... 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...
... 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...
... 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( $A7 ,
AssetRateReset1)=0,MAX(MIN(OFFSET(Vectors!$...
... 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...
... 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...
... 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...
... 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,...
... 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...
... 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...