🏦 Part of our Banking & Financial Services Industry Training Series — browse all related courses →
About This Course
Asset-backed securities represent one of the most sophisticated and consequential instruments in modern capital markets. By transforming illiquid assets — mortgages, auto loans, trade receivables, credit card balances — into tradeable securities, securitisation redistributes credit risk across the financial system and unlocks significant funding capacity for originators. Yet the same complexity that makes these instruments powerful also makes them prone to misunderstanding and mismanagement, as the 2008 global financial crisis dramatically demonstrated.
This five-day training programme offered by TrainingComplex provides a rigorous, end-to-end examination of asset-backed securities and the credit risk management disciplines that must accompany them. Participants will develop a clear conceptual and technical command of how ABS transactions are structured, how cash flows are modelled, how tranching and credit enhancement mechanisms work, and how rating agencies and regulators assess these structures. Equal attention is given to the credit risk dimension — probability of default, loss given default, exposure at default, stress testing, and portfolio surveillance.
The programme is designed for professionals operating in banking, investment management, treasury, regulatory oversight, and structured finance advisory roles. It assumes a working knowledge of financial markets and credit fundamentals, and builds purposefully from foundational concepts through to advanced analytical and risk governance skills. Participants leave with practical tools, frameworks, and models they can apply immediately within their organisations.
TrainingComplex's delivery approach combines expert instruction with case studies drawn from real ABS transactions, structured group exercises, quantitative modelling workshops, and regulatory scenario analysis. By the end of the programme, delegates will be equipped not only to understand and price ABS instruments but also to design and implement robust credit risk management frameworks appropriate to their institution's strategy and regulatory environment.
Who Should Attend
- Credit risk analysts and managers in commercial and investment banks
- Structured finance and securitisation professionals
- Treasury officers responsible for funding and liquidity management
- Fixed income portfolio managers and investment analysts
- Regulatory and compliance officers overseeing structured finance activities
- Rating agency analysts covering ABS and structured credit
- Audit professionals specialising in financial instruments and credit exposures
- CFOs and finance directors seeking deeper understanding of off-balance-sheet structures
Learning Objectives
- Explain the mechanics of securitisation and the role of asset-backed securities in capital markets
- Identify and analyse the major asset classes underlying ABS transactions, including RMBS, CMBS, auto ABS, and CLOs
- Model cash flows through ABS structures, applying waterfall mechanisms and priority of payments
- Evaluate credit enhancement techniques including overcollateralisation, subordination, reserve funds, and credit wraps
- Assess credit risk using probability of default, loss given default, and exposure at default frameworks
- Apply stress testing and scenario analysis to structured finance portfolios
- Interpret credit rating methodologies used by Moody's, S&P, and Fitch for ABS transactions
- Ensure compliance with relevant regulatory frameworks including Basel III/IV, IFRS 9, and EU Securitisation Regulation
- Design and implement credit risk monitoring and surveillance processes for ABS portfolios
- Communicate structured finance risk exposures effectively to senior management, boards, and regulators
Course Modules
Module 1: Foundations of Securitisation and Structured Finance
- Origins and evolution of the securitisation market
- Key participants: originators, SPVs, servicers, trustees, and investors
- True sale and bankruptcy remoteness: legal underpinnings
- Comparison of on-balance-sheet lending versus securitisation funding
- Economic rationale: capital relief, liquidity, and investor diversification
- Global ABS market overview: volumes, asset classes, and geographic trends
Module 2: Asset Classes and Underlying Pool Characteristics
- Residential mortgage-backed securities (RMBS): pool composition and performance drivers
- Commercial mortgage-backed securities (CMBS): property types and underwriting standards
- Auto ABS: loan and lease structures, prepayment behaviour
- Consumer credit ABS: credit card receivables and personal loan pools
- Collateralised Loan Obligations (CLOs): leveraged loan portfolios and manager selection
- Trade receivables and esoteric ABS: emerging asset classes and due diligence considerations
Module 3: ABS Transaction Structure and Documentation
- Special Purpose Vehicle (SPV) design and legal structure
- The securitisation waterfall: priority of payments explained
- Tranching: senior, mezzanine, and junior/equity piece dynamics
- Key transaction documents: prospectus, pooling and servicing agreement, indenture
- Servicing standards: collections, defaults, and recovery procedures
- Role of the trustee, paying agent, and account bank in transaction governance
Module 4: Credit Enhancement Mechanisms
- Subordination and over-collateralisation as internal credit support
- Reserve funds and liquidity facilities: sizing and trigger events
- Excess spread: definition, calculation, and trapping mechanisms
- External credit enhancement: financial guarantees and credit wraps
- Trigger mechanisms: performance triggers, early amortisation events, and step-down tests
- Comparative analysis: selecting the optimal credit enhancement mix for a given transaction
Module 5: Cash Flow Modelling and Waterfall Analysis
- Building a static pool cash flow model: inputs, assumptions, and outputs
- Modelling prepayment rates: CPR, PSA benchmark, and conditional prepayment assumptions
- Default and recovery timing: lag assumptions and their impact on cash flows
- Waterfall mechanics: sequential pay, pro-rata pay, and hybrid structures
- Sensitivity analysis: varying prepayment, default, and interest rate assumptions
- Interpreting model outputs for investment decision-making and risk assessment
Module 6: Credit Risk Fundamentals for Structured Finance
- Probability of Default (PD): obligor-level and pool-level estimation
- Loss Given Default (LGD): collateral valuation, recovery rates, and workout costs
- Exposure at Default (EAD): drawn amounts, undrawn commitments, and timing
- Expected loss versus unexpected loss in ABS portfolios
- Correlation and concentration risk: asset pool diversification analysis
- Internal credit rating systems applied to ABS collateral pools
Module 7: Credit Rating Methodologies for ABS
- Overview of Moody's, S&P, and Fitch rating frameworks for structured finance
- Quantitative analysis: default probability mapping and loss distribution modelling
- Qualitative factors: originator quality, servicing capability, and legal opinion robustness
- Rating transition and surveillance: how ratings evolve over a transaction's life
- Differences between corporate credit ratings and structured finance ratings
- Engaging with rating agencies: preparing rating committee submissions and responding to questions
Module 8: Stress Testing and Scenario Analysis
- Regulatory stress testing requirements under Basel III/IV and ECB/PRA guidance
- Designing stress scenarios: mild, severe, and adverse macroeconomic environments
- Applying stress to ABS cash flow models: default shocks, recovery haircuts, and spread widening
- Sensitivity of tranche ratings and credit enhancement to stressed assumptions
- Reverse stress testing: identifying scenarios that cause structural failure
- Integrating ABS stress results into firm-wide ICAAP and liquidity risk frameworks
Module 9: Regulatory and Accounting Frameworks
- EU Securitisation Regulation: STS criteria, risk retention, and transparency requirements
- US regulatory landscape: Dodd-Frank risk retention rules and SEC Regulation AB
- Basel III/IV treatment of securitisation exposures: SEC-IRBA, SEC-SA, and IAA approaches
- IFRS 9 implications: derecognition, classification, and expected credit loss for ABS
- Capital relief securitisation versus funded risk transfer structures
- Regulatory reporting obligations: investor reports, loan-level data, and repository submissions
Module 10: Portfolio Surveillance, Governance, and Risk Reporting
- Establishing an ABS portfolio monitoring framework: key performance indicators and triggers
- Early warning indicators: delinquency trends, excess spread compression, and pool factor decline
- Credit risk governance: roles of the CRO, credit committee, and board risk committee
- Investor reporting standards: European DataWarehouse, EDGAR, and institutional investor expectations
- Managing distressed ABS positions: restructuring options, servicer replacement, and enforcement
- Communicating ABS credit risk to senior management, auditors, and regulators effectively
Requirements & Prerequisites
Participants should have a working knowledge of financial markets, banking products, and basic credit concepts. Familiarity with financial statement analysis and fixed income instruments is strongly recommended. Prior exposure to structured finance or derivatives is helpful but not essential, as foundational concepts are covered in the early modules.
Training Methodology
- Live instruction and structured lectures covering ABS mechanics, credit risk theory, and regulatory frameworks in progressive depth
- Case study analysis of real ABS transactions — including RMBS, CLO, and auto ABS deals — tracing origination through to investor reporting
- Quantitative modelling workshops in which participants build and stress-test ABS cash flow waterfalls using spreadsheet-based tools
- Credit rating simulation exercises where participant teams assess a sample pool and assign ratings using agency-style methodologies
- Regulatory scenario analysis mapping Basel III/IV, IFRS 9, and EU Securitisation Regulation requirements to practical compliance decisions
- Group portfolio surveillance exercises requiring participants to monitor a simulated ABS portfolio and respond to early-warning triggers
- Peer-to-peer discussion and structured debate on credit risk governance best practices and structured finance ethics
- Take-home reference toolkit including cash flow model templates, credit risk scorecards, and regulatory compliance checklists
Organisational Benefits
- Stronger institutional capability to originate, structure, and invest in ABS transactions with appropriate risk controls
- Improved credit risk identification and measurement across structured finance portfolios
- Better-informed investment decisions supported by robust due diligence and cash flow analysis
- Reduced regulatory and reputational risk through enhanced compliance with securitisation and credit risk rules
- More effective stress testing and scenario planning linked to portfolio surveillance
- Enhanced dialogue with rating agencies, investors, and regulators through shared technical language
- Greater confidence among treasury and funding teams in utilising securitisation as a funding tool
- Strategic advantage in deploying structured finance solutions to meet business and capital objectives
Where Is Asset-Backed Securities and Credit Risk Management Training Offered?
This course runs in-person across: Kigali, Cape Town, Nairobi, Nakuru, Mombasa, Lagos, Zanzibar, Riyadh, Abuja, Dubai, Arusha, Accra, Naivasha, Dar es Salaam, Kisumu, Kampala, Addis Ababa, Pretoria, Johannesburg, plus Live Virtual (online) cohorts. Browse live dates for your city below.
Upcoming Schedules
| Location | Format | Dates | Price |
|---|
| Live Virtual |
Online |
19 Oct 2026 – 23 Oct 2026 |
KES 80,000 |
| Live Virtual |
Online |
24 Oct 2026 – 15 Nov 2026 |
KES 80,000 |
| Kigali, Rwanda |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
USD 1,900 |
| Cape Town, South Africa |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
USD 3,800 |
| Nairobi, Kenya |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
KES 115,000 |
| Nakuru, Kenya |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
KES 120,000 |
| Mombasa, Kenya |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
KES 120,000 |
| Lagos, Nigeria |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
USD 2,500 |
| Zanzibar, Tanzania |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
USD 2,500 |
| Riyadh, Saudi Arabia |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
USD 4,500 |
| Abuja, Nigeria |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
USD 2,800 |
| Dubai, United Arab Emirates |
In-Person |
26 Oct 2026 – 30 Oct 2026 |
USD 4,100 |
| Nairobi, Kenya |
In-Person |
2 Nov 2026 – 6 Nov 2026 |
KES 105,000 |
| Dubai, United Arab Emirates |
In-Person |
2 Nov 2026 – 6 Nov 2026 |
USD 4,100 |
| Arusha, Tanzania |
In-Person |
2 Nov 2026 – 6 Nov 2026 |
USD 2,100 |
+228 more dates — view live schedule →
Frequently Asked Questions
Who is this course designed for?
The programme is aimed at finance and risk professionals with existing knowledge of financial markets who want to develop or deepen their expertise in asset-backed securities and credit risk management. Typical delegates include credit analysts, portfolio managers, treasury officers, compliance professionals, and structured finance advisors.
Do I need prior experience in structured finance to attend?
A basic understanding of financial markets and credit concepts is expected, but prior hands-on experience in structured finance is not required. The early modules build foundational knowledge systematically, making the programme accessible to professionals transitioning into ABS roles as well as those looking to formalise existing knowledge.
Will participants receive a certificate upon completion?
Yes. All delegates who complete the five-day programme will receive a TrainingComplex Certificate of Completion in Asset-Backed Securities and Credit Risk Management, which can be referenced in professional development records and CPD portfolios.
Is the course relevant to participants outside of Europe and North America?
Absolutely. While the programme covers EU and US regulatory frameworks in depth, the underlying credit risk and structuring principles are universally applicable. Participants from African, Middle Eastern, and Asian markets will find the technical content directly transferable, and regional regulatory comparisons are incorporated throughout the course.
What materials and tools will participants take away?
Participants receive a comprehensive course binder, access to spreadsheet-based ABS cash flow model templates, credit risk scorecards, a regulatory compliance checklist, and a curated reference list of key ABS market publications and data sources. These tools are designed for immediate application in participants' day-to-day roles.
