Category: Structured Products and Securitization Modeling for US Companies
Objective: Develop Excel models for structured credit and asset-backed securities suitable for investor analysis, surveillance, and risk management.
Scope: Waterfall and tranche cash flow engines for ABS and CLO structures, including fee stacks, interest and principal priority of payments, reinvestment and amortization phases, OC and IC test mechanics, trigger and diversion logic, and tranche performance measures. Collateral assumptions should support prepayment vectors, default timing, loss severity and recoveries, spread and index shocks, and collateral quality migration where applicable. Stress testing frameworks should produce tranche and equity outcomes under base and downside cases, including trigger breaches and diversion behavior.
Deliverables: Modular workbooks with deal inputs, collateral assumptions, waterfall engine, and standardized outputs (cash flows, WAL, IRR, break-even, OC/IC headroom, and sensitivity tables). Include validation checks for cash conservation, trigger reconciliation, balance carry-forward, and alignment to term sheet definitions, plus a concise methodology note on timing conventions and edge-case handling.
Standards: Readable calculation flow and consistency with market reporting practice.
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