The workshop will guide participants through the cash flow modelling approaches of securitisations, with a specific focus on Auto and Consumer ABS. Besides explaining the various elements and alternatives of typical structures, the workshop follows a step-by-step approach how to create your own cash flow model in Excel from scratch.
Objectives for participants:
- Setting up you own 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
Who should attend:
Securitisation professionals 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. Participants need to bring their own laptops for the modelling sessions.
Markus Schaber has 20+ years experience in the European structured finance markets and is currently a Managing Partner of investment advisory firm Integer Advisors LLP. Prior to co-founding Integer Advisors, he led the build-out of the European Datawarehouse GmbH (ED), Europe‘s first centralised securitisation data repository initiated by the ECB, serving as its CEO until January 2017.
Benjamin Gaitskell is a Senior Analyst and he previously worked at Integer Adviser, an independent advisory firm specialising in European alternative and private credit markets.
