Modeling Structured Finance Cash Flows with Microsoft Excel

ISBN-10: 0470042907
ISBN-13: 9780470042908
Edition: 2007
Authors: Keith A. Allman
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Description: Praise for Modeling Structured Finance Cash Flows with Microsoft Excel "You can roll up your sleeves, dive into this book, and shortly thereafter, you have a full-blown honest-to- goodness working model of a transaction. This sure beats the old  More...

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Book details

List price: $90.00
Copyright year: 2007
Publisher: John Wiley & Sons, Incorporated
Publication date: 3/9/2007
Binding: Paperback
Pages: 199
Size: 7.50" wide x 9.25" long x 0.25" tall
Weight: 1.166
Language: English

Praise for Modeling Structured Finance Cash Flows with Microsoft Excel "You can roll up your sleeves, dive into this book, and shortly thereafter, you have a full-blown honest-to- goodness working model of a transaction. This sure beats the old method of slaving at the feet of gurus for years in the hopes that theyll throw you a scrap. It almost feels as though Allman has given away a shortcut through the hazing period of learning, but then I am grateful I have a resource with which to train new analysts or remind myself how some things work." -Omar Haneef, Global Securitized Markets, Citigroup "Allman has written a book that reveals to the reader/user a robust framework for using Excel to model structured finance transactions. Both seasoned cash flow modelers and those new to, or curious about, how structured finance transactions are analyzed can benefit from this book." -Henry Wilson, Bond Insurance Company Analyst "A powerful, concise, and tiered approach. Its a bedrock foundation to build on for both the art and science of structured finance modeling. An excellent platform from which to leverage your financial knowledge and personal capital." -William Preinitz, Managing Director, Citigroup "An essential tool for any credit officer wishing to gain a general or in-depth understanding of cash flow modeling for new or existing deals." -Joseph B. Keener, Structured Portfolio Management, Citigroup London Written by industry expert Keith Allman, this well-rounded resource provides detailed guidance on constructing one of todays most adaptable models-the cash flow model. Filled with in-depth insight, expert advice, and illustrative examples, Modeling Structured Finance Cash Flows with Microsoft Excel explains individual functions and formulas, while also examining 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. By combining specific application instruction with theory, Modeling Structured Finance Cash Flows with Microsoft Excel will teach you skills that can be instantly applied to professional-level modeling.

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
Dates and Timing
Time Progression
Dates and Timing on the Inputs Sheet
Day-Count Systems: 30 360 versus Actual 360 versus Actual 365
Model Builder
Inputs Sheet-Dates and Timing
Dates and Timing on the Cash Flow Sheet
Model Builder
Cash Flow Sheet-Dates and Timing
Toolbox
Naming Cells and Ranges
Data Validation Lists
Edate
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
Inputs Sheet Asset Assumptions and the Vectors Sheet
Asset Generation on the Cash Flow Sheet
Model Builder
Notional Asset Amortization on the Cash Flow Sheet
Toolbox
Offset
Match
MOD
PMT
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
Historical Prepayment Analysis and Creating a Projected Prepayment Curve
Model Builder
Integrating Projected Prepayments in Asset Amortization
Toolbox
Weighted Averages Using SUMPRODUCT and SUM
Delinquency, Default, and Loss Analysis
Delinquencies versus Defaults versus Loss
The Importance of Analyzing Delinquency
Model Builder
Building Historical Delinquency Curves
Deriving Historical Loss Curves
Model Builder
Building Historical and Projected Loss Curves
Analyzing Historical Loss Curves
Model Builder
Continued
Projecting Loss Curves
Model Builder
Continued
Integrating Loss Projections
The Effects of Seasoning and Default Timing
Model Builder
Integrating Defaults in Asset Amortization
Recoveries
Model Builder
Historical Recovery Analysis
Projecting Recoveries in a Cash Flow Model
Model Builder
Integrating Recoveries into Project Model Builder
Final Points Regarding Recoveries
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
Calculating Fees in the Waterfall
Interest
Model Builder
Calculating Interest in the Waterfall
Principal
Model Builder
Calculating Principal in the Waterfall
Understanding Basic Asset and Liability Interactions
Advanced Liability Structures: Triggers, Interest Rate Swaps, and Reserve Accounts
Triggers and Their Affect on the Liability Structure
Model Builder
Incorporating Triggers
Swaps
Model Builder
Incorporating a Basic Interest Rate Swap
Final Notes on Swaps
Reserve Accounts
Model Builder 7

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