modeling structured finance cash flows with microsoft excel a step by step guide phần 4 potx

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. ALLMANJohn Wiley & Sons, Inc. Modeling Structured Finance Cash Flows with Microsoft  Excel 2 MODELING STRUCTURED ... 125Internal Testing 125 Cash In versus Cash Out 125 Modeling Structured Finance Cash Flows with Microsoft  Excel  A Step- by -Step Guide KEITH A. ALLMANJohn Wiley & Sons, Inc. Modeling Structured ... 978-0 -47 0- 042 90-8 (paper/cd-rom)1. Cash management—Mathematical models. 2. Cash ﬂow—Mathematical models. 3. Microsoft Excel (Computer ﬁle) 4. Corporations Finance Mathematical models. I. Title.HG4028.C4 5A4 54...

modeling structured finance cash flows with microsoft excel a step by step guide phần 2 docx

... 2.1 Each individual loan has a principal balance, rate, and term.6 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL Obtain All Necessary InformationThe more information available ... cells.20 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL FIGURE 1.8 An example of a data validationlist.FIGURE 1.9 Create a data validation list in the Data Validation dialogue box. ... 1 .4, columns A, B, and C as an example. 4 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL 1. Basic global inputs such as dates and timing.2. Common asset inputs that cause and affect...

modeling structured finance cash flows with microsoft excel a step by step guide phần 3 pdf

... Prepayment terminology 43 38 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL MATCH(AssetFltIndx1,lstInterestRates,0)),(F6−AssetMarg1)+AssetPdCapFl1,AssetLifeCap1),(F6−AssetMarg1)−AssetPdCapFl1,AssetLifeFloor1),F6)This ... deals thathave ﬂoating rate assets, which are more complex to model correctly. A ﬂoating rateasset can have a number of additional attributes that could alter the cash ﬂow:■Rate index■Rate ... that dictate what assets can be addedto a revolving structure and are essential to modeling such a transaction. Typicallytransactions with revolving assets are modeled assuming the pool of assets...

modeling structured finance cash flows with microsoft excel a step by step guide phần 4 potx

... readily apparentin dynamic portfolio data because of the constantly changing mix in new andaged receivables. Additionally, data based on annual losses can understate 48 MODELING STRUCTURED FINANCE ... DefaultsO4: Amort FactorP4: Prepay RateQ4: Voluntary PrepayR4: Actual AmortS4: Interest RateT4: Actual InterestU4: Principal RecoveryV4: Ending BalanceMany of these columns are placeholders ... period.1Frank J. Fabozzi, Bond Credit Analysis: Framework and Case Studies (New Hope, PA: FrankJ. Fabozzi Associates, 2001), 245 .52 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL WA SMM curve...

modeling structured finance cash flows with microsoft excel a step by step guide phần 5 pot

... necessarily suggest an organization based8980 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL FIGURE 4. 16 100 percent SDA displayed as a line graph. a level .60 percent annual default ... Y5 and AE5 blank forspacing purposes. Move on to cell AF5 and label that cell SDA 50%,AG5SDA100%,andAH5SDA 200 %. Name the range AF5:AI5 lstSDA. 4. Go back to the Inputs sheet and create a data ... timing of cash ﬂow depending on lag and directing the cash in a manner consistent with thetransaction structure.90 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL FIGURE 6.1 Cash moves...

modeling structured finance cash flows with microsoft excel a step by step guide phần 6 pot

... is107Liabilities and the Cash Flow Waterfall91Each individual liability needs to be set up in a way that shows exactly what isneeded, what can be paid based on what is available, what is unpaid, ... formula checks to see if the global trigger has been tripped and populatesany cash remaining at the end of the waterfall. It is constrained by a MIN102 MODELING STRUCTURED FINANCE CASH FLOWS WITH ... amount of credit enhancement a transaction willbe able to withstand a certain amount of loss. Rating agencies have set certainstandards for each asset class to determine a risk rating for a...

modeling structured finance cash flows with microsoft excel a step by step guide phần 7 docx

... 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 theﬂoating rate on the liabilities ... STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL Balances at MaturityTwo very important tests check the asset and liability balance at maturity. The moreimportant of the two is the debt balance at ... (&apos ;Cash Flow'!Q7+&apos ;Cash Flow'!R7+&apos ;Cash Flow'!T7+&apos ;Cash Flow'!U7)/(1 +$E$5)∧ $A1 6This formula adds the voluntary prepayments, amortization, interest, and...

modeling structured finance cash flows with microsoft excel a step by step guide phần 8 ppt

... Conditional Formatting dialog box.FIGURE 8.11 Goal Seek dialog box. 146 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL FIGURE 9.1 In structured transactions cash is typically created and ... long an assets balance isoutstanding.CHAPTER10Automation Using Visual BasicApplications (VBA) A powerful capability of all Microsoft Ofﬁce applications is the ability to programactions ... 156 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL THE VISUAL BASIC EDITORCoding in VBA is simpliﬁed by an interface called the Visual Basic Editor (VBE).VBA code can be written,...

modeling structured finance cash flows with microsoft excel a step by step guide phần 9 docx

... scenarios,counting variables i and k are created, and array and string variables aredeclared. Arrays are a new concept for this section. An array is a range ofdata that can be multidimensional (containing ... "Application.ScreenUpdating = FalseConst DebtBal As String = "FinalLoanBal"Const AdvRate1 As String = "LiabAdvRate1"Dim UnpaidLoan As RangeDim AdvanceRate As RangeRange(AdvRate1) = 1If Range(DebtBal) ... MICROSOFT EXCEL securities. A bank selling a transaction into the capital markets is also concerned with loss because no bank wants to have its name associated with a failed transaction.Overall,...

modeling structured finance cash flows with microsoft excel a step by step guide phần 10 pptx

... builder, 47 48 Prepaymentsabsolute speed (ABS), 45 analysis, 4, 6, 49 assumptions, 23calculation of, 44 cash ﬂow waterfall and, 105CPR (conditional prepaymentrate), 44 curves, see Prepayment ... prepayments, 44 46 , 49 , 51–52, 54 55,151Slope analysis, 73Small business loans, 1Standard & Poor’sas information resource, 2on static loss data, 65–66Standard default assumption(SDA)loss ... curveshistorical, data formats, 46 projected, integration in assetamortization, 53–55PSA (Public SecuritiesAssociation), 44 45 rates, 151single monthly mortality(SMM), 44 46 structured transactions,...

Xem thêm