Budgeting Interest Expense on Certificates of Deposits

One problem with budgeting interest expense, is that the typically credit union will have a majority of their CDs maturing during the next 12 months. The reinvestment rates for those CDs can make a significant difference to overall interest expense. This spreadsheet uses a data table of all CDs at the end of the current […]

Troubled Debt Restructuring (TDR) – Present Value

A troubled debt restructuring (TDR) is defined as a debt restructuring in which a creditor, for economic or legal reasons related to a debtor’s financial difficulties, grants a concession to the debtor that it would not otherwise consider. —Wikipedia I have not used the linked spreadsheet in any real-world applications, so there may be errors […]

Comparing CDR Default Formulas to Industry Standard Default Formulas

My last post was a comparison of my default CDR formulas (I will refer to this model as “my model” only because I have no idea who to credit) and that of an alternative model used as the industry standard. I put together a spreadsheet that, although not an official SIFMA product, gives an indication […]

Simple Interest Commercial Loan Amortization

In previous commercial loan amortizations I have used the standard 30/360 basis, compound interest amortization. More often than not, lenders will use simple interest for commercial loans. Don’t let the word simple in “simple interest” vs “compound interest” fool you.  Lenders are not looking to give borrowers a cheaper loan, based on simple interest. Chances […]

Maturity Weighted Butterfly Swap

This is the fourth in a series of differently weighted butterfly swaps. I will adjust the list below, as I add more butterfly swaps: Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) Fifty-Fifty Butterfly Swap Regression Weighted Butterfly Swap Maturity Weighted Butterfly Swap Note: Although this type of swap shows positive convexity at changes of […]

Regression Weighted Butterfly Swap

This the 3rd in a series of butterfly swaps. Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) Fifty-Fifty Butterfly Swap Regression Weighted Butterfly Swap Maturity Weighted Butterfly Swap Note: Although this type of swap shows positive convexity at changes of + or – 25 basis points, it does not necessary display positive convexity for smaller […]

Fifty-Fifty Butterfly Swap

This is the second in a series of differently weighted butterfly swaps. I will adjust the list below, as I add more butterfly swaps: Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) Fifty-Fifty Butterfly Swap Regression Weighted Butterfly Swap Maturity Weighted Butterfly Swap Note: Although this type of swap shows positive convexity at changes of […]

Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell)

First in a series of butterfly Swaps. I will adjust the list below, as I add more butterfly swaps: 1. Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) 2. Fifty-Fifty Butterfly Swap 3. Regression Weighted Butterfly Swap 4. Maturity Weighted Butterfly Swap This Excel spreadsheet shows how to set up a cash & duration neutral butterfly […]