Chapter 1: Introduction

Chapter 2: What are Cash CDOs
  1. Types of CDOs
  2. Description of a Cash CDO
  3. Life Cycle of a Cash CDO
Chapter 3: Introduction to Modeling
  1. Goals in Modeling
  2. Modeling Philosophies and Trade-Offs
  3. Organization and Layout of a Model
  4. Lifecycle Issues: Building an Adaptable Model
Chapter 4: Prerequisites to Cash Flow Modeling
  1. Modeling Dates
  2. Interest Rate Curve Modeling
  3. Present Value Modeling 
Chapter 5: Getting Started
  1. Create the Input Sheet
  2. The Value of Labeling
Chapter 6: Modeling Assets
  1. Initial Asset Pool:  Rep Line Modeling vs. Actual Assets
  2. The Collateral Sheet in the Cash Flow Model
  3. Modeling Defaults and Recoveries
  4. Amortization
  5. Modeling Reinvestment
  6. Reinvestment Cohorts
  7. Accounts
  8. Timing Modeled vs. Actual Timing
  9. Simple Warehouse Modeling
Chapter 7: Basic Waterfall Modeling
  1. Basic Waterfalls
  2. Layout and Design
  3. Avoiding Negative Values
  4. Timing Modeled vs. Actual Timing
  5. Liabilities Cash Flows
  6. Fees and Expenses Cash Flows
  7. Interest Waterfall
  8. Interest Waterfall (Available Funds After Payment)
  9. Interest Waterfall Calculations
  10. Principal Waterfall
  11. Principal Waterfall (Available Funds After Payment)
  12. Principal Waterfall Calculations
  13. Adding Over-Collateralization Tests
  14. Adding Interest Coverage Tests
  15. Technical Issues with Coverage Tests
Chapter 8: Output Sheets
  1. Purpose of the Outputs Sheet
  2. Collating Waterfall Outputs
  3. Present Value
  4. Duration
  5. Internal Rate of Return and Weighted Average Life
  6. Equity Analysis
  7. Basic Auditing
Chapter 9: Moody’s Rating Agency Methodology
  1. Introduction to Agency Methodologies
  2. The BET Approach
  3. Evaluating the Collateral
  4. Creating the Moody’s Sheet and Related References in the Cash Flow Model
  5. Default Profiles
  6. Interest Rate Profiles
  7. Running the Analysis
  8. Variations on the BET
Chapter 10: Standard and Poor’s Rating Agency Methodology
  1. The S&P Approach
  2. Evaluating the Collateral
  3. Modeling Recovery Rates
  4. CDO Evaluator
  5. Default Rates
  6. Interest Rate Stresses
  7. Amortization
  8. Additional S&P Modeling Criteria
  9. Building the S&P Sheet
  10. Running the Stress Scenarios

Chapter 11: Advanced Waterfall Modeling
  1. Hedge Agreements
  2. Fixed Notes
  3. Variable Funding Notes
  4. Liquidity Facilities
  5. Interest Reserve Accounts
  6. Other Structural Features
  7. Combination Notes
  8. Collateral Manager Equity Analysis
Chapter 12: Maintaining the Cash Flow Model
  1. Adapting Your Model for Different Capital Structures
  2. Audit Sheet
  3. De-bugging
Chapter 13: Advanced Structuring Issues
  1. Projecting Accrued Interest
  2. Collating Collateral Cash Flows
Chapter 14: Sourcing and Integrating Data From External Systems
  1. Data Requirements
  2. Trustee Reports
  3. Bloomberg
  4. Loan Level Information Services
Chapter 15: Regulatory Applications of CDO Technology
  1. The Basel Accords
  2. Regulatory Capital Requirements For CDO Notes
  3. The Standardized Approach for CDOs
  4. The Internal Ratings Based Approach for CDOs
  5. The Internal Ratings Based Approach for CDOs:  The Ratings Based Approach
  6. The Internal Ratings Based Approach for CDOs:  The Supervisory Formula Approach Internal Ratings Based Approach:
  7. Liquidity Facilities, Overlapping Exposures, Credit Risk Mitigation and Early Amortisation Features
  8. Supervisory Provisions
  9. Updates to Basel II
Chapter 16: Valuation of CDOs
  1. Introduction
  2. Basic Valuation Approaches
  3. Traditional Underwriter Analysis
  4. Fundamental Cash Flow Analysis
  5. Using Rating Agency Models
  6. Transition Models