In this section, we will running through how to define the asset side and run cashflows with our Structuring Tool. In the Starting a Structure section, we saw how we can start a structure using the below.


  1. Create a new structure
  2. Load a previous deal structure from a template
  3. Load from OM (Offering Memorandum)


Now in this section, we will be defining our Collateral and Running Cashflows. A reminder is that you can save any of your progress as long as the Securitization Properties have been filled out with the Save Template button. 


Collateral


Depending on how you started the structure, you may be able to utilize the below for creating your collateral:

  1. Repline - design a collateral pool by user
  2. TapeID - you can paste tape id from the ending URL from Tape Cracker to run cashflows
    1. It will need to pass the loan validation, remember to click Validate 
    2. The user would need to select the highlighted section of the following: https://dv01app.com/tape-cracker/tools/import/match/ce44c1cc-385e-4b08-b06d-3a4d58dd0ce6
  3. Securitization - It will fetch the securitization pool as of First Collection Begin Date in the basic info section. Otherwise it can be configured as specific date by checking Use specific pool date checkbox and select date

Creating Cashflow Scenarios


With the same syntax as the webapp and in existing resources we have, users can build custom scenarios with static and ramp values across CPRs, CDRs, Severity, and Lag assumptions. This is powerful when replicating stresses that third parties may provide.


Users can run curves on all the collateral or cohort by the defined replines that have been built. The video below showcases this functionality:

Once your scenarios are ready to go, users can Run Cashflows, where the following will be displayed for each scenario:

  • Tranche table to help with execution where users can play with the price, yield, z-spread, XIRR, market value, etc.
  • Graphical Visualization across the collateral and tranches
  • Full cashflow output that can be downloaded into excel