2025/2026
Foundations of Securitization
Type:
Mago-Lego
Delivered by:
International College of Economics and Finance
When:
3 module
Open to:
students of one campus
Language:
English
ECTS credits:
3
Contact hours:
28
Course Syllabus
Abstract
Securitization bonds represent about one-third of the total new issuance of securities in the U.S. Sometimes only the U.S. Treasuries are issued in larger volumes. All the rest: stocks, corporates, municipal bonds print less. Most of the institutional investors in the U.S. have significant portions of their portfolios allocated to various securitization sectors. In this course the goals are to 1) Give the students a good overview of various sectors of securitization in the U.S. and European space, starting with the largest one – the Mortgage-backed securities, moving forward to Commercial MBS, then to CLOs, then to Consumer ABS and finishing with Transportation ABS and other, more exotic types. 2) Introduce students to the rapidly developing Russian securitization market. Discuss the recent deals, the process of deal creation and the legal framework for securitizations. 3) Teach students to analyze securitization bonds and to model them. Arm the student with sufficient knowledge and experience to work as a junior trading or structuring analyst on the trading floor. Give the students the skillset to analyze the modern Russian deals and to make investment decisions. Prerequisites. Ideally the student would have studied elementary bond math. Basic accounting concepts are good to have but not required. In general, the course is structured to learn from scratch and students with different backgrounds may successfully study the course.
Learning Objectives
- To develop a general understanding of securitization market in Russia and abroad and to be able to autonomously analyze, model and evaluate securitization bonds.
Expected Learning Outcomes
- analyze securitization securities using offering documents and deal reports, being capable of modeling securitization bonds with Excel;
- evaluate risks and rewards involved in investing between sectors and through the capital structure
- learn to model with Excel the level-pay loans under different prepayment assumptions
- learn to model a simple securitization with Excel
- understand the basics of structuring the sequential deals
- learn to model OC coverage test in more complex structures
- evaluate risks and rewards involved in investing in particular bonds
- analyze securitization securities, apply major bond analytics to them
- understand mechanisms of credit support and of re-distributing the prepayment risk
- know major types of securitizations
- understand basics of the cash-flow modeling
Course Contents
- Securitization. General idea.
- Bonds and Fixed Income (FI) analytics.
- Mortgage-backed securities 1
- Mortgage-backed securities 2
- Mortgage-backed securities 3
- Commercial MBS.
- CDOs
- CDOs: CBOs and CLOs.
- CDOs continued
- Trading MBS / ABS / CLO in the U.S. and Russia. Portfolio management.
- Consumer ABS: structures and risks. U.S. and Russian markets.
- Case-study of a Russian Consumer ABS transaction. Models. Secondary trading.
- Legal and regulatory framework for securitizations in Russia.
- Final review of the course.
Assessment Elements
- Homework 3: Modeling a CLO.
- Homework 4: Comparing two recent Russian Consumer ABS deals.
- Homework 1: Modeling level-pay loans
- Homework 2: Modeling a three-tranche structure
- final exam
Interim Assessment
- 2025/2026 3rd module0.08 * Homework 1: Modeling level-pay loans + 0.08 * Homework 2: Modeling a three-tranche structure + 0.08 * Homework 3: Modeling a CLO. + 0.08 * Homework 4: Comparing two recent Russian Consumer ABS deals. + 0.68 * final exam
