## U.S. Treasury Forward Rate Curves

Note: A revised spreadsheet has been publish for this topic. Please see the new revised version here: http://pistulka.com/Other/?p=3459 Back in September of last year I wrote three posts and spreadsheets about Gap Analysis, Spot Rates, and Forward Rates. I put all three together in this post and Excel workbook. I have connected the Treasury’s daily Treasury yield curve […]

## 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 pieces. It looks like this: The page is protected. The […]

## 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 the interest upfront, as opposed to paying interest at maturity. […]

## 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 gages looked like this: I have just put together another […]

## 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 simplified, but I think it describes the concept sufficiently. Normally […]

## 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 of the MBS and reduce the value of servicing. However,  […]

## 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 certificates. You need the current balance, maturity, original term, and […]