In the dynamic world of financial markets, the ability to manage and optimize capital is a key differentiator for success. Synthetic Risk Transfer (SRT) has emerged as a powerful and innovative tool, enabling financial institutions to de-risk their balance sheets, free up regulatory capital, and enhance lending capacity without the need to sell assets. This intensive training course will provide a comprehensive and practical exploration of SRTs, covering everything from foundational principles to the structuring of complex transactions, empowering professionals to master this critical area of modern finance.

This 10-day program goes beyond the theoretical, offering a hands-on approach to structuring, executing, and managing SRT transactions. Participants will gain a deep understanding of the regulatory landscape, the various types of SRT instruments, and the intricate financial modeling required for successful implementation. By the end of this course, finance professionals will have the strategic knowledge and tactical skills to leverage SRTs to achieve business objectives, optimize capital allocation, and contribute to the overall resilience of their organizations in an ever-changing economic climate.

Duration

10 days

Target Audience

• Capital markets professionals
• Risk management officers
• Corporate and investment bankers
• Treasury department staff
• Financial modelers and analysts
• Portfolio managers
• Regulatory compliance officers
• Credit risk specialists
• Structured finance professionals
• Senior executives in financial institutions

Objectives

• Understand the core concepts of Synthetic Risk Transfer.
• Master the structuring and execution of SRT transactions.
• Analyze the regulatory and accounting treatment of SRTs.
• Identify key risks and mitigants in SRT deals.
• Develop financial models to price and value SRT instruments.
• Explore the role of different parties in an SRT transaction.
• Evaluate the benefits and challenges of using SRTs.
• Understand the legal documentation and conventions.
• Assess the impact of SRTs on a bank's balance sheet.
• Compare SRTs with traditional securitization and loan sales.

Course Modules

• Module 1: Introduction to Synthetic Risk Transfer
• What is Synthetic Risk Transfer?
• The evolution of risk management and capital optimization.
• Why banks use SRTs: capital relief and balance sheet management.
• The key differences between synthetic and traditional securitization.
• An overview of the SRT market and its key players.
• Module 2: Foundational Concepts of Credit Risk
• Understanding credit risk and its components.
• Measuring and managing credit portfolio risk.
• The role of credit default swaps (CDS) and credit derivatives.
• Calculating regulatory capital under Basel Accords.
• The concept of credit protection and its transfer.
• Module 3: Structuring an SRT Transaction
• The key components of a synthetic securitization deal.
• The role of the SPV and the use of credit derivatives.
• Identifying the reference portfolio and its characteristics.
• Tranche structures: senior, mezzanine, and first-loss.
• The waterfall of payments and cash flow mechanics.
• Module 4: SRT Instruments and Mechanics
• Single-name vs. portfolio credit default swaps.
• The use of credit-linked notes (CLNs).
• Portfolio-level SRTs vs. bespoke transactions.
• First-loss protection and the role of the originator.
• The life cycle of an SRT deal.
• Module 5: Regulatory and Accounting Treatment
• Basel III and Basel IV rules for capital relief.
• The regulatory hurdles for qualifying an SRT transaction.
• Accounting treatment under IFRS and US GAAP.
• The impact on risk-weighted assets (RWAs).
• Reporting and disclosure requirements for SRTs.
• Module 6: Financial Modeling for SRTs
• Building a financial model to simulate SRT performance.
• Credit loss modeling and probability of default (PD).
• Loss Given Default (LGD) and Exposure at Default (EAD).
• Pricing credit risk using default probabilities.
• Calculating the value of the credit protection.
• Module 7: Pricing and Valuation of SRTs
• How to price the premium on the credit protection.
• The role of correlation in portfolio risk.
• Valuation methodologies for credit derivatives.
• The impact of market volatility on pricing.
• The interplay between pricing and regulatory capital relief.
• Module 8: Legal Documentation and Due Diligence
• Key legal documents in an SRT transaction.
• The role of ISDA agreements and master agreements.
• Legal and regulatory due diligence.
• Representing and warranting the reference portfolio.
• Managing documentation risk.
• Module 9: The Role of Key Participants
• The role of the originator (the bank).
• The role of the investor (credit protection buyer).
• The role of the arranger and the legal advisors.
• The rating agencies and their impact.
• The role of regulators and supervisors.
• Module 10: Case Studies in SRT Transactions
• Analysis of a real-world SRT deal by a major bank.
• A case study on a successful corporate loan portfolio SRT.
• A study of a residential mortgage-backed SRT.
• Lessons learned from failed or underperforming deals.
• The future of SRTs in a post-pandemic world.
• Module 11: Hedging and Risk Management
• Using SRTs to hedge specific portfolio concentrations.
• The use of basis risk and correlation risk.
• Dynamic hedging strategies with SRTs.
• How SRTs can be used for active portfolio management.
• Managing counterparty risk in credit derivative deals.
• Module 12: Credit Risk and Rating Agencies
• The rating process for SRT transactions.
• The importance of the ratings on different tranches.
• How rating methodologies impact deal structure.
• The limitations of credit ratings.
• Communicating with rating agencies.
• Module 13: Comparative Analysis: SRT vs. Securitization
• The pros and cons of SRTs vs. traditional securitization.
• Capital efficiency and execution speed.
• The impact on client relationships and lending capacity.
• The role of asset quality and portfolio transparency.
• When to choose an SRT over a cash securitization.
• Module 14: Emerging Trends in SRTs
• The use of SRTs for non-traditional asset classes.
• The rise of SRTs for corporate loan portfolios.
• The role of technology and blockchain in SRTs.
• The impact of climate risk and ESG factors on deals.
• The future of the SRT market.

Training Approach

This course will be delivered by our skilled trainers who have vast knowledge and experience as expert professionals in the fields. The course is taught in English and through a mix of theory, practical activities, group discussion and case studies. Course manuals and additional training materials will be provided to the participants upon completion of the training.

Tailor-Made Course

This course can also be tailor-made to meet organization requirement. For further inquiries, please contact us on: Email: info@skillsforafrica.org, training@skillsforafrica.org  Tel: +254 702 249 449

Training Venue

The training will be held at our Skills for Africa Training Institute Training Centre. We also offer training for a group at requested location all over the world. The course fee covers the course tuition, training materials, two break refreshments, and buffet lunch.

Visa application, travel expenses, airport transfers, dinners, accommodation, insurance, and other personal expenses are catered by the participant

Certification

Participants will be issued with Skills for Africa Training Institute certificate upon completion of this course.

Airport Pickup and Accommodation

Airport pickup and accommodation is arranged upon request. For booking contact our Training Coordinator through Email: info@skillsforafrica.org, training@skillsforafrica.org  Tel: +254 702 249 449

Terms of Payment: Unless otherwise agreed between the two parties’ payment of the course fee should be done 10 working days before commencement of the training.