1. Extensive breadth and depth in advanced credit and cash flow analysis – in this example fixed income and
ABS/CMO:
Concurrently with 1st
yr of Undergrad I began in IB as a Credit Analyst, then deal structuring (cash flow analysis), then
trading CMO’s with Industry pioneer Ira Saperstien at Kidder in their 1st
year (1987), then after MBA as Portfolio
Manager on 3 FI funds with >$2 Bil.
Spreadsheet (screenshot) demonstrates the different methods (User Vs Bloomberg default metrics) to run Summary
Yield Table analysis in a spreadsheet. The spreadsheet will calculate the historical/projected cashflows, yield and WAL
based on your CPR, CDR and SEVerity assumptions.
Entering CUSIP, &/or CF metrics provides summary yield and cash flow tables.
Creating Vectors
Examples: PREPAY SPEED PREPAY SPEED VECTOR
1) 100 10 11 12 13
2) 100 2 12R 20
3) 100 O 2 4 6
4) 100 O 2 12R 20
5) 100 30 15R 20 12S 5
6) 100 10
7) 200 2 12R 20
8) 150 10
9) 10
Historical Interest Shortfall Field
Historical interest shortfall. Shortfall is the difference between the amount of expected interest and what was actually paid. Applies to CMO/ABS where provided.
Returns columns of date and interest.
Flat 10% CPR
4% first month, ramping up to 40% over a 12 month period
Flat 15% CPR
Flat 10% CPR
Means
Specified values in monthly intervals: 10% first month, 11% second month, 12% third month, etc
2% first month, ramping up to 20% over a 12 month period
O= Starts at Origination, 2%, 4%, 6% in monthly intervals
O= Starts at Origination, 2% ramping over 12 months to 20
30% ramping down to 20% over 15 months, then stepping down to 5% after 12 months

2. …plus three more tabs in cash flow engine excel model.