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

lượng dư thừa được sử dụng chotăng tốc chủ yếu được tính toán vào cuối của thác nước chức năng mà mất ít hơn số tiền còn lại và số dư hiện tại ít chính trả trước trong các thác nước. Sao chép công thức này trên phạm vi Phần này nên nhìn | Advanced Liability Structures 113 FIGURE 7.4 Excess amounts that are used for principal acceleration are calculated at the end of the waterfall. function that takes the lesser of the amount remaining and the current balance less principal paid earlier in the waterfall. Copy this formula over the range BY7 BY366. This section should look like Figure 7.4. 12. The final step is to apply the excess that was just calculated to the senior principal. Modify the formula in cell CD7 so the senior debt balance is also reduced by amounts in BY BA7 BY7 If there is any excess applied to the senior principal it will reduce the balance accordingly. Copy and paste this formula over the range CD7 CD366. SWAPS Swaps are confusing to many people because they involve conceptual flip-flopping. Whole books are dedicated to describing what swaps are and how they work. The goal of this section to give a very brief introduction to swaps and then move on to how a basic swap can be modeled in structured transactions. A swap is a financial instrument that hedges risk by swapping parties exposure. For structured transactions an interest rate swap is the most commonly used 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 were to exceed the weighted average fixed rate of the assets then the bank could take a loss. Instead of taking such risk the bank enters into a fixed-for-floating interest rate swap. In such a case the transaction will pay a fixed rate amount to a swap provider while the swap provider will pay a floating rate amount to the transaction. All of 114 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL the amounts are calculated off of a notional amortization schedule which is a base case amortization of the certificates involved in the swap. Project Model Builder incorporates a simple fixed-for-floating interest rate .