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 ... 12 5Internal Testing 12 5 Cash In versus Cash Out 12 5 Modeling Structured Finance Cash Flows with Microsoft  Excel  A Step- by -Step Guide KEITH A. ALLMANJohn Wiley & Sons, Inc. Modeling Structured ... Recovery Rate and Lag 15 2The Value of a Swap 15 3Additional Testing 15 3CHAPTER 10 Automation Using Visual Basic Applications (VBA) 15 5Conventions of This Chapter 15 5The Visual Basic Editor 15 6The...

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

... 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 InformationThe more information available ... formulas and functions. Forexample, if cell A1 were named Input1, and cell A2 had the value 5 in it, a formulain cell A3 that added cells A1 and A2 would appear as:=Input1 +A2 Also, a named ... Figure 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

... Principal BalanceE 11: Asset Amort TypeF 11: WA Fixed RateG 11: Original TermH 11: Remaining TermI 11: SeasoningJ 11: Floating Rate CurveK 11: MarginL 11: Periodic Cap/FloorM 11: Lifetime CapN 11: ... IF(AssetIntType1="Fixed",AssetFxdRate1,IF (A7 =1, OFFSET(Vectors!$D$6, A7 ,MATCH(AssetFltIndx1,lstInterestRates,0)),IF(MOD( $A7 ,AssetRateReset1)=0,MAX(MIN(OFFSET(Vectors!$D$6 ,A7 ,MATCH(AssetFltIndx1,lstInterestRates,0)),(F6−AssetMarg1)+AssetPdCapFl1, AssetLifeCap1−AssetMarg1),(F6−AssetMarg1)−AssetPdCapFl1,AssetLifeFloor1−AssetMarg1), ... extraordinarily rare tohave a rate increase or decrease by 10 0 percent in one month.) Name this cellAssetPdCapFl1.30 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL 2. Range B 11: O11...

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

... receivables. Additionally, data based on annual losses can understate48 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 divided by the sum of B data. ... period. 1 Frank J. Fabozzi, Bond Credit Analysis: Framework and Case Studies (New Hope, PA: FrankJ. Fabozzi Associates, 20 01) , 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 10 0 percent SDA displayed as a line graph. a level .60 percent annual default ... from an annual default rate to a monthly defaultrate:Monthly Default Rate = 10 0∗ (1 (1 (Annual Default Rate /10 0)) (1/ 12))The values for 50 percent, 10 0 percent, and 200 percent SDA are stored ... Default Rate 2, and so on. Make sure to leave Y5 and AE5 blank forspacing purposes. Move on to cell AF5 and label that cell SDA 50%,AG5SDA 10 0%,andAH5SDA 200 %. Name the range AF5:AI5 lstSDA.4....

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

... trigger is 10 7Liabilities and the Cash Flow Waterfall 91 Each 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 ... 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 MIN 10 2 MODELING STRUCTURED FINANCE CASH FLOWS WITH ... debtobligation is paid off. A faster paying obligation will have less overall yield than a slower paying one if assets are paying as intended and debt interest and principal canbe paid. Also, paying...

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 ... (&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 ... The Cash In is all of the cash that is available to pay liabilities. At first this isall of the cash that the assets generate. While that is a large part of the Cash In each period, two of the advanced...

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

... The WAL is a measure of how long an assets balance isoutstanding.CHAPTER 10 Automation Using Visual BasicApplications (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 interestthan with a shorter lag. 14 8 MODELING STRUCTURED FINANCE CASH FLOWS ... 15 6 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...

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

... UnpaidLoan As RangeDim AdvanceRate As RangeRange(AdvRate1) = 1 If Range(DebtBal) > 0. 01 ThenSet UnpaidLoan = Range(DebtBal)Set AdvanceRate = Range(AdvRate1)UnpaidLoan.GoalSeek Goal: = 0. 01, ... = 1 Range(AdvRate1) is an object from the Excel sheet. Remember that AdvRate1is a constant that is the equivalent to ‘‘LiabAdvRate1’’. The VBE readsRange(AdvRate1) as Range(‘‘LiabAdvRate1’’), ... 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...

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

... 11 7 12 2swaps, 11 3 11 7triggers, 10 7 11 3Advance rate, 14 7, 15 0Agency bonds, 11 Amort Factor, 53Amortizationasset cash flow, 23–27asset principal check, 12 9 cash flow, 90 cash flow waterfall and, ... swapcharacteristics of, 11 3 11 4, 15 3incorporating, 11 4 11 7Internal testingasset principal tests, 12 9balances at maturity tests, 12 8 12 9 cash in vs. cash out test, 12 6 12 8importance of, 14 0, 15 3Investment ... 45Action buttons, 6Actual/actual day-count system, 11 12 Actual/360 day-count system, 11 12 , 14 , 17 Actual/365 day-count system, 11 , 14 , 17 Advanced liability structuresreserve accounts, 11 7 12 2swaps,...

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