Cash Flow Modelling For Securitisation - ABS
Introduction to Auto/Consumer Loans (4 hours – Theory & Practical)
In order to take on board a full understanding of the practical cash flow sessions, it is essential that the delegates rehearse the concepts of how base case loss numbers are derived and how the numbers are stressed in relation to “B” rated equivalents. This module sets outs the key concepts required for the practical sessions. The Fitch pre-sale report for Agrisecurities will be used as the case study for this module.
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Building a Consumer Cash Flow Programme (Practical 10 hours)
this module will take approximately 1.5 days to complete. The delegates will be asked to prepare for this exercise by reading a pre-sale report and extracts from an offering circular. The object is to reverse engineer a fully working Excel cash flow programme that would go to and beyond what would be required for rating agency purposes. Given that a programme such as this would take some 5-7 days to construct under normal circumstances, the pace is thorough yet demanding. The delegates will be provided with a template worksheet which contains minimal formulas and formatting. Equipped with a course book containing the theory behind each line of programming as well as the correct formula’s, they will be taken through building a programme step by step by the instructor. In order to ensure that each delegate is keeping pace with the rest of the class the instructor will distribute versions of his “programme in progress” at key points of the session. The recent deal has been chosen because of its relevance in the ABS market as well as certain innovative features. All in all one of the most instructive object lessons in cash flow programme available.