Capital stack at maturity
Hatched area is principal written down under this scenario.
A monthly cash flow model for an RMBS with fees, excess spread, overcollateralization, a stepdown date and a cumulative loss trigger. Load deal terms and an actual collateral tape, or use the sample deal, and get period-by-period cash flows for the deal, the collateral, every class and every fee.
Hatched area is principal written down under this scenario.