Companion files · The Private Markets Career Guides
How to Read and Analyze ABS, CLO and RMBS Deals Tranche by Tranche: Structured Finance, Asset Backed Securities, Waterfalls, Credit Enhancement, Ratings and the Career.
These are the companion files of the book. One workbook rebuilds the three fictional deals the book reads tranche by tranche: Tallis Auto Receivables Trust 2025-1, an auto loan ABS with its overcollateralization target, reserve account and turbo; Merrow CLO 2025-1, with its arbitrage, coverage tests, diversion and equity returns in three default paths; and Harborline Mortgage Trust 2025-NQM1, a non-QM RMBS paying sequentially. A toolkit holds the checklists of Appendix B in an editable form.
The archive holds the workbook, the toolkit and 00_START_HERE.md. No macros, no circular references, no external links. The workbook recalculates in Excel, LibreOffice or Google Sheets.
Chapters 5 to 11 and 14
One Inputs sheet holds every assumption: pool, prepayments, defaults, recoveries, coupons, spreads, triggers and fees. One sheet per deal and scenario, and a Checks sheet that puts the figures printed in the book beside the cells that compute them.
Download the workbook733 KBAppendix B
Pool tape checklist, offering document reading order, waterfall checklist, credit memo outline, CLO manager questions, monthly surveillance checklist and pricing day checklist.
Download the toolkit39 KBRead first
What each file holds, which sheet answers which chapter, and the two inputs to change first.
Download the read-me2 KB| Auto ABS | Tallis 2025-1 Class A lives 1.47 years; the base case cumulative net loss is 7.88 percent and no class loses |
| CLO | Merrow CLO 2025-1 equity earns 12.0 percent in the base case and minus 5.4 percent in the severe case, while every rated note is repaid |
| Non-QM RMBS | Harborline 2025-NQM1 A-1 lives 2.68 years at 15 percent CPR; in the stress case B-3 is written off and B-2 loses $4.1 million |
The files are provided as they are, without warranty of any kind. The models are illustrative: Fennmoor Securities, Brackwell Asset Management, Tallis Auto Finance, Merrow Loan Partners and Harborline Home Lending are fictional, the models are simplified, and the figures are the book’s assumptions, not market terms, ratings or forecasts. Nothing here is investment, legal, tax or accounting advice.