Cash CDO modelling in Excel: a step by step approach
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2010
|
| Edition: | this ed. 1. publ. |
| Series: | Wiley finance
|
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Physical Description: | XVI, 338 S. graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 9780470741573 |
Staff View
MARC
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| adam_text | Titel: Cash CDO mlodelling in excel
Autor: Smith, Darren P.
Jahr: 2010
Contents
Foreword xv
Acknowledgments xvii
1 Introduction 1
1.1 To Excel or Not to Excel? 1
1.2 Existing Tools and Software 2
2 What are Cash CDOs? 5
2.1 Types of CDOs 5
2.1.1 Cash, synthetic or hybrid CDOs 5
2.1.2 Managed or static CDOs 7
2.1.3 Full capital structures versus single tranches 8
2.2 Description of a Cash How CDO 9
2.3 Life Cycle of a Cash CDO 12
2.4 Contribution to the Credit Crunch 14
2.4.1 The role of CDOs and credit derivatives 14
2.4.2 The credit crunch 14
2.4.3 Root causes 15
2.4.4 The role of fair value accounting 15
3 Introduction to Modelling 17
3.1 Goals in Modelling 17
3.2 Modelling Philosophies and Trade-Offs 17
3.2.1 Speed 17
3.3 Flexibility 18
3.3.1 Visibility/audit-ability/verification 18
3.3.2 Degree of automation 19
3.3.3 Ease of change 20
3.4 Organization and Layout of a Model 20
3.4.1 Organization of a model 20
3.4.2 Layout of the model worksheets 21
3.5 Life-Cycle Issues: Building an Adaptable Model 21
Contents
Prerequisites to Cash Flow Modelling 23
4.1 Modelling Dates 23
4.1.1 Description of the curve and dates model 24
4.1.2 VBA date calculation 26
4.2 Interest Rate Curve Modelling 31
4.2.1 Creating a discount curve 31
4.3 Present Value Modelling 39
4.3.1 Present value 40
4.3.2 Internal rate of return 41
4.3.3 Future value 43
4.3.4 Weighted average life 43
4.3.5 Duration 44
Getting Started 47
5.1 Create the Input Sheet 47
5.1.1 Model inputs 47
5.1.2 CDO tranche inputs 47
5.1.3 Fees and expenses 50
5.1.4 Collateral inputs 52
5.1.5 Date inputs 55
5.1.6 Model Notes 56
5.2 The Value of Labelling 57
Modelling Assets 59
6.1 Initial Asset Pool: Rep Line Modelling vs. Actual Assets 59
6.2 The Collateral Sheet in the Cash Flow Model 59
6.2.1 Collateral Summary 60
6.2.2 Original Collateral Pools 63
6.3 Modelling Defaults and Recoveries 63
6.3.1 Rep line modelling 64
6.3.2 Recovery amount using simple delay 65
6.3.3 Recovery amount using recovery vector 65
6.3.4 Anticipated Recovery 66
6.3.5 Timing of defaults and recoveries 66
6.4 Amortization 67
6.4.1 Prepay Amount 68
6.4.2 Sold Amounts 68
6.4.3 End of period balances 69
6.5 Modelling Reinvestment 69
6.5.1 Rep line reinvestment collateral pools 69
6.6 Reinvestment Cohorts 71
6.7 Accounts 72
6.7.1 Principal Collection Account 73
6.7.2 Interest Collection Account 73
6.7.3 Expense Reimbursement Account 74
6.7.4 Payment Account 75
6.7.5 Unused Proceeds Account 75
Contents
6.8 Timing Models vs. Actual Timing 76
6.8.1 Interest calculation periods 76
6.8.2 Payment dates 76
6.8.3 Payment periods 77
6.8.4 Timing for other calculations 78
6.9 Simple Warehouse Modelling 78
6.9.1 The Portfolio Sheet 79
6.9.2 Summary Sheet 80
7 Basic Waterfall Modelling 85
7.1 Basic Waterfalls 85
7.1.1 Priority of payments for interest proceeds (the interest waterfall) 85
7.1.2 Priority of payments for principal proceeds or principal waterfall 87
7.1.3 Post enforcement priority of payments 89
7.1.4 Acceleration 89
7.2 Layout and Design 90
7.3 Avoiding Negative Values 93
7.4 Timing Modelled vs. Actual Timing 93
7.5 Liabilities Cash Flows 93
7.6 Fees and Expenses Cash Flows 95
7.7 Interest Waterfall 97
7.7.1 Interest check 100
7.7.2 Interest cures 101
7.7.3 Interest due but not paid current (interest waterfall) 101
7.8 Interest Waterfall (Available Funds after Payment) 101
7.9 Interest Waterfall Calculations 101
7.9.1 Summary of the principal outstanding of the notes 103
7.10 Principal Waterfall 103
7.10.1 Principal check 104
7.10.2 Principal cures 105
7.11 Principal Waterfall (Available Funds after Payment) 105
7.12 Principal Waterfall Calculations 106
7.12.1 Available for reinvestment 106
7.12.2 Principal due 107
7.12.3 A note on deferred interest 107
7.12.4 Trustee/admin fees 107
7.12.5 Incentive fee and equity due 108
7.13 Adding Over-Collateralization Tests 108
7.13.1 Using interest to cure breaches vs. using principal to cure breaches 108
7.13.2 Class A/B OC coverage HI
7.13.3 Class COC test 114
7.13.4 Class D OC and class E OC tests 115
7.14 Adding Interest Coverage Tests 116
7.14.1 Class A/B IC test H7
7.14.2 Class CIC H8
7.14.3 Class D and class E IC tests 119
7.15 Technical Issues with Coverage Tests 119
Contents
7.15.1 Notes on setting ratios 119
7.15.2 Collateral par tests 120
7.15.3 Curing OC breaches in the principal waterfall 120
Outputs Sheet 123
8.1 Purpose of the Outputs Sheet 123
8.2 Collating Waterfall Outputs 123
8.3 Present Value 126
8.3.1 Par Spread and Discount Margin 126
8.3.2 Net present value 127
8.3.3 Loss 127
8.3.4 Loss Percentage 127
8.4 Duration 127
8.4.1 Macaulay Duration 128
8.4.2 Modified Duration 128
8.4.3 Average Yield 128
8.4.4 Swap Duration 128
8.4.5 Dollar Duration 129
8.4.6 Price 129
8.5 Weighted Average Life and Internal Rate of Return 129
8.5.1 Internal Rate of Return 129
8.5.2 Weighted average life 130
8.6 Equity Analysis 130
8.7 Basic Auditing 131
8.7.1 Conditional formatting 131
Moody s Rating Agency Methodology 133
9.1 Introduction to Agency Methodologies 133
9.1.1 Two-stage modelling process 133
9.1.2 Moody s approach 133
9.2 The Bet Approach 134
9.3 Evaluating the Collateral 135
9.3.1 The Portfolio Sheet 136
9.3.2 The Reference Sheet 136
9.3.3 The Summary Sheet 141
9.3.4 Step 1: Calculating the diversity score 146
9.3.5 Step 2: Assessing the weighted average rating factor 149
9.3.6 Step 3: Determining the weighted average life 150
9.3.7 Step 4: Calculating the default rate 150
9.3.8 Step 5: Determining the binomial probabilities 151
9.4 Creating the Moody s Sheet and Related References in the
Cash Flow Model 152
9.4.1 Moody s inputs 153
9.4.2 Rated CDO Tranches 155
9.4.3 Interest rate curves and default rate curves 157
9.4.4 Moody s Results 157
9.5 Default Profiles 159
Contents
9.6 Interest Rate Profiles 160
9.7 Running the Analysis 161
9.7.1 Other assumptions 162
9.7.2 Saving time using the CRITBINOM() function 162
9.7.3 Saving time through VBA 163
9.7.4 Achieving targeted ratings 166
9.8 Variations on the BET 166
9.8.1 Alternatives to BET analysis 168
9.9 2009 Methodology Update 168
10 Standard Poor s Rating Methodology 171
10.1 The S P Approach 171
10.2 Evaluating the Collateral 173
10.2.1 The Portfolio Sheet 173
10.2.2 Summary Sheet 174
10.2.3 Asset Class (industry) Concentrations 175
10.3 Modelling Recovery Rates 176
10.3.1 General tiered asset-class recovery rates 177
10.3.2 Asset-specific corporate recovery rates 179
10.3.3 Covenant-lite loan recoveries 184
10.3.4 Applying the recovery rates 185
10.4 CDO Evaluator 186
10.5 Default Rates 188
10.5.1 Standard default patterns 188
10.5.2 Saw tooth default patterns 188
10.5.3 Potential additional default patterns 189
10.5.4 Timing of defaults based on WAL 190
10.5.5 Timing of defaults based on rating 190
10.5.6 Smoothing of defaults patterns 190
10.6 Interest Rate Stresses 192
10.7 Amortization 193
10.8 Additional S P Modelling Criteria 194
10.8.1 Fixed/floating rate asset mix 194
10.8.2 Biased asset default 194
10.8.3 Payment in kind assets 194
10.8.4 Long-dated corporate assets 195
10.8.5 Interest on assets 195
10.8.6 Interest on interest 195
10.8.7 Administration, trustee and collateral management fees 195
10.9 Building the S P Sheet and Related References 196
10.9.1 S P Inputs 196
10.9.2 Rated CDO Tranches 198
10.9.3 Interest curves 199
10.9.4 Default Curves 199
10.9.5 Scenario Default Rates 200
10.9.6 Break-even Results 200
Contents
10.10 Running the Stress Scenarios 200
10.10.1 Break-even default rate percentiles 201
10.10.2 Automating the stress scenario runs 201
10.10.3 Achieving targeted ratings 206
10.10.4 Recent changes in methodolgy 207
11 Advanced Waterfall Modelling 209
11.1 Hedge Agreements 209
11.1.1 Why are interest rate swaps necessary? 209
11.1.2 What is an interest rate swap? 210
11.1.3 Modelling interest rate swaps 211
11.1.4 Hedges Sheet 211
11.1.5 Inputs Sheet 214
11.1.6 Collateral Sheet 214
11.1.7 Waterfall Sheet 215
11.1.8 Payment under Hedge Agreements 216
11.1.9 Uses and misuses of interest rate derivatives 216
11.2 Fixed Notes 219
11.3 Variable Funding Notes 219
11.4 Liquidity Facilities 221
11.5 Interest Reserve Accounts 221
11.6 Other Structural Features 222
11.6.1 Pro-rata payment of CDO liabilities 222
11.6.2 Turbos 222
11.6.3 Reverse turbos 223
11.6.4 Revolver facilities 223
11.6.5 Enforcement waterfalls 224
11.7 Combination Notes 224
11.7.1 Modelling combination notes 224
11.7.2 Moody s approach to rating combo notes 226
11.7.3 S P approach to rating combo notes 231
11.8 Collateral Manager Equity Analysis 232
12 Maintaining the Cash Flow Model 235
12.1 Adapting Your Model for Different Capital Structures 235
12.1.1 Manually changing the model 235
12.1.2 Manually removing tranches or steps 236
12.1.3 Dynamic cell linking 237
12.1.4 Dynamically linked structures 238
12.2 Audit Sheet 239
12.2.1 Audit summary 239
12.2.2 Interest Waterfall 240
12.2.3 Principal Waterfall 241
12.2.4 Allocation 241
12.3 Debugging 243
12.3.1 Back of the envelope equity IRR calculations 243
12.3.2 Excel errors 244
Contents
13 Advanced Structuring Issues 247
13.1 Projecting Accrued Interest 247
13.1.1 Simple estimation of accrued interest 247
13.1.2 Estimating accrued interest 248
13.2 Collating Collateral Cash Flows 250
14 Sourcing and Integrating Data From External Systems 253
14.1 Data Requirements 253
14.2 Trustee Reports 253
14.3 Bloomberg 255
14.4 Loan Level Information Sources 256
15 Regulatory Applications of CDO Technology 257
15.1 The Basel Accords 257
15.1.1 Basel I 257
15.1.2 Basel II 258
15.2 Regulatory Capital Requirements for CDO Notes 260
15.3 The Standardized Approach for CDOs 263
15.3.1 Liquidity facilities 264
15.3.2 Early amortization 265
15.3.3 Credit risk mitigation 267
15.4 The Internal Ratings-Based Approach for CDOs 268
15.5 The Internal Ratings-Based Approach for CDOs: The
Ratings-Based Approach 269
15.6 The Internal Ratings-Based Approach for CDOs: The Supervisory
Formula Approach 270
15.7 The Internal Ratings-Based Approach: Liquidity Facilities, Overlapping
Exposures, Credit Risk Mitigation and Early Amortization Features 272
15.7.1 Liquidity facilities and overlapping exposures 272
15.7.2 Credit risk mitigation 273
15.7.3 Early amortization features 273
15.8 Supervisory Provisions 274
15.9 Updates to Basel II 274
16 CDO Valuation 277
16.1 Introduction 277
16.1.1 Default risk 278
16.1.2 Default correlation risk 278
16.1.3 Loss given default/recovery risk 278
16.1.4 Interest rate risk 279
16.1.5 Basis risk 279
16.1.6 Currency risk 279
16.1.7 Replacement/reinvestment risk 279
16.1.8 Prepayment 280
16.1.9 Termination: optional and event of default (EOD) 280
16.1.10 CDO2 and structured finance issues 280
Contents
16.1.11 Manager expertise and experience 281
16.1.12 Prerequisites 281
16.2 Basic Valuation Approaches 282
16.2.1 Traditional underwriter viewpoint 282
16.2.2 Fundamental cash flow analysis 282
16.2.3 Market value 282
16.2.4 Accounting value 282
16.3 Traditional Underwriter Analysis 283
16.3.1 Modelling requirements 284
16.3.2 Extending the number scenarios 292
16.4 Fundamental Cash How Analysis 292
16.4.1 Cashflows 295
16.4.2 Rates 295
16.4.3 Default risk 295
16.4.4 Cohorts/transition matrices 296
16.5 Using Rating Agency Models 297
16.5.1 Using CDOROM? 297
16.5.2 Using S P CDO Evaluator? 298
16.5.3 Recovery rate 299
16.5.4 Modelling 300
16.5.5 CDO Evaluator? Template 300
16.5.6 CDOROM? Template 301
16.5.7 Detailed cash flow generation sheet 302
16.5.8 Curve sheet 306
16.5.9 Collation 306
16.5.10 Agency Simulations Sheet 309
16.5.11 Driver Sheet 314
16.5.12 Modifications to the Cash Flow Model 315
16.6 Transition Matrices 315
16.6.1 Background 315
16.6.2 Generating defaults 316
16.6.3 Evaluation 317
16.6.4 Importance 317
16.6.5 Sources of transition matrices 318
16.6.6 Scaling the transition matrix 319
16.6.7 Inputs 321
16.6.8 Outputs 325
16.7 Conclusion 325
17 In Conclusion 327
Index 329
|
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| id | DE-604.BV036615251 |
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| record_format | marc |
| series2 | Wiley finance |
| spelling | Smith, Darren Verfasser aut Cash CDO modelling in Excel a step by step approach Darren Smith and Pamela Winchie this ed. 1. publ. Chichester Wiley 2010 XVI, 338 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Wiley finance Microsoft Excel (Computer file) Mathematisches Modell Collateralized debt obligations Mathematical models Credit derivatives Mathematical models Mathematische Modellierung (DE-588)7651795-0 gnd rswk-swf Collateralized debt obligation (DE-588)7548936-3 gnd rswk-swf EXCEL (DE-588)4138932-3 gnd rswk-swf Collateralized debt obligation (DE-588)7548936-3 s Mathematische Modellierung (DE-588)7651795-0 s EXCEL (DE-588)4138932-3 s DE-604 Winchie, Pamela Sonstige oth http://www.loc.gov/catdir/enhancements/fy1007/2010005595-d.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020535403&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Smith, Darren Cash CDO modelling in Excel a step by step approach Microsoft Excel (Computer file) Mathematisches Modell Collateralized debt obligations Mathematical models Credit derivatives Mathematical models Mathematische Modellierung (DE-588)7651795-0 gnd Collateralized debt obligation (DE-588)7548936-3 gnd EXCEL (DE-588)4138932-3 gnd |
| subject_GND | (DE-588)7651795-0 (DE-588)7548936-3 (DE-588)4138932-3 |
| title | Cash CDO modelling in Excel a step by step approach |
| title_auth | Cash CDO modelling in Excel a step by step approach |
| title_exact_search | Cash CDO modelling in Excel a step by step approach |
| title_full | Cash CDO modelling in Excel a step by step approach Darren Smith and Pamela Winchie |
| title_fullStr | Cash CDO modelling in Excel a step by step approach Darren Smith and Pamela Winchie |
| title_full_unstemmed | Cash CDO modelling in Excel a step by step approach Darren Smith and Pamela Winchie |
| title_short | Cash CDO modelling in Excel |
| title_sort | cash cdo modelling in excel a step by step approach |
| title_sub | a step by step approach |
| topic | Microsoft Excel (Computer file) Mathematisches Modell Collateralized debt obligations Mathematical models Credit derivatives Mathematical models Mathematische Modellierung (DE-588)7651795-0 gnd Collateralized debt obligation (DE-588)7548936-3 gnd EXCEL (DE-588)4138932-3 gnd |
| topic_facet | Microsoft Excel (Computer file) Mathematisches Modell Collateralized debt obligations Mathematical models Credit derivatives Mathematical models Mathematische Modellierung Collateralized debt obligation EXCEL |
| url | http://www.loc.gov/catdir/enhancements/fy1007/2010005595-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020535403&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT smithdarren cashcdomodellinginexcelastepbystepapproach AT winchiepamela cashcdomodellinginexcelastepbystepapproach |