SmartHelping / Lending & Credit / Excel
Loan Securitization Financial Model
Model pooled loan collateral, three note tranches, equity cash flow, defaults, prepayments, recoveries and coverage tests across as many as 240 months.
Immediate download after purchase. By purchasing, you agree to the Terms of Service.
See the model in action
Follow collateral cash through the complete structure.
Review the loan-pool inputs, note terms, payment waterfall, coverage calculations and investor-return outputs.
What the template includes
Model the economics of the complete loan pool.
Forecast collateral cash flow from portfolio-level attributes rather than requiring a separate row for every underlying loan.
Define the underlying loan pool
Enter the remaining portfolio balance, weighted average interest rate and weighted average remaining term.
Choose the amortization method
Use a percentage of beginning balance or calculate principal from the weighted average term, rate and Excel PPMT function.
Forecast early principal repayment
Enter an annual prepayment assumption that converts into an equivalent monthly compounded rate.
Choose how losses develop
Apply an annualized default rate to beginning balance or define the percentage of the initial pool expected to default each year.
Model recovery rates and timing
Define the percentage of defaulted amounts recovered and the number of months before recovery cash is received.
Include the cost of servicing
Forecast servicing fees as a fixed periodic amount or a percentage of the original principal balance.
Structure up to three debt tranches
Configure senior, mezzanine and junior notes with fixed rates or floating rates driven by an editable reference-rate curve.
Control interest and payment timing
Allow unpaid interest to accrue or compound and select monthly, quarterly or annual investor distributions.
Payment waterfall
Follow available cash through the capital structure.
The model allocates collateral interest and principal through the notes before calculating the residual cash available to equity.
Senior-first principal
Principal cash flow repays the senior note first, followed by the mezzanine and junior notes after each higher-priority balance is retired.
Interest and accruals
Collateral interest, net of servicing fees, pays note interest as cash is available. The model can accrue or compound unpaid interest based on the selected terms.
Residual equity
Any principal and interest remaining after the note obligations flows to the final equity tranche.
Coverage monitoring
Track overcollateralization and interest coverage in every period, with below-threshold results highlighted on the waterfall tab.
How to use it
Move from collateral assumptions to investor returns.
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Define the loan pool
Enter the collateral balance, weighted average rate, remaining term and scheduled-principal method.
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Set credit behavior
Configure prepayments, defaults, recovery rates, recovery timing and servicing fees.
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Structure the offering
Define tranche sizes, coupons, fixed or floating rates, unpaid-interest treatment and distribution frequency.
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Review performance
Analyze the waterfall, coverage ratios, investor cash flows, IRR, equity multiples and downside cases.
Analysis and reporting
Evaluate risk and returns across the structure.
Review how loan-pool performance changes note repayment, residual equity cash flow and investor outcomes.
Test defaults against collateral yield
Compare final equity IRR across three default-rate assumptions and three weighted average collateral interest rates.
Measure every investor leg
Review final IRR and equity multiple for the senior, mezzanine, junior and residual equity tranches.
Monitor structural protection
Compare the remaining collateral balance with outstanding note balances and collateral interest with interest due.
Explain the results clearly
Use charts for loan balances, investor cash flows and coverage metrics alongside the return summaries.
Who gets value from it
Built for structured-credit analysis.
Issuers and arrangers
Test note sizing, priority, coupons, coverage and residual economics before an offering.
Credit investors
Examine how defaults, prepayments and recoveries affect different positions in the capital structure.
Lenders and advisors
Build a structured forecast of collateral cash flow and note repayment without a loan-level tape.
Financial analysts
Study securitization waterfalls, coverage ratios and investor-return mechanics in an editable Excel model.
Also available in these bundles
Need a broader lending or financial-modeling toolkit?
This loan securitization template is included in the following SmartHelping collections.
Lending & Credit Bundle
Explore lending, credit, loan-portfolio and structured-finance templates.
View Lending & Credit BundleIndustry-Specific Bundle
Access operating models built around the revenue, cost and growth drivers of many industries.
View Industry-Specific BundleAccounting Bundle
Combine this model with financial reporting, analysis and accounting-focused Excel templates.
View Accounting BundleSuper Smart Bundle
Get the complete SmartHelping template collection for operating forecasts, valuation, finance and more.
View Super Smart BundleRelated financial models
Extend the lending and structured-credit toolkit.
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A few useful details.
Do I need to enter every individual underlying loan?
No. The model uses portfolio-level inputs including remaining balance, weighted average interest rate, weighted average remaining term, prepayments, defaults and recoveries.
How many note tranches can I model?
The security offering supports senior, mezzanine and junior note tranches, plus a residual equity tranche that receives the remaining available cash flow.
How does the model calculate scheduled principal?
You can use an average percentage of beginning principal balance or calculate the payment from the pool's remaining term, interest rate and Excel PPMT logic.
How are defaults and recoveries modeled?
Defaults can use an annualized rate applied to beginning balance or a percentage of the initial pool balance by year. Recoveries use an assumed recovery percentage and collection delay.
What coverage tests are included?
The model calculates overcollateralization coverage and interest coverage each period. Results below a defined threshold are highlighted on the waterfall tab.
What investor-return outputs are included?
Final IRR and equity multiple are calculated for the senior, mezzanine, junior and residual equity tranches.
Make the complete capital structure visible
Connect collateral performance to every investor leg.
Model note repayment, coverage tests and residual equity returns in one editable Excel framework. One-time purchase for $75.
