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. 

Eventdatum: 14.11.23 – 15.11.23

Eventort: Frankfurt am Main