Cashflow Modelling for Securitisation

This two day course begins by providing a thorough introduction to the different types of securitised products.

It will analyse the several steps involved in building a robust model capable of assessing the feasibility of a transaction and meet the requirements of issuers, investors, underwriters, lawyers, auditors and the rating agencies.

The course will focus on the different approaches used by the rating agencies (Standard & Poor’s, Moody’s and Fitch Ratings) and the criteria used for various types of transactions.

Delegates will develop a proprietary spreadsheet model using Excel during the course. There is no requirement for programming knowledge, however delegates should be proficient at basic Excel spreadsheet tasks.

Delegates will be required to bring a laptop running Microsoft Office with CD-Rom to this course.

Course Content:

Principles of building a cashflow model
 Purpose of the model
 Flexibility
 Degree of complexity and ease of use
 Basic functions and formulas
 Error checking
 Reports and graphics

Modelling a credit card securitisation
 Structure of a credit card securitisation
 Assessing MPR, charge-offs and recoveries
 Building a basic cashflow model of a master trust structure
 Structuring the accumulation period and note amortisation
 Stress testing the model to assess credit enhancement

RMBS cashflow modelling
 Building on the knowledge gained from the previous exercise
 Additional problem of mortgage prepayments
 Understanding prepayment assumptions
 Modelling an RMBS deal
 Stress testing the RMBS deal for credit enhancement at different rating levels

CMBS cashflow modelling
 Analysing the specific risks of the CMBS structure
 Additional problems of bullet refinancing of underlying mortgages
 Modelling the interest and principal waterfalls
 Stress testing the CMBS deal for credit enhancement at different rating levels

Overview of CDO cashflow modelling
 Using Monte Carlo models to assess default and recovery rates
 Cashflow modelling a CDO deal incorporating the Monte Carlo results

Delivery:	In house
Category:	Financial Modelling