BondCalc: Securitization Input Parameters

BondCalc can securitize home equity loans, commercial mortgages, and all other types of asset securitizations. You can have a Sr/Sub/Reserve structure or an Sr/Reserve structure, and the Sr and/or Sub can have an unlimited number of tranches.

To start you have to build a database of single securities. It can be a single security. Then in the portfolio make a listing of the securities. For commercial mortgages see special import type where the user specifies the locations in data record.

In the portfolio use Alt-S for the Securitization Input Screen and input the following:

Securitization Rate - The rate at which the Senior securities are
  sold, and also the Subordinated if the next field is blank.
  If the Senior securities have multiple tranches then enter
  multiple rates here with + signs in between. May use single
  with multiple amounts. To enter floating rates or rates
  changing over time you have to: Enter a floating case in the
  database found on F8. The case must have a single letter name.
  Then enter a letter here from A to Z instead of a rate. Letters
  can be used more than once.

Securitization Rate - Subordinated. Optionally you can enter a
  rate here if the sub piece has a different rate.

CPR Scenario Rate - Do NOT enter here and inside security, or both
  will be used. However, input must be here for sensitivity
  report to be prepared. Optionally a vector of prepayment rates
  can be entered on the F7 popup. Do NOT enter when at security
  level. Input will come from security screen.

R/F Discount Rate - This is in the Display Compounding Frequency
  as set on Shft-F5. If wanted in monthly then use Alt-F4 to
  convert from monthly to semiannual equivalent.

Amount in Senior Structure - This is the initial percent or amount
  that is allocated to the senior. Numbers 100 or less will be
  percents, greater will be monetary. If multiple senior tranches
  then enter multiple numbers with + signs in between. Must have
  the same number of numbers as Sr. Securitization Rate field.
  Can use scientific notation to enter large numbers. Use a
  capital E for the exponent. E.g. 1.2E6 is 1200000.

Amount in Sub Structure - If a 0 is entered then there will be no
  Sub piece. Can be either monetary or percent. A lesser number
  can be used when jumping into the middle of the deal. If blank
  then it defaults to 100% less the Senior piece

Unscheduled Principal to Senior - If left blank defaults to 100%
  to senior.

Overcollateralization Amount - Usually in a range of 0-20%. Can
  also enter three numbers separated by + signs. The first is the
  the point when extra cash is no longer turboed to the A holder.
  The second is the number of periods to a step down. The third
  is the percent of the step down.

Fee Feature Code - This is the sum of the codes necessary to
  describe the fee arrrangement:
  1 - end trustee fee when senior piece ends
  2 - add a servicing fee present value column on the right

Servicing Fee - In percent.

Trustee Fee - In percent. Collected over the life of the issue,
  unless feature above is used.

Trustee Fee/Annual Minimum - The minimum monetary amount per year
  of the previous field.

Upfront Deal Expenses - In monetary amount. They appear on the
  summary report and reduce net proceeds. Also see Discounts
  below.

Reserve Fund - This is what is set aside in reserve. It can be
  entered either in a monetary amount, or a percent of original
  book value. Numbers less than 100 will be percents, greater
  will be monetary.

Cash Reinvestment Rate - The percent earned annually by the
  reserve fund.

Clean Up Call - Optional. If entered then the issue will be
  called when the balance outstanding reaches this percent of
  original issue.

Default/Loss Info - Optional. Enter one or three numbers
  separated by + signs. The first is the percent that default
  each period. The second is the number of periods to recovery.
  The third is the percent recovered.

Annual Default Prepayment Rate - [Future use. Difference from
  above?]

Periodicity for Grouping Flows - This is usually optional. If
  left out the flows will be grouped based on the periodicity
  of the first issue found.

No Clean-up Call Step-up - Enter this when there is a clean-up
  call and the servicer does not call, and the Class holders
  receive this increase to their rate. This number is added to
  the rate. Also needs Clean-up call percent entered.

Spread Amount Requirement - Until this is reached, excess
  servicing will be used to pay down Class A Certificates. Enter
  as percent of original principal balance.

Surety Fee - In percent. Calculated against senior balance.

Price(s), Senior - Defaults to 100. In percent. May have
  multiple prices by separating with '+'s.

Price, Subordinated - Defaults to 100.

Discount(s), Senior - Defaults to 0. In percent. May have
  multiple discounts by separating with '+'s.

Discount, Subordinated - Defaults to 0.

Overcollateralization Type -
  1-Current Balance (default)
  2-Original Balance, then Current Balance after step
  3-Original Balance for entire length

Original Balance - Used for the overcollateralization test
  when so coded in the prior input field.