Modeling Structured Finance Cash Flows With Microsoft Excel + Website: A Step-By-Step Guide 9780470042908 2025 pdf kindle mobi epub 下载 百度云盘

　　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-ROM/DVD and other supplementary materials are not

included as part of eBook file

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:

0/360 versus Actual/360 versus Actual/365. 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.

　　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.

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