Every figure printed in the book comes out of these six files, corrected where they were wrong and extended where the book promised more than they did. Each one carries a Controls sheet that compares its own calculation to the value printed on the page, and ends ALL OK. Around them: five of the same models with the inputs emptied, thirteen working documents to print, forty questions that mark themselves, and three cases the book names and never takes to a number. Nothing is locked, protected or watermarked.
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The six workbooks
They carry the book's own transaction, so that every number it prints can be traced to a live formula. Download these six (111 KB)
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The reference portfolio and the IRB capital calculation
Seven rating buckets, the asset correlation and the SME size adjustment written out as formulas, the maturity adjustment, and KIRB derived rather than typed in. Now also the clearance above KIRB, the first-loss test and both of Chapter 5’s covers.
Attachment, detachment, the p-factor picking its own coefficient row, the 1250 percent and straddling cases, and an STS flag that halves p and drops the floor to 10 percent. Now also what the book promised and the file did not compute: the capital the structure releases, weighting against deduction, the STS gain, every detachment from 3 to 14 percent, and two thresholds. The senior reaches its floor at 9.74 percent; the structure stops releasing capital only below 3.54 percent, well under KIRB.
The margin rather than the coupon, the collateral round-trip, return on equity before and after, and both of the bank's break-even margins. Now also Chapter 13’s weight-or-deduct and random selection, and Chapter 10’s STS column.
Coupons, write-downs, pro-rata repayments and the internal rate of return, with and without leverage. The control sheet checks that principal repaid plus losses equals the notional. Now also the investor’s floor in closed form, the six stress scenarios, both break-even multiples, holding periods pro rata and sequential, and the loss charged twice: 2.61 points, not the book’s “roughly 2.50”. The levered return is floored at −100 percent, as the book’s formula is.
The bank's ceiling, the investor's floor, the range at every plausible hurdle rate, and what each lever is worth in return on equity. The first edition typed these figures in. They are now computed from the portfolio and the fund’s own schedule, and every thickness is priced at the margin the investor requires for it.
Enter your buckets and your structure and read your own KIRB, your own capital, the capital it releases, and the detachment below which it releases nothing. The first edition gave KIRB plus 50 basis points as that point; it is only a clearance rule, and on the book’s portfolio the true break-even sits at 3.54 percent. The book’s whole portfolio is the worked example.
The six workbooks, the blank set, the working documents, the forty questions, the three cases and the read-me, in one archive. Each group below can also be downloaded on its own. Last revised 24 September 2026.
Two of these are the model that produced the book. Three are working tools with the book’s transaction pre-loaded and meant to be overwritten with yours. One is an empty skeleton.
If a Controls sheet ever shows anything other than zero failures, the workbook is wrong and I would like to know — the whole point of publishing them is that they can be checked.
The same models, for your own transaction
Five of the workbooks with every input emptied. Each Controls sheet counts what is still missing and tests what holds for any inputs.
Your portfolio, your tranche, your fund
Capital_Model, Tranche_Capital, Bank_Economics, Investor_Return and Bargaining_Range, with the same formulas and every blue cell emptied. The detachment grid, the stress multiples and the hurdle axis stay. Portfolio_Template already arrives empty, so it has no blank twin.
The book’s inputs are listed in a text file inside the archive. Type them back in and the book’s figures come back with them: KIRB of 6.51 percent, 223.9 million released, a range from 7.61 to 12.91 percent.
Thirteen pages to print and use. A4, with margins wide enough for US Letter.
Thirteen working documents
The loan tape and KIRB, with what the tape does not show. The transfer tests and their quarterly monitoring. Tranching and SEC-IRBA, with the coefficient rows most often transposed. The two sets of STS conditions. The bank’s side on one page, with the constraint that can make it worthless. Retention: weight, deduct or select. The investor’s side and the fund’s leverage. The bargaining range. Stress and the break-evens. Thickness, and why not the optimum. Replenishment, amortisation and the call. The term sheet, annotated. The questions before you sign.
A workbook that marks itself. Answer in the yellow cells; the marking fills in as you go.
Forty questions on the book
Seven on capital and KIRB, seven on the transfer, the tranche, SEC-IRBA and STS, seven on the bank’s side, seven on the investor’s side and the range, six on structure, stress and documents, and six on the three cases below. Numbers are marked to a tolerance, multiple choice to the letter, and the score sheet counts your errors part by part: that is your revision list.
Nothing is hidden. The marking sheet holds every answer, every tolerance, and the reason for each answer.
New material, not a restatement: three situations the chapters name and never take to a number. Each case is one workbook: the note is the first sheet, the model is the rest, and a checks sheet closes it. Figures the book does not give are marked ADDED.
Chapters 4, 26 and 29 · Case one: when KIRB moves
Appendix C tells the investor to ask what happens to the relief if KIRB rises by 50 basis points, and never answers. Every PD multiplied by 1.21 (ADDED: a uniform migration) uses up Chapter 4’s 0.49 points of clearance; at KIRB plus 50 the relief is 209.8 million, not 223.9, and only 0.3 million of the 42.8 million of extra capital is the slice below KIRB: the senior gets heavier from the first notch. At 1.40 times, the bank’s ceiling falls to the 10.50 percent it pays.
Chapter 19 · Case two: the worst pool the criteria permit
Chapter 19 says a loose eligibility schedule would cost the fund more than the entire bargaining range. With a 1.50 percent cap on the weighted PD (ADDED), the fund earns 8.62 percent and the pool prices at 9.39. The sentence holds only if the cap allows 2.74 percent, 3.4 times the pool at closing; the agreed margin stops clearing the hurdle at 1.91.
Chapter 26 · Case three: a bank bound by its leverage ratio
No leverage ratio relief, says Chapter 26, and stops there. On a bank with 60,000 million of exposure, a 3.50 percent leverage requirement and 17,000 million of RWA (all ADDED), the trade releases 181.0 million of the book’s 223.9, and the ceiling on it falls to 10.43 percent, below the 10.50 agreed. Less than three points of bank-wide density separate the book’s trade from a worthless one.
the last sheet of every workbook: each row states its own verdict, and the file ends ALL OK
ADDED
a figure the book does not give, used in the cases and marked wherever it appears
The workbooks open in Microsoft Excel, LibreOffice Calc, Google Sheets and Numbers; the PDF prints on A4 or US Letter. No macros.
What changed, and when
24 Sep 2026
The six workbooks corrected and closed on a Controls sheet that ends ALL OK. The book says a detachment below KIRB destroys capital; its own Chapter 23 table releases 161.0 million at 6.00 percent, and the release turns negative only below 3.54 percent. The loss charged twice costs 2.61 points, not roughly 2.50; the risk-weight floor bites from 9.74 percent, not about 10. Bargaining_Range is now computed rather than typed in; Tranche_Capital now computes the capital released. Added: a blank set, thirteen working documents, forty questions that mark themselves, and three cases.
What is the most a bank can pay for SRT protection?Cost of equity times capital released, over notional times one minus tax: 223.9 released on 266 sold puts the margin ceiling at 12.91 per cent, against 10.50 paid.
How do you calculate the return on an SRT tranche?Build the tranche cash flows year by year, coupon on the balance, losses written down, principal repaid, and take the IRR: 10.39 per cent on a 13.00 coupon.
How much does an SRT raise a bank's CET1 ratio?Swap the pool's RWA for the senior's and deduct the retained slice: 13.50% becomes 14.97% on 17,000m of RWA, but a 3.50% leverage ratio caps use at 181.0m.
Does the output floor reduce SRT capital relief?At the fully phased 72.5 per cent output floor, SRT relief is measured under SEC-SA: a thin tranche freeing 475.5M of IRB RWA adds 93.4M of RWA.
Closing the DealTwo defensible bridges 20.70 million apart, a peg worth 7.00 million, and the six choices that remove 6.60 of a 12.00 earn-out.
CMBS and CRE CLOsWhere the loss actually lands, from appraisal reduction to realised severity, and what the B-piece is really being paid for.
How to Read a Commercial LeaseThe three refinements chapter 19 names and never performs, and the renewal rate below which the mark-to-market is worth nothing.
How to Read a Credit AgreementWhere the default actually comes from, the cure that costs 5.5 times the other, and the capacity nobody adds up.
How to Read a Real Estate Loan AgreementThe cure ratio in closed form, the four-point window in which the cheap cure works, and the cure sized to the wrong threshold.
Office Real EstateA six per cent yield that returns 3.2 per cent once the re-letting cycle is paid for, and the headline-to-net-effective rent arithmetic.
Private Equity Real EstateBoth worked waterfalls to the dollar, the two capital stacks, and the arithmetic of the promote made changeable.
Private Markets PerformanceThirty-one of the thirty-three figures chapter 19 publishes reproduce exactly — and the two that do not are named rather than quietly adopted.
Raising a Real Estate FundThe chapter 17 funnel run on a calendar — when the first close actually lands, and why more travel does not help.
Real Estate Financial ModelingProperty, development and fund models built line by line, and the modelling test worked end to end.
Real Estate Fund ManagementThe waterfall of 6.11, the build-to-core of 8.7 and the proceeds gap, reproduced as live formulas rather than asserted.
REIT Analysis and ValuationFFO of 532.0, AFFO of 381.0, net asset value and dividend safety — every figure a formula you can change.
Retail Real EstateThe occupancy cost of every unit in a centre, the sixteen per cent of the rent roll no tenant can sustain, and the right-size-convert-or-hold decision priced.
Sale and LeasebackA €179.5 million transaction end to end, with rent cover measured on the entity that actually signs the lease.
Self-Storage Real EstateThe cohort engine behind a 590-unit store, and the rate increase on existing customers priced against the move-outs it causes.
The Fund Finance ProfessionalChapter 8 builds the reported-to-eligible NAV bridge; chapter 9 computes every ratio without it. Two points at every state — and what a subscription line does to the IRR.
The Growth Equity InvestorWhat a pro rata cheque really costs, and the band where defending your ownership loses money.
The Private Credit InvestorThe two coverage ratios are not measured on the same thing: the erosion is 47.7 per cent, not the 28.7 the headline implies.
The Private Equity Fund Controller PlaybookThe book defines IRR, DPI, RVPI and TVPI, tells you to update them at the exit, and prints not one value. Computed: a 1.833× deal inside a fund at 0.892 TVPI.
The Venture Capital AssociateWhat defending a position costs, and how many companies a reserve pool actually defends.
Real Estate FinanceFour people look at one building and reach four numbers; the lender is whole only above 105,109,489, twelve per cent below today’s value rather than forty.
Financial Risk ManagementA fund inside every limit that cannot meet a redemption — and the number that decides it is the one with no currency attached.
Business ValuationThree advisers land 26.8 per cent apart on one company, and the whole gap turns out to be 1.96 points of perpetual growth.
Quantitative FinanceThree models agree to a quarter of one per cent about a number that one unobservable input moves a hundred and three times as much.
Asset ManagementFour people quote four returns for one mandate, all correct and 2.7017 points apart — forty-eight times the manager’s net skill.
Alternative InvestmentsA manager reports 13.29 per cent and the endowment earns 6.26 — both correct, and only a third of the advertised advantage arrives.
Credit AnalysisFour defensible EBITDAs on one borrower give leverage from 3.19x to 6.47x — and the add-back argument is fifty times the covenant headroom.
Venture CapitalOne company out of twenty-eight returns 56.7 per cent of the fund, and half the capital goes in after the decision — at half the return.
Machine Learning for FinanceFive people quote the accuracy of one credit model, all five are right, and the number that decides how much money it makes is none of them.
Commercial Real Estate InvestingThe equity earned 8.6647 per cent and the investor received exactly 8.0000 - the preferred return, and nothing above it.
Mergers and AcquisitionsThe board paper says the deal creates 13,436,667 of value. The arithmetic says it destroys 17,530,855. Nobody is lying.
DerivativesThe treasury report says the hedge cost 1,233,698. That is the interest differential, not a cost. The number that mattered appears in no report at all.
Treasury ManagementFive cash balances for one company, all correct and 145,600,000 apart — and the revolver that is two-thirds of the liquidity leaves at a revenue fall of 8.4127 per cent.
Financial Planning and AnalysisRevenue 3.0190 per cent above budget and operating profit 16.3209 per cent below it, in the same quarter, with every figure correctly stated.
Energy TradingA position report that is 91.7031 per cent hedged and correctly computed, on a book that is short 2,542,000 MWh — and a margin call of 198,400,000 the next morning.
Construction Cost ControlA contract sum of 26,301,102 became a final account of 29,153,363 on the building that was drawn — and 85.8 per cent of what was lost was knowable on the day it was signed.
Trade FinanceSix routes to payment on one 4,200,000 export order cost between 178,040 and 223,268, a spread worth 14.8 per cent of the margin, and a day of buyer credit costs 1,031.76.
Cost AccountingOne factory costed twice on the same 13,440,000 of overhead, and 4,053,091 moves between four product families.
Pricing StrategyA list price of 148.00, a pocket price of 112.51, and the nine deductions in between — with what one point of price is actually worth.
Contract ManagementA bid 5.50 a unit cheaper, signed on paper worth 9.81 a unit more — and 94.68 per cent of it was knowable on the day of signature.
Capital MarketsFour defensible readings of one bond, the cost of an issue under each convention, and the placement discount computed at a constant discount.
Financial RegulationThree ratios pass and the fourth is in breach by 1,956.0 million: the output floor, the liquidity buffer after encumbrance, and the loan split.
Bank ManagementFour defensible readings of one balance sheet, the deposit beta measured two ways, and the liquidity that lasts 3.9 days.
The Real Estate WorkoutFour ways out of one broken loan, discounted to today, and the 58.7 cents at which a payoff beats enforcement.
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