Preface.
Acknowledgments.
About the Author.
CHAPTER 1: Introduction.
The Transaction.
The Documents.
The Process.
How This Book Works.
CHAPTER 2: Determining Dates and Setting Up Timing.
Differences in Timing Approaches.
A First Look at the Prospectus.
Important Dates.
Transforming Dates and Timing from Words to a Model.
Model Builder 2.1: Reversing Dates and Timing.
Conclusion of Dates and Timing.
CHAPTER 3: Creating Asset Cash Flow from Prospectus Data.
It's All in the Prospectus Supplement.
The Basics of Amortization.
Performance and the Prospectus Supplement.
Delinquency.
Loss.
Prepayment.
Recovery.
Creating Cash Flow.
A Complex Implementation.
Model Builder 3.1: Entering in the Raw Asset Information.
Model Builder 3.2: Entering in the Default and Prepayment Assumptions.
Model Builder 3.3: Interest Rates and Additional Asset Amortization Inputs.
Model Builder 3.4: Introducing VBA and Moving Data In and Out of the Model.
Model Builder 3.5: Loading Loan Performance Assumptions into VBA.
Model Builder 3.6: Global Functions.
Model Builder 3.7: Loan-Level Asset Amortization.
CHAPTER 4: Setting Up Liability Assumptions, Paying Fees, and Distributing Interest.
Identifying the Offered Securities.
Model Builder 4.1: Transferring the Liability Information to a Consolidated Sheet.
The Liability Waterfall: A System of Priority.
Model Builder 4.2: Starting the Waterfall with Fees.
Interest: No Financing Is Free.
Model Builder 4.3: Continuing the Waterfall with Interest Paid to the Certificate Holders.
More on Waterfalls and Wall Street's Risk Parsing.
Model Builder 4.4: Mezzanine Interest.
Continuing the Waterfall: It Only Gets More Complicated.
CHAPTER 5: Principal Repayment and the Shifting Nature of a Wall Street Deal.
Model Builder 5.1: The Deal State and Senior Principal.
Mezzanine Principal Returns.
Model Builder 5.2: The Mezzanine Certificates' Priority of Payments.
Number Games or Risk Parsing?
CHAPTER 6: Credit Enhancement Mechanisms to Mitigate Loss.
Model Builder 6.1: Excess Spread, Overcollateralization, and Credit Enhancement.
CHAPTER 7: Auditing the Model.
Model Builder 7.1.
CHAPTER 8: Conclusion of Example Transaction and Final Thoughts on Reverse Engineering.
Mortgage Insurance and Servicer Advances.
Reverse Engineering in the Current and Future Market.
Appendix.
Automatic Range Naming.
About the CD-ROM.
Index.
