TSI Special Training: Cash Flow Modelling on 10 and 11 May 2022 (Schulung | Frankfurt am Main)

Cash Flow Modelling has always been at the heart of asset based finance and securitisation. With the introduction of STS and the new Securitisation Regulation, one of the implications is the need to better understand cash flow modelling (CFM) of ABS transactions. In addition to the general due diligence requirements for investors which include modelling aspects, Art. 22 (3) of the securitisation regulation also requires a Cash Flow Model to achieve the STS status. And maybe even more importantly, the calculation of WALs of ABS transactions does have a direct link to the risk weights for bank investors under the new CRR as you can see in the EBA guidelines on weighted average maturities published in June 2020. And last but not least, the impact and consequences of payment holidays and other forbearance measures in the context of Covid-19 across asset classes will require diligent modelling.

>> AGENDA

Accordingly we are very pleased to offer you this established training opportunity as part of the TSI Special Training series of events, a small group training programme that is unique in the market. With this in mind, we would like to draw your attention to the next training session: 

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The Special Training 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 sensivities and drivers when using web-based models from commercial vendors

Event: TSI Special Training: Cash Flow Modelling

Date: Tuesday 10 and Wednesday 11 May 2022

Venue: True Sale International GmbHMainzer Landstr. 6160329 Frankfurt

Registration: >> Registration form

Please register by 25 April 2022 since the number of participants is strictly limited. 

More information:

>> Event flyer

>> Registration 

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Eventdatum: 10.05.22 – 11.05.22

Eventort: Frankfurt am Main