Course 07 · Capital Markets Trading & Risk Academy

Securitized Credit

Follow the cash flow. Model the pool. Respect the waterfall.

Every chapter has a unique title and a 30-50-word description. A fully developed lesson must add an identified source or specimen deal document, an asset tape, dated cash-flow assumptions, a tranche waterfall or related calculation, a stressed path, a reproducible solution, and a graded decision. Legal waterfall and trigger behavior must be checked against the actual deal documents; example structures do not imply universal terms.

100 chapters · 10 modules · beginner to advanced · spreadsheet first, Python and SQL optional

Enrol or enquire See the 100 chapters
The continuous case

One book, carried through all ten modules

Meridian Structured Credit Desk invests in a fictional mortgage pool, an auto-loan ABS, a commercial mortgage deal, and a leveraged-loan CLO. The fictional sponsor is Northbridge Capital; the named borrower, servicer, trustee, and guarantor vary by security. Aster debt from Course 06 appears only as one possible CLO loan exposure, never as a repeat single-name credit lesson. Prices, delinquency paths, timing, recovery, and pool data are illustrative.

The firm, positions, prices and counterparties are fictional teaching inputs. They do not describe any real institution or transaction.

Curriculum

10 modules · 100 chapters

Each module closes with an artefact, and the ten artefacts accumulate into the final pack the learner defends. Chapters build in order rather than standing alone.

M1 Securitization map and investor claims Ch 1-10
  1. Why Pool Assets into Securities?
  2. Asset Families and Cash-Flow Drivers
  3. Originator, Sponsor, Depositor and Issuer
  4. Pool Eligibility and Asset Tape
  5. True Sale and Bankruptcy Separation
  6. Tranches and the Investor Priority Stack
  7. Credit Enhancement Toolkit
  8. Static, Revolving and Managed Pools
  9. Offering Documents and Investor Reports
  10. Structure Capstone: Who Owes Meridian?
M2 Waterfalls, servicing and structural triggers Ch 11-20
  1. Collect Principal, Interest and Fees
  2. Available Funds and Payment Dates
  3. Sequential Principal Waterfall
  4. Pro Rata Payments and Switch Triggers
  5. Loss Allocation and Subordination Erosion
  6. Reserve Accounts and Excess Spread
  7. Servicer Advances and Recoverability
  8. Clean-Up Calls and Optional Redemption
  9. Trustee Report Reconciliation
  10. Waterfall Capstone: Trigger Day
M3 Residential mortgage securities and agency MBS Ch 21-30
  1. The Mortgage Borrower's Cash Flows
  2. Weighted Coupon, Age and Maturity
  3. CPR, SMM and PSA Conventions
  4. Refinancing and Borrower Incentives
  5. Housing Turnover, Seasonality and Burnout
  6. Agency Guarantor and Residual Risks
  7. TBA Contract Versus Specified Pool
  8. MBS Premium, Discount and Principal Return
  9. Nonagency RMBS Credit and Waterfalls
  10. Mortgage Capstone: Rate Shock and Refinancing
M4 Consumer and equipment asset-backed securities Ch 31-40
  1. Auto Loan Pool Underwriting Variables
  2. Auto Loan Amortization and Prepays
  3. Vehicle Recovery and Net Loss Severity
  4. Auto ABS Overcollateralization Build
  5. Credit Card Master Trust Mechanics
  6. Payment Rate, Yield and Excess Spread
  7. Student Loan and Other Consumer ABS
  8. Equipment Leases and Residual Value
  9. Consumer Vintage Surveillance
  10. Consumer ABS Capstone: Four Cash Drivers
M5 Commercial mortgage-backed securities Ch 41-50
  1. Property Cash Flow and Net Operating Income
  2. DSCR, Debt Yield and Loan-to-Value
  3. Conduit, Single-Asset and Multifamily Pools
  4. Interest-Only Period and Balloon Maturity
  5. Prepayment Protection and Defeasance
  6. Servicing Transfer and Workout Timeline
  7. Appraisal Reduction and Tranche Support
  8. Tenant Rollover and Office Stress
  9. CMBS Loan-Level Watchlist
  10. Property Credit Capstone: The Balloon Fails
M6 Collateralized loan obligations Ch 51-60
  1. Corporate Loan Pool Versus Single Issuer
  2. Warehouse, Ramp-Up and CLO Closing
  3. Floating-Rate Loans and CLO Liabilities
  4. Reinvestment Period and Manager Discretion
  5. Interest and Principal Waterfalls in a CLO
  6. Overcollateralization and Interest Coverage Tests
  7. Low-Rated Asset and Haircut Treatment
  8. Defaulted Loan Sale or Workout
  9. CLO Equity Cash-on-Cash Return
  10. CLO Capstone: OC Test Fails
M7 Security valuation, yield and option-adjusted analysis Ch 61-70
  1. Expected Cash Flows Before Discount Rates
  2. Price, Yield and Weighted Average Life
  3. Discount Margin on Floating Tranches
  4. Agency MBS Option-Adjusted Spread
  5. Effective Duration and Negative Convexity
  6. Extension Risk When Rates Rise
  7. Tranche Expected Loss and Tail Loss
  8. Price Quotes and Execution Conventions
  9. Independent Price Verification for Illiquid Notes
  10. Valuation Capstone: The Same Price, Different Risk
M8 Pool behavior, model challenge and tail stress Ch 71-80
  1. Delinquency Roll Rates and Cure Paths
  2. Default Timing and Loss Severity Interaction
  3. Geographic and Vintage Correlation
  4. Senior Tranche Attachment Sensitivity
  5. Trigger Cliff and Feedback Effects
  6. Prepayment Model Risk and Servicing Change
  7. Recovery Lag and Workout Friction
  8. Reverse Stress the Mezzanine Tranche
  9. Scenario P&L and Liquidity Exit
  10. Risk Capstone: Four Deals, One Recession
M9 Trading, surveillance, disclosure and controls Ch 81-90
  1. Pre-Trade Deal Diligence Checklist
  2. Trustee and Servicer Reporting Calendar
  3. Asset-Level Disclosure and Data Limits
  4. Risk Retention and Alignment Claims
  5. EU STS Label and Its Limits
  6. Rating Methodology Versus Investor Loss Model
  7. Transaction Data and Market Depth
  8. Manager and Servicer Performance Review
  9. Operational Event and Waterfall Exception
  10. Control Capstone: False Credit Enhancement
M10 Integrated Meridian structured-credit desk defense Ch 91-100
  1. Four-Deal Mandate and Source Pack
  2. Collateral Tape Validation
  3. Four Contractual Waterfalls
  4. Base-Case Principal and Loss Paths
  5. Rate Rally and Refinancing Surge
  6. Consumer Loss and Reserve Depletion
  7. CLO Downgrade and Cash Diversion
  8. Adverse Correlation and Liquidation Shock
  9. Investment Committee Decision Pack
  10. Senior Desk Defense and Sign-Off
How it is delivered

Three ways to take Securitized Credit

Self-paced is a document-and-media programme with lifetime access - no live sessions. Cohort and enterprise add live instructor-led training. Mentorship is not offered in any tier.
Feature Self-paced Cohort Enterprise
Format Written chapters, video explainers and podcasts Everything in self-paced, plus scheduled live sessions Everything in cohort, delivered privately to your team
Live sessions None Scheduled, instructor-led Scheduled, instructor-led, private
Mentorship Not offered Not offered Not offered
Access Lifetime Lifetime Lifetime for every enrolled seat
Pace Entirely your own Guided schedule with a peer group Agreed with your desk
Tailoring Fixed curriculum Fixed curriculum Sequenced to your markets, systems and governance
Best for Individuals learning around a job Individuals who want structure and deadlines Desks building the same capability together
For individuals

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The full chapter list, what each module covers, and how the tiers compare - sent to your inbox as a PDF.

For teams

Run this for my desk

Private delivery for your desk, sequenced to your markets and systems. Tell us the team and we will scope it.

Run this for my desk

Take it on its own, or as part of the academy

Each course stands alone. Taken in order, the ten build one cross-asset trading and risk capability.

Enrol or enquire See the whole academy