Securitisation – An Introduction
This two-day training programme is designed to provide delegates with a thorough introduction to securitisation. The syllabus will cover the different types of structures with a primary focus on European transactions, while also covering US mortgage backed securities.

The main principles of the course will be illustrated using several different real-life case studies.

By completing the programme you will:

  • Understand what is meant by securitisation
  • Be familiar with the main participants in the securitisation process
  • Be able to demonstrate different structuring techniques
  • Have a thorough understanding of CDOs, CLO and synthetic deals

Who should attend?

This course is suitable for anyone with an understanding of the fundamental concepts of finance and fixed income that needs a holistic overview of the securitised market.  Previous participants have come from varied backgrounds such as central bankers, traders, middle office analysts and lawyers.

Details of the next seminar

12-13 April 2018

Programme Recognition

Candidates who are successful in gaining the Financial Markets Foundation Qualification qualify for 13 credit hours which can be used towards study with the CFA Institute.

Course Trainers

The syllabus is divided into several topic areas, which are then broken down into multiple subtopics:

1. Motivations
  • What is securitisation?
  • Main participants
    • Case study: Whole Business Securitisation

2. Structuring techniques
  • How are the underlying assets managed?
  • Linking the cash flows of the assets to the notes
  • Repayment of principal
  • Techniques of credit enhancement

3. European Mortgage Backed Securities
  • Commercial Mortgages
    • Case study: Commercial Mortgage Backed Securities
  • Residential Mortgage Backed Securities (RMBS)
    • Case study: RMBS

4. European Consumer Loans
  • Auto loans
    • Case study: Auto loans
  • Credit Cards
    • Case study: Credit Cards

5. Collateralised Loan (& Debt) Obligations
  • Characteristics of CLOs
  • Evolution of CLO structures
  • Analysing CLO structures

6. Synthetic CDOs & index tranches

  • An introduction to Credit Default Swaps (CDS)
    • Credit correlation
    • First to default CDS
  • Features of synthetic CDOs
  • Effects of default
  • Index CDS
  • Tranche investment products

7. US mortgage backed structures

  • Structure of US mortgage backed market
    • Agency vs. non-agency RMBS
    • The ‘to-be-announced’ (TBA) market
  • Pass through securities
    • Cash flow characteristics
    • Underlying collateral characteristics
    • Prepayment risk
    • Weighted average life
    • Contraction and extension risk
  • Collateralised Mortgage Obligations (CMOs)
    • Sequential-pay tranches
    • Planned amortisation class (PAC) tranches

Details of the next course


12-13 April 2018

International Capital Market Association (ICMA) Limited

3rd Floor
23 College Hill
London EC4R 2RP
United Kingdom

Please email to register your interest to attend our next publicly scheduled course.

For security reasons, delegates who have not registered in advance will not be admitted to this course.  Delegates will be required to provide photo identification on arrival, to ensure entry.


£1,650 for members and £1,950 for non-members.

Payment can be made by secure online credit card or by invoice.

Terms and conditions

Please click here to view our terms and conditions before registering.


Should you have any queries, please contact

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