--- title: Structured Finance & Securitization description: Structured finance pools loans into tradable securities. You will learn securitisation mechanics, tranching, ABS, MBS and CLOs, rating and risk analysis, and the role these products played in past crises. category: finance-economics subcategory: corporate-finance difficulty: beginner, intermediate, advanced url: /subject/structured-finance-and-securitization --- # Structured Finance & Securitization Structured finance pools loans into tradable securities. You will learn securitisation mechanics, tranching, ABS, MBS and CLOs, rating and risk analysis, and the role these products played in past crises. ## Available Resources 2 Books • 3 Courses • 5 Websites • 8 Papers ## Websites ### 1. World Bank PPP Knowledge Lab **Author:** World Bank A World Bank reference site for public-private partnerships, holding sample concession agreements and contract clauses, risk allocation matrices, standard bidding documents and country-level PPP frameworks — useful for seeing how infrastructure deals allocate risk in practice. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://ppp.worldbank.org **Tags:** PPP, project finance, infrastructure, concession contracts, risk allocation ### 2. Creditflux – CLO and Structured Credit Publication **Author:** Creditflux Trade publication tracking the CLO and structured credit markets: new issue and refinancing activity, manager performance league tables, loan defaults, and European versus US market divergence. Reading it regularly builds familiarity with how practitioners actually discuss deals. **Difficulty:** Advanced | **Language:** English | **Price:** Paid **Link:** https://creditflux.com **Tags:** clo, structured-credit, leveraged-loans, credit-markets, securitization ### 3. AbsBox – Open-Source ABS/MBS Cashflow Modeling Library **Author:** Shawn Zhang Open-source Python library, released under Apache 2.0, that wraps the Hastructure cashflow engine for structured finance. It models pools of mortgages, auto loans, leases and corporate loans, defines deal waterfalls in readable code, and runs pool-performance sensitivities to forecast and price ABS and MBS tranches. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://github.com/yellowbean/AbsBox **Tags:** securitization, abs, mbs, cashflow-waterfall, python ### 4. FINRA TRACE (Trade Reporting and Compliance Engine) **Author:** FINRA FINRA's mandatory reporting system for over-the-counter fixed income trades, covering corporate and agency bonds, Treasuries, and mortgage- and asset-backed securities. Its public data shows execution prices, yields and volumes, letting learners see how actively individual bonds and securitized deals trade. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://www.finra.org/filing-reporting/trace **Tags:** trade-reporting, bond-market-data, fixed-income, asset-backed-securities, market-transparency ### 5. Open Solar Contracts Initiative **Author:** IRENA / Terrawatt Initiative A free library of standardized contract templates for solar projects, covering the power purchase agreement, implementation agreement, equipment supply, financing, and operations and maintenance, with a guide explaining how each document allocates risk between the project company, buyer, and suppliers. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://opensolarcontracts.org **Tags:** project-finance, renewable-energy, power-purchase-agreements, contract-templates, solar ## Papers ### 1. NY Fed Staff Report – Understanding the Securitization of Subprime Mortgage Credit (Ashcraft & Schuermann) **Author:** Adam Ashcraft and Til Schuermann, NY Fed A staff report tracing the subprime mortgage securitization chain participant by participant — borrower, originator, arranger, servicer, rating agency, investor — and identifying the frictions and misaligned incentives at each handoff that fed the 2007 collapse. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr318.pdf **Tags:** securitization, subprime mortgages, RMBS, credit risk, financial crisis ### 2. BIS Joint Forum Report on Asset Securitization **Author:** Bank for International Settlements (BIS) The Joint Forum's 2009 study of special purpose entities across banking, securities and insurance, describing the structures used, why firms set them up, and the credit, liquidity and event risks the 2007 crisis exposed. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.bis.org/publ/joint23.htm **Tags:** securitization, regulation, Basel, credit risk, structured finance ### 3. Scope Ratings – General Structured Finance Rating Methodology **Author:** Scope Ratings The rating agency's published criteria document for structured finance transactions, setting out how it models collateral loss distributions, tests cash flow waterfalls under stress scenarios, and assesses counterparty and legal risk when assigning tranche ratings. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.scoperatings.com/ScopeRatingsApi/api/downloadmethodology?id=b3131c75-bb31-4c2a-b0ef-47aed1d7f0d9 **Tags:** rating methodology, structured finance, waterfall, counterparty risk, securitization ### 4. An Investor's Guide to Collateralized Loan Obligations (CLOs) **Author:** Western Asset Management An asset manager's primer on how CLOs are assembled and managed: the loan collateral pool, the rated debt tranches from AAA down to BB, the first-loss equity position, and why the structure carries little interest-rate risk. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://www.westernasset.com/us/en/research/whitepapers/guide-to-clos.cfm **Tags:** clo, leveraged-loans, securitization, cash-flow-waterfall, structured-credit ### 5. Securitization 101: A Primer on Structured Finance **Author:** Angel Oak Capital Advisors Detailed primer covering the entire securitized products universe from agency RMBS through CLOs, with clear explanations of tranching, overcollateralization, excess spread, triggers, and post-GFC reforms. **Difficulty:** Beginner | **Language:** English | **Price:** Free **Link:** https://angeloakcapital.com/securitization-101-a-primer-on-structured-finance/ **Tags:** securitization, structured-finance, rmbs, tranching, credit-enhancement ### 6. IOSCO – Leveraged Loans and CLOs: Good Practices for Consideration (2024) **Author:** International Organization of Securities Commissions (IOSCO) IOSCO's final report on the leveraged loan and CLO markets, documenting covenant erosion, aggressive EBITDA add-backs, conflicts of interest across the origination chain, and the supervisory good practices regulators expect market participants to adopt. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.iosco.org/library/pubdocs/pdf/IOSCOPD766.pdf **Tags:** leveraged-loans, clo, financial-regulation, debt-covenants, credit-risk ### 7. Leveraged Finance 101: A Covenant Handbook **Author:** Simpson Thacher & Bartlett LLP Law firm handbook on high-yield bond and leveraged loan covenants, contrasting incurrence with maintenance tests and working through restricted subsidiaries, ratio debt, builder baskets, restricted payments, and liens, the drafting mechanics behind credit agreement flexibility. **Difficulty:** Advanced | **Language:** English | **Price:** Free **Link:** https://www.stblaw.com/docs/default-source/publications/leveraged-finance-101---a-covenant-handbook.pdf **Tags:** leveraged-finance, debt-covenants, credit-agreements, high-yield-bonds, restricted-payments ### 8. PitchBook LCD Leveraged Loan Primer **Author:** PitchBook (formerly S&P LCD) Free reference from PitchBook LCD explaining how the syndicated leveraged loan market works: how deals are arranged and priced, ratings and covenant structures, secondary trading, and the role CLOs play as the dominant buyer base. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://pitchbook.com/leveraged-commentary-data/leveraged-loan-primer **Tags:** leveraged-loans, syndicated-lending, loan-pricing, clo, credit-markets ## Courses ### 1. Wall Street Prep Free Project Finance Course (Heathrow Airport Case Study) **Author:** Wall Street Prep Walkthrough of a project finance model for a Heathrow Airport case study, with a downloadable Excel template. Covers capital expenditure phasing, operating cash flows, debt drawdown and repayment mechanics, and the DSCR and LLCR coverage ratios lenders use. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://www.wallstreetprep.com/knowledge/demystifying-project-finance/ **Tags:** project-finance, dscr, financial-modeling, infrastructure-finance, excel ### 2. SFAcademy – Structured Finance Association Free Bootcamp **Author:** Structured Finance Association The only free education program from the industry's main trade body. Offers a bootcamp series with Level 1 (jargon-free fundamentals) and Level 2 (deeper expertise) modules, with LinkedIn badges upon completion. **Difficulty:** Beginner | **Language:** English | **Price:** Free **Link:** https://structuredfinance.org/resources/sfa-introduces-the-sfacademy/ **Tags:** structured-finance, securitization, asset-backed-securities, fundamentals ### 3. Financing and Investing in Infrastructure **Author:** Stefano Gatti, Bocconi University Covers SPV structures, syndicated loans, covenants, debt sizing, and financial modeling with real case studies. Taught by Professor Stefano Gatti, author of the standard project finance textbook. **Difficulty:** Intermediate | **Language:** English | **Price:** Free **Link:** https://www.coursera.org/learn/infrastructure-investing **Tags:** project-finance, infrastructure, spv, debt-sizing, financial-modeling ## Books ### 1. A Practitioner's Guide to Trade and Commodity Finance **Author:** Geoffrey Wynne A practitioner reference on trade and commodity finance law and structures, with specialist chapters on documentary credits, standby guarantees, warehouse financing, ECA cover, receivables and supply chain finance. The second edition adds the Greensill collapse and fintech applications. **Difficulty:** Advanced | **Language:** English | **Price:** Paid **Link:** https://www.amazon.com/dp/0414081013?tag=edmonddante07-20 **Tags:** trade-finance, commodity-finance, documentary-credits, receivables-finance, supply-chain-finance ### 2. Structured Finance: Leveraged Buyouts, Project Finance, Asset Finance and Securitization **Author:** Charles-Henri Larreur The one book that covers all four core structured finance techniques in a single volume, treating them as variations of the same underlying principle: non-recourse, SPV-based, cash-flow-backed financing. Includes 13 detailed case studies and 500+ real company examples. This is the 1st edition, published in 2021 and is approximately 416 pages. **Difficulty:** Advanced | **Language:** English | **Price:** Paid **Link:** https://www.amazon.com/dp/1119371104?tag=edmonddante07-20 **Tags:** structured-finance, lbo, project-finance, securitization, asset-finance --- *This content is part of Dantes.io - Your Treasure Map to Knowledge* *Curated by humans at Dantes.io. Personal study use welcome; republishing this curation requires permission (team@dantes.io).* View this page online: https://dantes.io/subject/structured-finance-and-securitization