Fixed Income and Debt

Securitization - Part 3 (2020)


This eCourse consists of two modules. Module 1 looks at the main types of non-RMBS securities issued in the US, with a particular focus on credit card, auto loan, and commercial mortgage-backed securities. The key features and risks of these instruments and their associated market terminology are also dealt with in detail.

Module 2 looks at the key motives for financial institutions to transfer credit risk in an ABS securitization. The crucial concept of true sale and bankruptcy remoteness, and the process by which market participants analyze ABS securitizations are also examined in detail.


On completion of this course, you will be able to:
- Identify the key features credit card ABS, including average life, revolving and amortizing periods, and forms of credit enhancement
- Recognise the process of securitizing auto loans and leases
- Recall the main risks, triggers, and terminology associated with ABS
- Identify the main characteristics of commercial mortgage-backed securities (CMBS) and recall how this market developed
- Identify the main motivations for transferring credit risk in an ABS securitization including, reducing regulatory capital, working capital management, and collateral management
- Recognise the importance of true sale and SPV bankruptcy remoteness in a securitization
- Recall how investors, analysts, and ratings agencies analyze the underlying portfolio in a securitization and assess its cash flows

Content Highlight

Module 1: Securitization - US Non-MBS
Topic 1: Credit Card ABS
Topic 2: Auto Loan ABS
Topic 3: ABS Risks, Triggers, & Terminology
Topic 4: Commercial Mortgage-Backed Securities (CMBS)

Module 2: Securitization - Credit Risk & Ratings
Topic 1: Transfer of Credit Risk
Topic 2: True Sale & Bankruptcy Remoteness
Topic 3: Credit Risk Analysis

Administrative Details

Relevant Subject
Type 1 - Dealing in securities
Type 4 - Advising on securities
Type 9 - Asset management
Type 10 - Providing credit rating services
SFC:2.00, PWMA:2.00
All Member: HKD640
Chinese Securities Association of Hong Kong (HKCSA): HKD670
Non-Member: HKD960
Staff of Corporate Member: HKD640