Securitization Modeling Services
David Gerster Structured Finance Services specializes in custom Excel models for securitizations and other structured financings. Mr. Gerster has more
than 5 years' experience working with a variety of asset
types, including:
- Mortgage-backed securities (MBS) and collateralized
mortgage obligations (CMOs)
- Commercial mortgage-backed securities (CMBS)
- Asset-backed securities (ABS)
In addition, Mr. Gerster has experience with a variety
of bond structures, from simple pass-throughs to complex
multi-tranche structures.
Collateral Cash Flow Modeling in Excel
The foundation of any securitization model is a solid
collateral cash flow engine. DGSFS can create a customized
collateral engine with features such as:
- Ability to run tens of thousands of loans with loan-level
prepayments and losses
- Industry standard prepayment, default, recovery
and loss severity methodologies, checked against the
Bond Market Association's standard formulas
- Custom prepayment and default vectors, if desired
- Loan-level prepayment penalty modeling, if desired
- Output tailored to suit your needs
- Available for all asset types including mortgage
loans, auto loans, receivables, etc.
Collateral engines are written in Excel VBA for maximum
power and flexibility. A single-loan example based on
the Standard Default Assumption (SDA) and PSA prepayment
assumption is available for download here.
Retained asset valuation
Issuers often find valuing retained assets (such as
residuals) to be a difficult chore. DGSFS can custom-build
an automated Excel model that pulls data from multiple
sources, eliminating laborious, error-prone cut and
paste procedures. Real world example:
DGSFS created a multi-issue retained asset for a Big
Three auto maker.
Model validation and enhancement
Financial models for securitizations invariably have
many moving parts. DGSFS can examine your existing models
for errors and also find ways to improve them and make
them easier to use. Real world
example: DGSFS validated a CMBS servicing asset
model for a super-regional bank in accordance with OCC
Bulletin 2000-16.
Reverse-engineering of transactions
DGSFS can reverse-engineer transactions that have already
been structured. Real world example:
DGSFS reverse-engineered a Senior/Subordinated, ratio-stripped
bond issue for a Big Four accounting firm.
Structuring of new issues
DGSFS can assist you in the structuring process, examining
alternative structures and delivering a final reference
model for new issues. Real world
example: DGSFS structured a Senior-Subordinated
transaction backed by complex, negatively amortizing
ARM collateral for a major California bank. This model
was used to structure more than $6 billion in securities.
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