modeling structured finance cash flows with microsoft excel a step by step guide phần 1 pdf

... Inc. Modeling Structured Finance Cash Flows with Microsoft  Excel  A Step- by -Step Guide KEITH A. ALLMAN John Wiley & Sons, Inc. Modeling Structured Finance Cash Flows with Microsoft  Excel  2 MODELING STRUCTURED ... 12 5 Internal Testing 12 5 Cash In versus Cash Out 12 5 Modeling Structured Finance Cash Flows with Micr...

Ngày tải lên: 14/08/2014, 09:20

... 2 .1. FIGURE 2 .1 Each individual loan has a principal balance, rate, and term. 6 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL Obtain All Necessary Information The more information available ... formulas and functions. For example, if cell A1 were named Input1, and cell A2 had the value 5 in it, a formula in cell A3 that added cells A1 and A2 would ap...

Ngày tải lên: 14/08/2014, 09:20

... Principal Balance E 11: Asset Amort Type F 11: WA Fixed Rate G 11: Original Term H 11: Remaining Term I 11: Seasoning J 11: Floating Rate Curve K 11: Margin L 11: Periodic Cap/Floor M 11: Lifetime Cap N 11: ... IF(AssetIntType1="Fixed",AssetFxdRate1,IF (A7 =1, OFFSET(Vectors!$D$6, A7 ,MATCH(AssetFltIndx1,lstInterestRates,0)),IF(MOD( $A7 , AssetRateReset1)=0,MAX(MIN(OFFSET(Vectors!$...

Ngày tải lên: 14/08/2014, 09:20

... receivables. Additionally, data based on annual losses can understate 48 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL formulas for the main types of prepayment rates (as described above), ... Next label AD6 WA SMM Curve. This is where the weighted averages (WA) are calculated. Any weighted average of A data is the sum of the products of A data and B data div...

Ngày tải lên: 14/08/2014, 09:20

... necessarily suggest an organization based 89 80 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL FIGURE 4 .16 10 0 percent SDA displayed as a line graph. a level .60 percent annual default ... from an annual default rate to a monthly default rate: Monthly Default Rate = 10 0 ∗ (1 (1 (Annual Default Rate /10 0)) (1/ 12) ) The values for 50 percent, 10 0 pe...

Ngày tải lên: 14/08/2014, 09:20

... trigger is 10 7 Liabilities and the Cash Flow Waterfall 91 Each individual liability needs to be set up in a way that shows exactly what is needed, what can be paid based on what is available, what is ... formula checks to see if the global trigger has been tripped and populates any cash remaining at the end of the waterfall. It is constrained by a MIN 10 2 MODELING STRUCTURE...

Ngày tải lên: 14/08/2014, 09:20

... swap. In a basic structured transaction a bank might have funded a transaction on a floating rate basis, but has structured the transaction with fixed rate assets. If the floating rate on the liabilities ... (&apos ;Cash Flow'!Q7+&apos ;Cash Flow'!R7+&apos ;Cash Flow'!T7 +&apos ;Cash Flow'!U7)/ (1 +$E$5) ∧ $A1 6 This formula adds the voluntary prepayments,...

Ngày tải lên: 14/08/2014, 09:20

... The WAL is a measure of how long an assets balance is outstanding. CHAPTER 10 Automation Using Visual Basic Applications (VBA) A powerful capability of all Microsoft Office applications is the ability ... debt balance is not paid off by final maturity. With a longer recovery lag the debt is paid down slower and accrues more interest than with a shorter lag. 14 8 MODELING S...

Ngày tải lên: 14/08/2014, 09:20

... UnpaidLoan As Range Dim AdvanceRate As Range Range(AdvRate1) = 1 If Range(DebtBal) > 0. 01 Then Set UnpaidLoan = Range(DebtBal) Set AdvanceRate = Range(AdvRate1) UnpaidLoan.GoalSeek Goal: = 0. 01, ... = 1 Range(AdvRate1) is an object from the Excel sheet. Remember that AdvRate1 is a constant that is the equivalent to ‘‘LiabAdvRate1’’. The VBE reads Range(AdvRate1) as Range(‘‘LiabA...

Ngày tải lên: 14/08/2014, 09:20

... 11 7 12 2 swaps, 11 3 11 7 triggers, 10 7 11 3 Advance rate, 14 7, 15 0 Agency bonds, 11 Amort Factor, 53 Amortization asset cash flow, 23–27 asset principal check, 12 9 cash flow, 90 cash flow waterfall and, ... swap characteristics of, 11 3 11 4, 15 3 incorporating, 11 4 11 7 Internal testing asset principal tests, 12 9 balances at maturity tests, 12 8 12 9 cash in vs. ca...

Ngày tải lên: 14/08/2014, 09:20