A practical guide to building fully operational financial cash
flow models for structured finance transactions
Structured finance and securitization deals are becoming more
commonplace on Wall Street. Up until now, however, market
participants have had to create their own models to analyze these
deals, and new entrants have had to learn as they go. Modeling
Structured Finance Cash Flows with Microsoft Excel provides readers
with the information they need to build a cash flow model for
structured finance and securitization deals. Financial professional
Keith Allman explains individual functions and formulas, while also
explaining the theory behind the spreadsheets. Each chapter begins
with a discussion of theory, followed by a section called "Model
Builder," in which Allman translates the theory into functions and
formulas. In addition, the companion CD-ROM features all of the
modeling exercises, as well as a final version of the model that is
created in the text.
Note: CD-ROMDVD and other supplementary materials are not
included as part of eBook file
關於作者：
Keith Allman is currently the principal
trainer and founder of Enstruct, a structured finance analytics
training company. Previously he was a Vice President at Citigroup
in their Global Fixed Income, Structured Finance Division. He has
built and reviewed hundreds of models from many different sectors.
Allman received his master''s degree in international affairs from
Columbia University.
目錄：
Preface. Acknowledgments. About the Author. Introduction. The
Three Basic Elements of a Cash Flow Model. Inputs. Cash Flow
Structure. Outputs. The Process of Building a Cash Flow Model. Plan
and Design. Obtain All Necessary Information. Construct Basic
Framework. Develop Advanced Structure. Validate Assumptions. Test
Model. How This Book Is Designed. CHAPTER
. Dates and Timing. Time Progression. Dates and Timing on the
Inputs Sheet. Day-Count Systems:
0360 versus Actual360 versus Actual365. Model Builder
.1: Inputs Sheet-Dates and Timing. Dates and Timing on the Cash
Flow Sheet. Model Builder
.2: Cash Flow Sheet-Dates and Timing. Toolbox. Naming Cells and
Ranges. Data Validation Lists. EDATE. CHAPTER
. Asset Cash Flow Generation. Loan Level versus Representative Line
Amortization. How Asset Generation Is Demonstrated in Model
Builder. Asset Generation on the Inputs Sheet. Fixed Rate
Amortization Inputs. Floating Rate Amortization Inputs. Model
Builder
.1: Inputs Sheet Asset Assumptions and the Vectors Sheet. Asset
Generation on the Cash Flow Sheet. Model Builder
.2: Notional Asset Amortization on the Cash Flow Sheet. Toolbox.
OFFSET. MATCH. MOD. PMT. CHAPTER
. Prepayments. How Prepayments Are Tracked. SMM: Single Monthly
Mortality. CPR: Conditional Prepayment Rate. PSA: Public Securities
Association. ABS: Absolute Prepayment Speed. Historical Prepayment
Data Formats. Building Prepayment Curves. Prepayment Curves in
Project Model Builder. The Effect of Prepayments on Structured
Transactions. Model Builder
.1: Historical Prepayment Analysis and Creating a Projected
Prepayment Curve. Model Builder
.2: Integrating Projected Prepayments in Asset Amortization.
Toolbox. Weighted Averages Using SUMPRODUCT and SUM. CHAPTER
. Delinquency, Default, and Loss Analysis. Delinquencies versus
Defaults versus Loss. The Importance of Analyzing Delinquency.
Model Builder
.1: Building Historical Delinquency Curves. Deriving Historical
Loss Curves. Model Builder
.2: Building Historical and Projected Loss Curves. Analyzing
Historical Loss Curves. Model Builder
.2 Continued. Projecting Loss Curves. Model Builder
.2 Continued. Integrating Loss Projections. The Effects of
Seasoning and Default Timing. Model Builder
.3: Integrating Defaults in Asset Amortization. CHAPTER
. Recoveries. Model Builder
.1: Historical Recovery Analysis. Projecting Recoveries in a Cash
Flow Model. Model Builder
.2: Integrating Recoveries into Project Model Builder. Final Points
Regarding Recoveries. CHAPTER
. Liabilities and the Cash Flow Waterfall. Priority of Payments and
the Cash Flow Waterfall. The Movement of Cash for an Individual
Liability. Types of Liabilities. Fees. Model Builder
.1: Calculating Fees in the Waterfall. Interest. Model
Builder
.2: Calculating Interest in the Waterfall. Principal. Model
Builder
.3: Calculating Principal in the Waterfall. Understanding Basic
Asset and Liability Interactions. CHAPTER
. Advanced Liability Structures: Triggers, Interest Rate Swaps, and
Reserve Accounts. Triggers and Their Affect on the Liability
Structure. Model Builder
.1: Incorporating Triggers. Swaps. Model Builder
.2: Incorporating a Basic Interest Rate Swap. Final Notes on Swaps.
Reserve Accounts. Model Builder
.3: Incorporating a Cash-Funded Reserve Account. Conclusion of the
Cash Flow Waterfall. Toolbox. AND and OR. CHAPTER
. Analytics and Output Reporting. Internal Testing. Cash In versus
Cash Out. Model Builder
.1: Cash In versus Cash Out Test. Balances at Maturity. Model
Builder
.2: Balances at Maturity Tests. Asset Principal Check. Model
Builder
.3: Asset Principal Check Test. Performance Analytics. Monthly
Yield. Model Builder
.4: Calculating Monthly Yield. Calculating the Monthly Yield.
Bond-Equivalent Yield. Model Builder
.5: Calculating Bond-Equivalent Yield. Modified Duration. Model
Builder
.6: Calculating Modified Duration. Output Reporting. Model
Builder
.7: Creating the Output Report. The Importance of Testing and
Output. Toolbox. Conditional Formatting. Goal Seek. Array Formulas.
CHAPTER
. Understanding the Model. The Complete Model in Review.
Understanding the Effects of Increased Loss. Varying Principal
Allocation Methodologies. Varying Prepayment Rates. Varying Loss
Timing. Varying Recovery Rate and Lag. The Value of a Swap.
Additional Testing. CHAPTER
0. Automation Using Visual Basic Applications VBA. Conventions of
This Chapter. The Visual Basic Editor. The Menu Bar. The Project
Explorer and the Properties Window. VBA Code. Simple Automation for
Printing and Goal Seek. Model Builder
0.1: Automating Print Procedures. Model Builder
0.2: Automating Goal Seek to Optimize Advance Rates. Understanding
Looping to Automate the Analytics Sheet. Model Builder
0.3: Automating Goal Seek to Perform Transaction Analytics.
Automated Scenario Generation. Model Builder
0.4: Creating a Transaction Scenario Generator. Working with Macros
in Excel. CHAPTER
1. Conclusion. The Investment Banker''s Perspective. The Investor''s
Perspective. The Issuer''s Perspective. The Financial Guarantor''s
Perspective. The Big Picture Perspective. Appendix: Using This Book
with Excel
007. About the CD-ROM. Index.
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