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 […]

## Assumptions Behind The Default (CDR) Model.

A reader has questioned the model I use for calculating defaults (CDR) and loss severity. It was pointed out that my model uses the expected P&I, even though a stated percent of principal is in default each month. The reader also pointed out that my model is not the same as the Bond Market Association’s […]

## 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 […]

## Commercial Loan Amortizations

I was playing with some assumptions for commercial loan amortizations and came up with the this Excel spreadsheet. For example: Assume the borrower wants to make payments quarterly, semi-annually, annually, or bi-monthly, instead of monthly, in order to match the borrowers source of income. You might want to oblige the borrower, but you still want […]

## Annual CPR Vectors

Just what everyone has been waiting for, another CPR vector analysis. I have at least two other CPR vector posts. This one allows for your own CPR model, with CPRs potentially changing each year. I say potentially, because one could keep the same CPR for numerous years. First enter a description of the pool on […]

## Simple (SMA) and Exponential (EMA) Moving Average

Technical trading is a little out of my wheelhouse, but when I came across the exponential moving average (EMA), I thought it was interesting enough to build a model. You can do a Google search to see how various traders use a simple moving average (SMA) and an EMA. As is true in all my […]

## Cherry-Picking a Loan Portfolio, Revisited

Readers might remember my original post and spreadsheet http://pistulka.com/Other/?p=1473 in August 2015 called Cherry-Picking a Loan Portfolio. That spreadsheet relied upon going through a loan portfolio and placing an X next to the loans you were interested in purchasing. It was one way I used to purchase participation loans from other credit unions. They would show […]

## THE MIRR EXCEL FORMULA WITH DATES (XMIRR)

Most of my 50 year career was in fixed income investments (Bonds, MBS, etc.). We did not use MIRR, but we did have concepts that had some of the same advantages. If you have been following this blog, you have seen terms such as Holding Period Return (HPR) or Horizon Analysis. My posts on bond […]

## Interest Penalty for Overtime Changes in State Law

Disclaimer: I am not an lawyer, and offer this spreadsheet free with no guarantees either written or implied, as to the appropriate use of this spreadsheet, or its accuracy. I am not recommending this spreadsheet to be used for any particular state or municipality. Let us assume that you live in a state […]