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
Who should attend:
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.
Markus Schaber has 25+ years’ experience in the European structured finance markets and is currently both the Managing Director of UK securitisation repository, European DataWarehouse Ltd, and a Managing Partner of investment advisory firm, Integer Advisors LLP.
