HOME
 

CLO Credit Risk

Fitch Learning
Course summary
2 days
2,295 GBP excl. VAT
Professional Training
Next available date: 02/11/2021 - Online courses
Course Dates
Online courses
2,295 GBP
02/11/2021

Online courses
2,295 GBP
29/11/2021

Course description

CLO Credit Risk

This two-day course is an overview of the techniques for analyzing the risks in a Collateralized Loan Obligation (CLO). The focus is on the key risks of investing in CLOs, as well as the motivations for issuing/managing CLOs, and the structural elements.

Live Online Training

Since 2003, Fitch Learning’s industry experts have been delivering world-renowned virtual training programs to learners across the globe. Benefits include:

  • World-class video conferencing technology
  • Fully interactive, engage and network with peers using break out rooms, quizzes and polls
  • On-hand technical support team throughout
  • Attend from anywhere, across four time zones
  • Save time and costs on travel

Suitability - Who should attend?

This course would be ideal for an investment manager who is interested in creating a portfolio of CLOs, a credit analyst covering the risk assessment of CLOs, and any party working with CLOs. From junior structurers, to operations staff, trustees, paying agents, and warehouse facility providers.

Training Course Content

Day One

Analytic Overview

The goals of this section are to highlight key elements of the CLO market and to establish a framework of analysis for CLOs.

Industry overview

  • CLOs in the context of the high yield market
  • Why CLOs? Motivations behind the deal.

Analytic approach to credit evaluation

  • Applying the analytic framework to CLOs: Purpose, payback, risks and structure
  • Exercise: Examining differences in pre- and post-crisis CLOs

Risks to Repayment

The goal of this section is to consider issues related to the CLO assets and asset managers which could affect repayment of CLOs.

Underlying assets

  • Defining the underlying assets
  • Identifying the key variables which impact likelihood of default and recovery
  • Assessing asset credit quality
  • Default probability: The use of credit ratings, calculating WARF (weighted average rating factor)
  • Recovery rate: Examining asset security and adjustments to standard assumptions
  • Impact of covenant-lite loans
  • Importance of diversification
  • Asset concentration and correlation
  • Cash flow analysis: Understanding portfolio credit quality under various stress scenarios

Asset manager

  • Scope of manager’s role
  • Methodology for assessing CLO asset managers
  • Key person risk
  • Management replacement provisions

Structure

The goal of this section is to understand how the features of CLO transactions address repayment risk and provide returns to investors.

Credit enhancement

  • The role of credit enhancement: Loss allocation
  • Sizing: How the level of credit enhancement is determined for the target ratings

Note profile

  • Terms and conditions
  • Ramp up, reinvestment and amortization periods
  • Class X: The role of excess spread
  • Waterfall structures: Protecting priority of payments
  • Unravelling payment flows: Sources, applications and redistribution of funds
  • Expected and legal maturity; extension risk, optional redemption features
  • Exercise: Unravelling waterfall structures

Day Two

Structure (continued)

Structural safeguards

  • Target portfolio characteristics and managing to dynamic collateral quality tests
  • Coverage tests (OC and IC): Rationale, definitions and implications
  • Events of default; liquidations
  • Understanding sales, trading and reinvestment criteria and controls
  • Counterparty risk
  • Exercise: Examining CLO coverage tests
  • Exercise: Evaluating structural features of CLOs

Legal framework

  • Bankruptcy remoteness and non-consolidation
  • Validity of transfer/perfection of security
  • Regulatory issues: Risk retention proposals, Foreign Account Tax Compliance Act

Market conditions

  • Relative value: Comparing returns across asset classes
  • Current market topics: CLOs going static, asset manager consolidation
  • CLO market performance

Monitoring Performance

The goal of this section is to highlight the on-going evaluation of CLO programs.

  • Timely and adequate reporting
  • Tracking portfolio changes and performance
  • Asset defaults, restructurings and recoveries
  • Surveillance and rating changes: Expectations vs. performance through the cycle

Why choose Fitch Learning

9 in 10 would recommend us to a colleague

Over 1,300 clients worldwide

CPD recognized

About provider

Fitch Learning

Live Online Training Since 2003, Fitch Learning’s industry experts have been delivering world-renowned virtual training programs to learners across the globe. Benefits include: World-class video conferencing technology  Fully interactive, engage and network with peers using break out rooms, quizzes and...


Read more and show all courses with this provider

Request info

Fill out your details to find out more about CLO Credit Risk.

  Contact the provider

  Get more information

  Register your interest

Country *

Contact info

Fitch Learning

17th Floor, 25 Canada Square
E14 5LQ Canary Wharf London

 Show phone number
www.fitchlearning.com


Request information

Find out more about this CLO Credit Risk course - simply fill out your details:

Find a course for you!

  Read the course
 summary on this page

 Fill in your details and Request information

 Receive all the info you need

Find more courses here