servicer/originator and counterparty
  • Interpreting performance to identify early warning signals
  • Credit trends: migration and developing pockets of risk.

Workshop Times

Below are typical timings for our courses; upon registration we shall advise you if these have changed.

Breakfast: 8.30am
Course Start: 9.00am
Course End: Between 5.00pm and 5.30pm
Lunch starts between 12.30pm and 1.00pm, and lasts no longer than 1 hour.
Short breaks of 10 - 15 minutes are taken mid morning and mid afternoon.

Please make your course selection
London -
Date to be confirmed
Register Interest
The majority of Fitch Training programmes are offered at an intermediate and advanced level. There are no specific prerequisite courses to attend our programmes, however some topic knowledge maybe required. Please refer to the target audience on the course page for more details.

For any other course or registration related questions please visit our FAQ page or contact us on enquiry@fitchtraining.com
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NASBA

The majority of Fitch Training programmes are offered at an intermediate and advanced level. There are no specific prerequisite courses to attend our programmes, however some topic knowledge maybe required. Please refer to the target audience to see what level of prior knowledge is required for a specific course.

The pre-course reading materials will be sent to each participant in preparation for their attendance on the course.

Client Comments
"In depth understanding of the trainer with knowledge of ABS matter. Very professional with good time management."
- Tristan Cheeseman
- Commerzbank
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