Securitisation Applied

Upcoming course dates

Course overview

Securitisation Applied is the final course in the ASF’s professional development pathway. This two day course is designed for those working at the frontline of the securitisation industry who wish to enhance their practical skills and knowledge of structuring and cash flow modelling. It is also suitable for specialists who support securitisation businesses, such as credit risk, capital management and finance. 

The course comprises a blended approach of self-study (pre-reading of course materials) and workshops facilitated by experienced industry professionals. Upon completion of the Securitisation Applied Program, you should be able to:

  • Apply securitisation industry standards to ensure information on deals and transactions is consistent and reliable
  • Interpret emerging trends and reforms and assess their likely impact on the securitisation market both domestically and internationally
  • Assess/analyse the key factors that impact on the success or otherwise of a securitisation transaction
  • Evaluate tools and technology relevant to deal structuring and transactions
  • Critically analyse cash flow models, deal structures and transactions and communicate recommendations to relevant parties

Structuring, Cash Flow and Waterfall Modelling

The Structuring, Cash Flow and Waterfall Modelling module covers the skills required to understand, build and manage modelling within the securitisation process. On completion of this module, you should be able to:

  • Analyse issues that emerge in cash flow modelling and deal structuring
  • Apply the CPR and WAL calculating methodologies, assumption dynamics and yield analysis to the case study
  • Run scenarios and explore the workings of basic single and multiple tranche models
  • Apply calculation methodologies, assumptions and yield analysis to cash flow models
  • Analyse the key advanced cash flow modelling issues that emerge in the case study
  • Create solutions and recommendations when problems arise in deal structuring
  • Explain how excess spread is reserved and worked through the waterfall, and the application of the threshold rate and its effect on the waterfall
  • Determine the sections of an information memorandum relevant to building a cash flow model
  • Evaluate scenario test variations of a cash flow model and the use of multiple tranches
  • Assess how the variations of pool performance affect excess spread.

Credit Risk

On completion of this module, you should be able to:

  • Assess the key credit risk factors for different asset classes, including residential mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities, asset-backed commercial paper and structured credit
  • Assess the key non-asset related credit risks that often form part of securitisation transactions, including sovereign risk, counterparty risk and commingling risk
  • Examine how a transaction’s key structural features and cash flow allocations interact with and impact credit risk over time
  • Evaluate how the economic environment and the timing and severity of economic stress can impact on credit performance
  • Assess key non-credit factors, such as market risk, liquidity risk and operational risk and their impact on credit risk
  • Analyse the key benefits and limitations of different credit risk analysis techniques when evaluating credit risk in securitisation transactions

Relative Value

The Securitisation Relative Value module will walk the participant through the decision making processes used when looking to securitised assets as an investment within a fixed interest or diversified portfolio or as a as a financing tool within a liability portfolio. On completion of this module, you should be able to:

  • Establish a framework for defining financial asset and/or liability management priorities
  • Define and assign value measures to financial management priorities
  • Utilise established priorities and value measures to choose appropriate financial instruments which meet investment guidelines and targets or issuing strategies in order to meet funding objectives
  • Review the key structural and other risk characteristics of Australian securitised assets
  • Understand the impact that these characteristics of Australian securitised assets have on the return and valuation profile of financial asset portfolios and the expense repayment profile of financial liability portfolios

Course fees (inc. GST)

  • $1,800 - ASF members
  • $2,400 - Non-members



Lynsey Jackson on +61 2 8243 3907 or


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Australian Securitisation Journal

The Australian Securitisation Journal (ASJ) is the official journal of the Australian Securitisation Forum. The ASJ is published by KangaNews on a semi-annual basis.

Read the official journal of the ASF

Market snapshot

View a snapshot of the Australian structured credit market, courtesy of Macquarie Debt Markets Research. Key data is refreshed on a monthly basis.

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