# The Structured Credit Analyst: companion files

Julian R. Sterling

## What is here

- **Structured_Credit_Model.xlsx**: the workbook that rebuilds the three case deals and reproduces the figures of the book with live formulas. Sheets: Read Me, Inputs, Checks, Auto ABS, Auto ABS 1.4x, CLO Base, CLO Stress, CLO Severe, RMBS, RMBS Stress.
- **Structured_Credit_Toolkit.docx**: the checklists and templates of Appendix B (pool tape checklist, offering document reading order, waterfall checklist, credit memo outline, CLO manager questions, monthly surveillance, pricing day), in editable form.

## Which sheet answers which chapter

- Chapters 5 to 8: Auto ABS (Tallis 2025-1: prepayments, defaults, the waterfall, overcollateralization, the turbo, weighted average lives)
- Chapter 7: Auto ABS with the default multiple on Inputs (break-even analysis)
- Chapter 9: RMBS and RMBS Stress (Harborline 2025-NQM1: sequential pay, prepayment speeds, losses written down)
- Chapters 10 and 11: CLO Base, CLO Stress and CLO Severe (Merrow CLO 2025-1: arbitrage, OC tests, diversion, deferral, equity IRR)
- Chapter 14: Auto ABS 1.4x (the surveillance re-projection of September 2026)

## Two inputs to change first

1. On Inputs, set the default multiple of the Auto ABS sheet to 3.20, then to 3.30: watch Class C reach its first dollar of loss.
2. On Inputs, lower the Merrow asset spread from 3.50 percent to 3.25 percent: see what it does to the equity IRR in the three CLO sheets. Reset the inputs afterwards: the Checks sheet compares the workbook with the figures printed in the book.

Blue type on a light blue background is an input, black type a formula. No macro, no circular reference, no external link. The Checks sheet should read ALL CHECKS OK on the default inputs.

Fennmoor Securities, Brackwell Asset Management, Tallis Auto Finance, Merrow Loan Partners and Harborline Home Lending are fictional; the models are simplified teaching models; all case figures are illustrative assumptions, not market terms, ratings or forecasts. Provided as is, without warranty. Not investment, legal, tax or accounting advice.