TSI Training

14 November 2023

TSI Training

Cash Flow Modelling for Securitisations

Die Veranstaltung
14. November 2023
15. November 2023

True Sale International GmbH
Mainzer Landstraße 61
60329 Frankfurt

Participation fee
1.190 EUR for TSI Partner
1.495 EUR for all other participants

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. 


Tuesday, 14.11.2023

8.45 – 8.55

Welcome by TSI

8.55 – 9.40

Introduction and overview of Cash Flow Modelling (CFM)

  • Key concepts: Asset versus liability modelling
  • Combined versus separate cash flow waterfalls
  • Typical elements of waterfalls and logic
  • Variations and customisation requirements
  • Legal definition challenges in practice
9.40 – 10.40

CFM in Excel – Getting started

  • Preparation of the Excel model
  • Explanation of Auto ABS Silver Arrow 9 as example structure
10.40 – 11.00

Coffee break

11.00 – 12.40

CFM in Excel – Module 1

  • Timing and frequency
  • Creating a model input sheet
  • Key ‘balance sheet’ inputs
  • Performance vectors
  • Modelling asset cash flows
  • Scheduled interest and principal
  • Prepayments and defaults/losses
  • Modelling delinquencies and payment holidays
12.40 – 14.00


14.00 – 16.00

CFM in Excel – Module 2


  • Creating a base waterfall
    • Calculating available revenue and principal
    • Calculating the basic waterfall items
  • Creating summary statistics and graphs
16.00 – 16.20

Coffee break

16.20 – 18.20

CFM in Excel – Module 3

  • Inclusion of additional key features
  • Interest rate swap
  • Cash reserve account
  • Clean-up and optional calls
  • Modelling trigger and events
  • Post enforcement waterfall
  • Discussion of multiple replines

Get together

Wednesday, 15.11.2023

8.45 – 10.30

CFM in Excel – Module 4

  • Updates and Versioning
  • Extension: Auto ABS Globaldrive 2018
  • Separate waterfalls for interest and principal
  • Principal deficiency ledgers
  • Extension: Auto ABS Orbita 2023-1 plc
    • Product specific modelling – a UK example
    • Modelling revolving periods
10.30 – 10.50

Coffee break

10.50 – 12.35

CFM in Excel – Module 5

  • Extension: Auto ABS VW Driver Transactions
  • OC structures with no excess spread
  • Switch sequential/pro-rata
  • Checks and quality assurance
12.35 – 14.00


14.00 – 15.00

Rating agency aspects and approaches for CFM

  • Asset versus cash flow stresses
  • Examples for typical stress vectors and rating agency assumptions
  • Implementation into the cash flow models
15.00 – 15.45

Looking at residential mortgages – Bowbell No.3 plc

  • Key differences for RMBS
  • Time calls and step-up margins
  • Turbo amortisation from revenue streams
  • Different payment frequencies assets/liabilities


Markus Schaber
Managing Partner,
Integer Advisors LLP
Markus Schaber ist Managing Partner bei Integer Advisors LLP, einer unabhängigen Beratungsgesellschaft im Bereich Alternative Credit und Structured Finance.
Zuvor hat er von 2012 bis 2017 als CEO den Aufbau der European DataWarehouse GmbH (ED) massgeblich mitgestaltet.
Vor seiner Zeit bei ED hat er seit 1995 verschiedene Rollen im europäischen Verbriefungsmarkt wahrgenommen, u.a. als Head of Securitisation beim European Investment Fund, als Managing Director bei Deutsche Bank London für die Verbriefungsmärkte Nord- und Mitteleuropa und als Director für Fitch Ratings mit Verantwortung für europäische CDO Ratings sowie Structured Finance Ratings in Deutschland.


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