... 125
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
A Step- by -Step Guide
KEITH ... Guide
KEITH A. ALLMAN
John Wiley & Sons, Inc.
Modeling
Structured Finance
Cash Flows with
Micr...
... 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 ... cells.
20 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL
FIGURE 1.8 An example of a data validation
list.
FIGURE 1.9 Create a data validation list i...
... 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 ... be extraordinarily rare to
have a rate increase or decrease by 100 percent in one month.) Name this cell
AssetPdCapFl1.
30 MODELING...
... to calculate them
on a percentage basis. First, to create an area for the rates, copy C37:AA37 and
paste this cell range in C66:AA66. Also copy B38:B62 and paste this cell range
in B67:B91. Labels ... #DIV/0
errors. This can be easily taken care of with an IF statement. Modify cell C8 as
follows:
=IF('Raw Data'!C39="","",'Raw Data'!C39/'Raw Dat...
... enter 3. 333 333 33% —or simply enter = 100 /30 as an
easier way to get this value—in cell D8. This means that 3. 333 333 33 percent
of the loss severity will be applied to assets in the first year of ... necessarily suggest an organization based
89
80 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL
FIGURE 4.16 100 percent SDA displayed as a line graph.
a lev...
... is
107
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 unpaid, ... Enter Sequential in cell
A2 2 and Pro rata in A2 3. Name the range A2 2 :A2 3 lstPrinType.Gobackto
the Inputs sheet and enter the label Prin Allocation Type in cell J 23. Create dat...
... 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, a...
... 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 is
outstanding.
CHAPTER
10
Automation Using Visual Basic
Applications (VBA)
A
powerful capability of all Microsoft Office applications is the ab...
... "
Application.ScreenUpdating = False
Const DebtBal As String = "FinalLoanBal"
Const AdvRate1 As String = "LiabAdvRate1"
Dim UnpaidLoan As Range
Dim AdvanceRate As Range
Range(AdvRate1) = 1
If Range(DebtBal) ... for
understanding the examples in this chapter because most of the examples make
heavy use of variables. A variable is a characterorstringofcharactersthata...