AbsBox

a structured finance cashflow engine wrapper for structured credit professionals:

• transparency -> open source for both wrapper and backend engine.
• human readable waterfall -> no more coding/scripting, just lists and maps in Python !
• easy interaction with Python numeric libraries as well as databases/Excel to accomodate daily work.

installation

pip install absbox

Documentation

• English -> https://absbox-doc.readthedocs.io
• Chinese(inactive) -> https://absbox.readthedocs.io

Goal

• Structuring
  • Easy way to create different pool assets/deal capital structures and waterfalls
  • User can tell how key variables(service fee/bond WAL/bond cashflow etc) changes in different structure of transactions.
• Investor
  • Given powerful modelling language to build cashflow model , user can price bonds of transaction with pool performance assumption

What it does

• Provide building blocks to create cashflow models for ABS/MBS
• Adapt to multiple asset classes
  • Residential Mortgage / AdjustRateMortgage / Auto Loans
  • Corp Loans
  • Consumer Credit
  • Lease (For CMBS)
  • Fix Asset (Solar Panel/Hotel)
  • Receivable
  • SRT/Siginificant Risk Transfer
• Features
  • Sensitivity Analysis on different scenarios or deal structures
    • sensitivity analysis on pool performance assumptions
    • sensitivity analysis on capital structures or any deal components
  • Bond Cashflow/Pool Cashflow Forecast, Pricing

What it takes to master

• Python syntax, nice to have knowledge of functional programming ,or exposure to package toolz/lenses
• Patience & Persistence, but remember , there is a slack community and responsive support !

Missing Features ?

Raise issues or disucssion with the prospectus or spreadsheet how asset cashflow should be projected.

Data flow

Community & Support

• Discussion
• Slack

Misc

Proposed Rule regarding Asset-Backed Securities: File No. S7-08-10