Animated Treasury Yield Curves (1962-Present)

In July of 2015, I posted an animated yield curve chart: I have hopefully improved the chart and brought the yields curves up-to-date. You can also add daily curves if you like. The Excel file contains VBA, so some firms might not allow downloads. The yield curves are on a monthly basis from 1962-1989 and […]

Treasury Forward Yield Curve Table – Revised

I have posted spreadsheets on forward yield curves in the past, but this one is less cumbersome in that the spot rate calculations are simplified, compared to the previous spreadsheets. In addition, I added a forward math sheet to explain the calculations. Like my other spreadsheets that require spot rates, I start with a source […]

Yield Curve Smoothing With The Nelson-Siegel-Svensson Model

Note: I found an error in the spreadsheet and repaired it, so if you downloaded the spreadsheet before 3/21/19, download it again.   This post starts by entering the U.S Treasury Yield curve by copy/pasting the rates from the Treasury web site. The yields are then interpolated in order to calculate spot rates using the […]

Bootstrapping Spot Rates For FHLB Amortizing Advance Rates

A reader asked for help in creating the spot rates for the Federal Home Loan Banks market reference curve, used for amortizing advances. I have posted four ways to calculate spot rates for U.S. Treasury securities (A Forth Way To Bootstrap Spot Rates), but this is the first non-uses the same basic calculations, but uses […]

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 […]