This website models the cash flows of a Securitisation based on user inputs. This model calculates cash flows and the annual Internal Rate of Returns (IRR) for an Asset Portfolio, Senior Bond (90% of Asset Portfolio) and Subordinated Loan (10% of Asset Portfolio). It also includes checks that the balances of the Asset Portfolio, Senior Bond, Reserve Fund and Subordinated Loan are zero at maturity.
This model includes an annual 1% fee calculated monthly on the Asset Portfolio balance and a Reserve Fund (1% of the original Asset Portfolio) to enable more credit protection for the Senior Bond. Maturity is set at 30 years and Repayments are pro-rata and monthly.
Recovery of Defaulted assets is set at 50% and is recognised in the same month as the default. The user sets the Amount of the Asset Portfolio, the Fixed coupons of the Asset Portfolio, Senior Bond and Suborindated Loan and the monthly Prepayment and Default amounts. Please leave no blanks.
Please note that certain inputs, such as the Senior Bond and Subordinated Loan amounts, fee percentage, default recovery, recovery time lag and whether repayments are pro-rate or sequential, have been assumed at this stage to simplify the model. In the future these can be incluced as inputs to the model.
Future Steps : Enable Floating Rates for Coupons and Default and Prepayment Curves.
About the Developer:
Adrian Hough used this project to learn about Python, Numpy, Pandas & Flask.
For feedback please contact adhough@hotmail.com or linkedin (www.linkedin.com/in/adrian-hough-528b7b).