CMBS Cash Flow model
Hello All,
Planning to build a cash flow projection model for CMBS pool, interested to know if I can find some templates for reference. To give more detail, want to simulate Intex/Trepp projections in excel so I can use it when a security is not traded or not in the library. Much appreciate the groups assistance with this regard.
Thanks in advance.
Man what kind of stuff are you trying to model that doesn't show up in the Trepp/Intex libraries? I don't have any templates but if you have the time to build your own from scratch, you might want to pick up a copy of Modeling Structured Finance Cash Flows with Microsoft Excel by Keith Allman
Yeah you can download these for free on Library Genesis!
I'm with Lizard on this one. Pretty much every deal ever marketed and still traded secondary is modeled on either Intex or Trepp.
That said, I have built my own CF projection model in Excel (it was used in production at a CMBS shop for breakevens and pricing new issue deals) and from my experience, I've never found any templates or guides to follow.
So, PM if you have any questions, happy to answer any, but can't share (even tho I own it).
Thank you. Started off with Cash flow model and looking to run some kind of macro to aggregate pool cash flows and the finally drop Cash flow into PY table. Will probably do individual bonds. Let me know if you would recommend a different framework.
It depends on your level of patience when running the model when deciding the framework.
The first model I built which did a lot of the legwork via excel formulas took nearly 20 seconds per iteration.
The most recent one had zero formulas, and just dumped out calculated cash flows computed in VBA. It runs an entire securitization in about a tenth of a second, and about 40 scenarios in abt 2 seconds.
My advice is to put into code (not macro) as much as you can upfront.
Is there a model template that you can share? I also work at a REPE debt fund investing in CMBS B pieces. We also try to model a brand new CMBS bond cash flows (for all tranches) from collateral (data tape) as the deal is still in the make.
Thanks,
DMB?
MBS Valuation Model (Originally Posted: 08/30/2013)
Anyone have a MBS valuation model I could view. I have been working on a model for an interview I have and I am confused on how to calculate the duration and final YTM for a 30 year MBS.
I can share my model as well if anyone can provide comment.
Hey there, I don't have much experience with this stuff, don't know how much I can help, but I would be willing to take a look and see....I am doing some research and trying to learn more about MBS/ABS valuation and it never hurts to have another set of eyes, do you mind posting it?
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