... 1 25
Internal Testing 1 25
Cash In versus Cash Out 1 25
Modeling
Structured Finance
Cash Flows with
Microsoft
Excel
A Step- by -Step Guide
KEITH A. ALLMAN
John Wiley & Sons, Inc.
Modeling
Structured ... Inc.
Modeling
Structured Finance
Cash Flows with
Microsoft
Excel
A Step- by -Step Guide
KEITH A. ALLMAN
John Wiley &...
... 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 ... 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 in...
... 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 STR...
... Credit Analysis: Framework and Case Studies (New Hope, PA: Frank
J. Fabozzi Associates, 2001), 2 45.
52 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL
WA SMM curve from the Prepay Analysis ... readily apparent
in dynamic portfolio data because of the constantly changing mix in new and
aged receivables. Additionally, data based on annual losses can understate
48...
... leave Y5 and AE5 blank for
spacing purposes. Move on to cell AF5 and label that cell SDA 50 %,AG5SDA
100%,andAH5SDA 200 %. Name the range AF5:AI5 lstSDA.
4. Go back to the Inputs sheet and create ... sheet.
84 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL
and was classified as a default in August 20 05. The balance of the loan at that time
was $1 ,58 0. At this...
... is
107
Liabilities and the Cash Flow Waterfall
91
Each individual liability needs to be set up in a way that shows exactly what is
needed, what can be paid based on what is available, what is unpaid, ... formula checks to see if the global trigger has been tripped and populates
any cash remaining at the end of the waterfall. It is constrained by a MIN
102 MODELING STRUCTURED FI...
... swap.
In a basic structured transaction a bank might have funded a transaction on a
floating rate basis, but has structured the transaction with fixed rate assets. If the
floating rate on the liabilities ... (&apos ;Cash Flow'!Q7+&apos ;Cash Flow'!R7+&apos ;Cash Flow'!T7
+&apos ;Cash Flow'!U7)/(1 +$E $5)
∧
$A1 6
This formula adds the voluntary prepayments,...
... 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) ... variables i and k are created, and array and string variables are
declared. Arrays are a new concept for this section. An array is a range of
data that can...
... prepayments,
44–46, 49, 51 52 , 54 55 ,
151
Slope analysis, 73
Small business loans, 1
Standard & Poor’s
as information resource, 2
on static loss data, 65 66
Standard default assumption
(SDA)
loss curves, ... Figure A. 8).
FIGURE A. 8 Click the What-If
Analysis button in the Data Tools
group to select Goal Seek.
Add-Ins
The Analysis ToolPak and the Analysis ToolPak—VBA are Excel...