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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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Related sites: David Gerster Excel Modeling Services - Gerster.org Home Page