TSI Training: 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:

• 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