Home » 2015 » August

U.S. Treasury Forward Rate Curves

Note: I have made some changes to the spreadsheet since the original post. The Treasury data source was not pulling in the new rates as I had expected, so I hard wired a table of rates for February of 2016. A link to the Treasury page is still there, so...
Continue reading »

Treasury Bill Calculator

It occurred to me that my last post Treasury Bill Math with twelve formulas, has little value if you are sitting on a trading desk and need to work quickly. I put together this calculator that will calculate two of the four pieces of information, given two...
Continue reading »

U.S. Treasury Bill Math

Money market securities mature in less than a year and pay simple interest (as opposed to compound interest). Treasury bills are money market instruments that pay simple interest, but are quoted (sold) based on a discount rate. Securities that use a discount rate can be thought of as paying...
Continue reading »

Financial Ratios – Bullet Charts

In May of this year I offered a template of gages that a board of directors might find useful to spot problems in their credit union or small bank. Read the post Financial Ratio Gauges for more information on why I wrote the financial gages spreadsheet. The...
Continue reading »

Bond Immunization

Bond immunization is closely related to defeasance which I discussed in posts  Defeasance2.0 and Defeasance. The similarity between immunization and defeasance is that you are trying to hedge the interest rate risk involved with a given liability cash flow. The example on the spreadsheet “Immunize” may be over...
Continue reading »

Default Rates Affect on Servicing

A reader (Justin) asked about how the CRD (Constant Default Rate) affects MSR (Mortgage Servicing Rights). I have taken a spreadsheet previously published on CDR, and added the value of servicing. The new spreadsheet is called CDR_Servicing. The CDR includes an additional CPR, which will reduce the life...
Continue reading »

Credit Union Certificate Analysis

You will need Excel 7 or higher, due to the use of a “table” in this spreadsheet. This post is aimed at smaller credit unions and banks that don’t have a staff of financial analysts. You do need access to four pieces of information about each of your...
Continue reading »