Cash Flow Modelling for Securitisations
The workshop will guide participants through the cash flow modelling approaches of securitisations, with a specific focus on Auto and Consumer ABS as well as RMBS. Besides explaining the various elements and alternatives of typical structures, the workshop follows a step-by-step approach how to create a CFM in Excel from scratch
Objectives for participants:
The training is dedicated for securitisation professionals from originators, arrangers, investors, risk managers and service providers to ABS transactions, all who want to learn and understand cash flow modelling in a ‘bootcamp’ environment. While in practice many cash-flow models are provided by commercial vendors, the workshop deliberately follows a transparent approach in order to give participants a bottom-up understanding of cash flow issues. Given the focus on modelling in Excel, experience in Excel is a prerequisite for the workshop although VBA skills are not required.
Objectives for participants:
- Setting up cash flow models for Auto and Consumer ABS
- Modelling CPR, delinquency and default rate vectors and analysing the impact on cash flows
- Creating output sheets and visualisations including WAL calculations and payment windows
- Understanding and modelling of extensions such as revolving periods, call features, principal deficiency ledgers and overcollateralization structures with no excess spread
- Modelling rating agency and stress scenarios
- Better understanding the sensitivities and drivers when using web-based models from commercial vendors
The training is dedicated for securitisation professionals from originators, arrangers, investors, risk managers and service providers to ABS transactions, all who want to learn and understand cash flow modelling in a ‘bootcamp’ environment. While in practice many cash-flow models are provided by commercial vendors, the workshop deliberately follows a transparent approach in order to give participants a bottom-up understanding of cash flow issues. Given the focus on modelling in Excel, experience in Excel is a prerequisite for the workshop although VBA skills are not required.
