KEITH ALLMAN – REVERSE ENGINEERING DEALS ON WALL STREET WITH MICROSOFT EXCEL

There is a serious source of information for reverse engineer business deals.

From the current turbulence on Wall Street, it is clear that the inner workings of its most complex transactions are poorly understood. It is difficult to translate legal terminology into an analytical model for Wall Street deals. There are reverse engineering deals on Wall Street. Readers are taken through a detailed methodology of deconstructing the public deal documentation of a modern Wall Street transaction and applying the deconstruction elements to create a fully dynamic model that can be used for risk and investment analysis.

Appropriate for the current market climate, an actual residential mortgage backed security transaction is taken from prospectus to model by the end of the book. Allman walks the reader through the reversing process with excerpts from the prospectus and discussions of how it transfers to a model. Allman translated the theory into a fully functioning model for the example deal after the discussion of concepts with exact references to an example prospectus. The VBA code and detailed explanation shows proper valuation methods.

This text can help anyone who wants to keep track of the competition, learn from others public transactions, or set up a system to audit their own models.

There is a note. Supplementary materials are not included in the eBook file.

TABLE OF CONTENTS

Preface.

Acknowledgments.

About the author.

Chapter 1 introduces the topic.

The transaction took place.

There are documents.

The process.

How this book works.

Chapter 2 deals with setting up timing.

There are differences in timing approaches.

The prospectus is a first look.

Dates that are important.

Dates and Timing are being transformed into a model.

Reversing Dates and Timing is a part of model builder 2.1.

The conclusion of dates and timing.

Chapter 3 is about creating asset cash flow.

The prospectus supplement is all about it.

The basics of depreciation.

There is a performance and a prospectus supplement.

Delinquency.

Loss.

Prepayment.

Recovery.

Creating cash flow.

There is a complex implementation.

The model builder entered the raw asset information.

The model builder has entered the default and prepayment assumptions.

There are interest rates and additional asset depreciation inputs in the model builder.

Model builder 3.4 introduces VBA and moving data in and out of the model

Loan performance assumptions are loaded into the model builder.

The model builder has global functions.

Loan-Level Asset Amortization is a part of the model builder.

Chapter 4 includes setting up liability assumptions, paying fees and distributing interest.

The securities are identified.

The Liability Information can be transferred to a Consolidated Sheet.

The liability waterfall is a system of priority.

The model builder 4.2 is about starting the waterfall with fees.

No financing is free.

Continuation of the waterfall with interest paid to the certificate holders is what model builder 4.3 is about.

There are more on Wall Street’s Risk Parsing.

The model builder has a Mezzanine Interest.

The waterfall only gets more complicated.

Chapter 5: Principal Repayment and the Shifting Nature of a Wall Street Deal.

The Deal State and Senior Principal are in model builder 5.1.

There is a principal return.

The priority of payments is addressed in model builder 5.2.

Risk Parsing or number games?

Chapter 6 deals with credit enhancement mechanisms.

Excess Spread, Overcollateralization, and Credit Enhancement are included in Model Builder 6.1.

Chapter 7 is about auditing the model.

There is a model builder.

Chapter 8: Conclusion of example transaction and final thoughts on reverse engineering

Servicer advances and mortgage insurance.

The current and future market has reverse engineering in it.

Appendix.

Automatic range naming.

There is a CD-ROM.

Index.

AUTHOR INFORMATION

Allman is a man. A capital markets professional has a specialization in modeling. He is the principal trainer and founder of Enstruct, a quantitative finance training company. Allman was a vice president at Citigroup. He was employed by MBIA Corporation in their Quantitative Analytics division. The author is Allman. Microsoft excel is used to model structured finance cash flows. It is published by Wiley.

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