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Bear Stearns 2005 EC1 Details of the implementation in the Waterfall Editor

Bear Stearns 2005 EC1 Details of the implementation in the Waterfall Editor. R&R Consulting – Santander 2010. 1. The pool of assets. 2. Main Program (Sequencer Tab). Distribution Structure: Calculate Available Funds using the SWAP Payment and Yield Maintenance Cap.

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Bear Stearns 2005 EC1 Details of the implementation in the Waterfall Editor

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  1. Bear Stearns 2005 EC1Details of the implementation in the Waterfall Editor R&R Consulting – Santander2010

  2. 1. The pool of assets

  3. 2. Main Program (Sequencer Tab) Distribution Structure: Calculate Available Funds using the SWAP Payment and Yield Maintenance Cap. The result will be distributed across all tranches in the liability structure. Allocation Structure: Use a Trigger to determine, “Which Allocation Plan do I call, A or B?” Trigger Calculation. See Slide 3 for details of the formula. Note that the pass-through method is the Trigger, specified in the Calculation to the left. Iconography: Grey for calculations, Blue for variables and green for parameters

  4. 3. Is Allocation (B)? (Calculation Tab) The result of this calculation is a Boolean 0 or 1. This calculation is a conditional expression that compares another calculation (Trigger Event) to a number. Slide 4 to know more about Trigger Event.

  5. 4. Trigger Event (Calculation Tab) It is easy to set up an Escalator Trigger in WFE. This calculation is another conditional expression. It compares a calculation (60+ balance / Pool Balance…) to a number (0 in this case). See slide 5 to know more about Trigger Event.

  6. 5. 60+ balance / Pool Balance - 32% of CSEP (Calculation Tab) Every object in WFE (parameter, calculation, variable or structure) can be dragged and dropped into the waterfall. Every object can be evaluated, tested and debugged separately, ensuring the validity of cash flow results. A simple difference linking two complex calculations: 60+ days’ delinquent accounts as a percentage of the current pool balance and a run-rate target enhancement percentage.

  7. 6. Allocation A (Structure Tab) You can add a tranche very easily by using the “Add Tranche” feature in the Tools menu. Principal is allocated sequentially. Under “A Allocation,” the amount sequentially allocated to the tranches is Total Principal Due from the Asset model.

  8. 7. Allocation B (Structure Tab) Under “B Allocation,” Class A is entitled to receive the “Class A Principal Distribution Amount.” See slide 8 for details about this calculation.

  9. 8. Class A Principal Distribution Amount (Calculation Tab) The result of this calculation is the minimum between Total Principal Due and the sub-calculation “Balance(A) – min.” Node labels are defined by the user and have no restrictions. The template tool makes it possible to copy a calculation into each tranche to which it applies.

  10. 9. Distribution (Structure Tab) The “Add Servicer” tool makes it easy to refine the analysis of the fee structure at the top of the waterfall. The servicer and tranches are paid sequentially The cash distributed here is “Total Amount,” defined in the Sequencer as “AF with SWAP and YMA.” (cf. slide 2) This variable will capture the remaining cash

  11. 10. LIBOR Rates (Variables Tab) You can define a vector of values for a variable. The vector will be loaded as a CSV file. Here a LIBOR path is defined for a floating rate calculation. Each value is manually changeable.

  12. 11. Run the Deal (Run Tab) Cash flow vector can be selected for export in a CSV file. The value of the variable Precision (Nb. of digits after decimal) is set in Parameters.

  13. 12. Debug the Deal (Run Tab) From the Run menu, you can run and display the details of each calculation, structure or sequencer.

  14. Questions and Comments about the Waterfall Editor? Please feel free to contact David or Max at: By phone: +1-212-867-5693 Or by email: support@creditspectrum.com

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