Issuance SPV Cashflow Waterfall Generator
Seed: asset_pool_cashflows, tranche_structure, interest_rate_scenarios, trigger_testsADVERTISEMENT - IN-ARTICLE
Implementation Guide
A generator that builds SPV cashflow waterfalls, models tranche payments (sequential, pro-rata), and tests triggers (OC/IC tests) and rating agency stress cases to support structuring and investor due diligence for securitizations.
💡 Expert Q&A Insights
Q: How to model prepayment risk?
Use CPR/CPR sensitivity bands and amortization models.
Q: Can it simulate downgrades?
Yes—run rating-scenario stress with increased defaults and recovery shifts.