Fixed Income and Debt

Securitization - Part 1 (2020)


This eCourse consists of two modules. Module 1 examines the importance of securitization in transferring risk and reducing regulatory capital requirements. The securitization process is described in detail and the US agency MBS market is also explored.

Module 2 looks at the key structures and loan types used in the MBS market, with a particular focus on the US RMBS market. The key risks that affect MBS structures, such as, correlation risk, default risk, and credit spread risk are also discussed in detail. The module also provides a worked example in Excel illustrating the economics of holding the junior/equity tranche in a securitization.


On completion of this course, you will be able to:
- Define securitization and identify the qualities that make certain assets suitable for securitization
- Recognise the main elements of the securitization process, including the transfer of assets to a bankruptcy remote special purpose vehicle (SPV), and the tranching, rating, and issuance of asset-backed securities
- Identify the main risks transferred in a securitization and the motivations for doing so
- Recognise the key features of the US agency MBS mortgage market, including the role of government-sponsored entities (GSEs) such as the GNMA and FNMA
- Recognise the key sectors of the US residential mortgage-backed security (RMBS) market, including agency securities issued by government-sponsored entities (GSEs) and non-agency securities backed by jumbo, Alt-A, and subprime loan assets
- Identify the key risks affecting the MBS securitization, such as correlation risk, default risk, and credit spread risk


Module 1: Securitization - An Introduction
Topic 1: Basics of Securitization
Topic 2: Securitization Process
Topic 3: Risk Transfer
Topic 4: Agency Securitization

Module 2: Securitization - MBS Types & Risks
Topic 1: Types of Securitization
Topic 2: Risks of Securitization


Relevant Subject
Type 1 - Dealing in securities
Type 4 - Advising on securities
Type 9 - Asset management
Type 10 - Providing credit rating services
SFC:1.50, PWMA:1.50
All Member: HK$460
Staff of Corporate Member: HK$460
Non-Member: HK$665