Intermediate Structured Finance Modeling: Leveraging Excel, VBA, Access, and Powerpoint, with Website
The focus of the book is a case study containing a structured finance model. The case study model was originally designed for the securitization of a portfolio of commercial small business loans. This model now needs to be expanded to securitize a much larger portfolio of residential mortgages.
The Original Structuring model will be bifurcated into a Sources of Funds model, the assets of the collateral pool, and a Uses of Funds model, the liabilities waterfall model. This will give the reader experience working with an existing model as a base departure point of development rather than the less common “start from scratch” approach. Once the Base Asset Model (BAM) and the Base Liabilities Models (BLM) are complete, each model will serve as the platform for future development. From the BAM and BLM a pair of much more robust models, the Collateral Cash Flow Generator (CCFG) and the Liabilities Waterfall Model (LWM), respectively, are created. The CCFG is designed to process a significantly greater quantity, variety, and complexity of collateral types. It also introduces the analyst to Geographic based prepayment methods as well as those using Financial/Demographic factor approaches. The LWM, operating independently of the CCFG, reads the collateral cash flow scenarios and applies them across a two tiered, six tranche bond structure. The liabilities waterfall contains provision for an interest rate swap, performance triggers and a variety of other credit enhancement features.
With the CCFG and LWM now complete Access is introduced. Access will replace various Excel/VBA code modules in the CCFG such as the collateral data management, data scrubbing and reporting, data sufficiency testing, and eligibility screening. Access is also employed to export and the various collateral cash flows. In the LWM Access is used to import the cash flows, store the liability structure specifications, and export/save the resultant structure performance. PowerPoint is then introduced in the CCFG to allow for the fully automated production of presentation report packages. Last Outlook is added to the models to inform the analyst of model performance and to automatically distribute the various report packages to pre-designated mailing lists.
The book contains over 750 exhibits of reports, menus, calculation, and algorithmic examples and most of all code. The complete Excel, VBA, Access, PowerPoint, and Outlook code for all of the models is included on the Web site. The Web site also includes Web chapters containing detailed instructions on how to create and populate a directory environment to store this code, run the models, and organize the results. Lastly there are other Web chapters containing supplemental information explaining the structure and function of the original model, bond and mortgage math (with calculation examples), representative line generator programs, and a tutorial on the construction and integration of UserForms.
This book is the intermediate level companion volume to A Fast-Track to Structured Finance Modeling, Monitoring, and Valuation: Jump Start VBA; Preinitz; Wiley 2009, an introductory work on the subject.
Goals of the Book.
What You Should Know.
Setting the Context for Learning.
The Structure of the Book.
A Fish Story.
A Perspective on Modeling.
Approaching This Material.
A Parting Remark.
On the Web Site.
PART ONE. First Steps.
CHAPTER 1. Introduction.
CHAPTER 2. The Existing Model.
CHAPTER 3. Conventions and Advice.
CHAPTER 4. Segregation of the Existing Model’s Functionality.
CHAPTER 5. Creating the Base Asset Model.
CHAPTER 6. Building the Base Liabilities Model.
CHAPTER 7. Establishing the Model Environment.
PART TWO. Building the New Assets Model.
CHAPTER 8. Designing the New Collateral Cash Flow Generator.
CHAPTER 9. Writing the CCFG Menus and Data Sheets.
CHAPTER 10. Writing the Collateral Data Handling Code.
CHAPTER 11. Writing the Collateral Selection Code.
CHAPTER 12. Writing the Collateral Cash Flow Amortization Code.
CHAPTER 13. Writing the CCFG Reporting Capability.
PART THREE. Building the New Liabilities Model.
CHAPTER 14. Designing the Liabilities Waterfall Model.
CHAPTER 15. Writing the Liabilities Waterfall Model Spreadsheet.
CHAPTER 16. Writing the LWM VBA Code.
PART FOUR. Access, PowerPoint, and Outlook.
CHAPTER 17. Access: An Introduction.
CHAPTER 18. Implementing Access in the CCFG and LWM.
CHAPTER 19. Implementing PowerPoint and Outlook in the CCFG.
PART FIVE. Running the CCFG and the LWM.
CHAPTER 20. Running the Models.
MATTHEW NIEDERMAIER is currently a vice president in the Structured Finance Group at Markit, where he is a member of a pricing and valuation group focused on agency mortgages and CMOs. Within Markit he has also taught courses in Excel/VBA globally. Prior to Markit he modeled U.S. and Latin American ABS deals at Citigroup, including auto loans, credit cards, and timeshares.
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