I am trying to recreate loan level cashflows given prepayment and default assumptions from an example in a SIFMA PDF and I somehow can’t tie out to any of the numbers that they are getting. Can someone help create the cashflows in excel so I can follow the mechanics? I seem to be getting lost after calculating the new defaults.
Here is my excel file (please see the second tab):
LINK: dropbox . com/scl/fi/iyvpt0fzq0ejj574efr5n/data1.xlsx?rlkey=v5psdfy2tda9ufc9t4kmyblyv&dl=0
Here is the example provided by SIFMA (page 23):
LINK: sifma . org/wp-content/uploads/2017/08/chsf.pdf
For some reason, it will not let me add links so please delete white spaces from the below links.