Machine derived contents note: Acknowledgments. -- 1 Introduction. -- 1.1 To Excel or Not to Excel? -- 1.2 Existing Tools and Software. -- 2 What is a Cash CDOs? -- 2.1 Types of CDOs. -- 2.2 Description of a Cash Flow CDO. -- 2.3 Life Cycle of a Cash CDO. -- 2.4 Contribution to the "Credit Crunch". -- 3 Introduction to Modelling. -- 3.1 Goals in Modelling. -- 3.2 Modelling Philosophies and Trade-Offs. -- 3.3 Flexibility. -- 3.4 Organization and Layout of a Model. -- 3.5 Life-Cycle Issues: Building an Adaptable Model. -- 4 Prerequisites to Cash Flow Modelling. -- 4.1 Modelling Dates. -- 4.2 Interest Rate Curve Modelling. -- 4.3 Present Value Modelling. -- 5 Getting Started. -- 5.1 Create the Input Sheet. -- 5.2 The Value of Labelling. -- 6 Modelling Assets. -- 6.1 Initial Asset Pool: Rep Line Modelling vs. Actual Assets. -- 6.2 The Collateral Sheet in the Cash Flow Model. -- 6.3 Modelling Defaults and Recoveries. -- 6.4 Amortization. -- 6.5 Modelling Reinvestment. -- 6.6 Reinvestment Cohorts. -- 6.7 Accounts. -- 6.8 Timing Models vs. Actual Timing. -- 6.9 Simple Warehouse Modelling. -- 7 Basic Waterfall Modelling. -- 7.1 Basic Waterfalls. -- 7.2 Layout and Design. -- 7.3 Avoiding Negative Values. -- 7.4 Timing Modelled vs. Actual Timing. -- 7.5 Liabilities Cash Flows. -- 7.6 Fees and Expenses Cash Flows. -- 7.7 Interest Waterfall. -- 7.8 Interest Waterfall (Available Funds after Payment). -- 7.9 Interest Waterfall Calculations. -- 7.10 Principal Waterfall. -- 7.11 Principle Waterfall (Available Funds after Payment). -- 7.12 Principal Waterfall Calculations. -- 7.13 Adding Over-Collaterization Tests. -- 7.14 Adding Interest Coverage Tests. -- 7.15 Technical Issues with Coverage Tests. -- 8 Outputs Sheet. -- 8.1 Purpose of the Outputs Sheet. -- 8.2 Collating Waterfall Outputs. -- 8.3 Present Value. -- 8.4 Duration. -- 8.5 Weighted Average Life and Internal Rate of Return. -- 8.6 Equity Analysis. -- 8.7 Basic Auditing. -- 9 Moody's Rating Agency Methodology. -- 9.1 Introduction to Agency Methodologies. -- 9.2 The Bet Approach. -- 9.3 Evaluating the Collateral. -- 9.4 Creating the Moody's Sheet and Related References in the Cash Flow Model. -- 9.5 Default Profiles. -- 9.6 Interest Rate Profiles. -- 9.7 Running the Analysis. -- 9.8 Variations on the BET. -- 9.9 2009 Methodology Update. -- 10 Standard & Poor?s Rating Methodology. -- 10.1 The S&P Approach. -- 10.2 Evaluating the Collateral. -- 10.3 Modelling Recovery Rates. -- 10.4 CDO Evaluator. -- 10.5 Default Rates. -- 10.6 Interest Rate Stresses. -- 10.7 Amortization. -- 10.8 Additional S&P Modelling Criteria. -- 10.9 Building the S7P Sheet and Related References. -- 10.10 Running the Stress Scenarios. -- 11 Advanced Waterfall Modelling. -- 11.1 Hedge Agreements. -- 11.2 Fixed Notes. -- 11.3 Variable Funding Notes. -- 11.4 Liquidity Facilities. -- 11.5 Interest Reserve Accounts. -- 11.6 Other Structural Features. -- 11.7 Combination Notes. -- 11.8 Collateral Manager Equity Analysis. -- 12 Maintaining the Cash Flow Model. -- 12.1 Adapting Your Model for Different Capital Structures. -- 12.2 Audit Sheet. -- 12.3 Debugging. -- 13 Advanced Structuring Issues. -- 13.1 Projecting Accrued Interest. -- 13.2 Collating Collateral Cash Flows. -- 14 Sourcing and Integrating Data From External Systems. -- 14.1 Data Requirements. -- 14.2 Trustee Reports. -- 14.3 Bloomberg. -- 14.4 Loan Level Information Sources. -- 15 Regulatory Applications of CDO Technology. -- 15.1 The Basel Accords. -- 15.2 Regulatory Capital Requirements for CDO Notes. -- 15.3 The Standardized Approach for CDOS. -- 15.4 The Internal Ratings-Based Approach for CDOS. -- 15.5 The Internal Ratings-Based Approach for CDOS: The Ratings-Based Approach. -- 15.6 The Internal Ratings-Based Approach for CDOS: The Supervisory Formula Approach. -- 15.7 The Internal Ratings-Based Approach: Liquidiity Facilities, Overlapping Exposures, Credit Risk Mitigation and Early Amortization Features. -- 15.8 Supervisory Provisions. -- 15.9 Updates to Basel II. -- 16 CDO Valuation. -- 16.1 Introduction. -- 16.2 Basic Valuation Approaches. -- 16.3 Traditional Underwriter Analysis. -- 16.4 Fundamental Cash Flow Analysis. -- 16.5 Using Rating Agency Models. -- 16.6 Transition Matrices. -- 16.7 Conclusion. -- 17 In Conclusion. -- Index.