Structured Securities - Forecasting Cashflows

Overview

A structured security is a security that is constructed by bundling together a bunch of other securities, and then routing the cash flows from this bundle to a set of other owners according to a set of prespecified rules.

Steps

• Asset Cash Flows - the first step is to compute what the cash flows of the underlying assets will be
• Routing Cash Flows - determine where each of the computed cash flows goes.
• Triggers - configer the model to accomodate any triggers set on the deal. (conditions that cause changes in how the strucutre pays out.)
• Scenario Analysis and Simulations - adds realism to the model by accounting for possible pre-payments or defaults in the underling asset pool