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modeling structured finance cash flows with microsoft excel a step by step guide phần 3

, định giá và phân tích công cụ tài chính, cũng như nhiều hơn nữa. Đối với một danh sách các tiêu đề có sẵn, xin vui lòng truy cập vào trang Web của chúng tôiHình 3.2 Một phân tích tiêu chuẩn tỷ lệ trả trước là hoàn thành bằng cách theo dõi mỗi nguyên thời gian một cách riêng biệt theo thời gian. | Asset Cash Flow Generation 25 FIGURE 2.2 A representative line can be created from the individual loans by summing the principal balances and calculating the weighted average rate and term. FIGURE 2.3 The five loans presented here have diverse principal balances rates and terms. By summing the balances and calculating the weighted average rate and term a single representative line could be made. This would create a single line of information that provides a relatively good summary of the pool of loans as shown in Figure 2.2. This single line is much easier to create cash flows from then having to create five separate cash flows for each loan in the pool. However subjective analysis is required when making representative lines because the more diverse a pool of assets is the more distorted the cash flows are when making a single representative line. Imagine having the data tape shown in Figure 2.3. In this example the rates and terms between assets are very different which means that the aggregate interest and periodic cash flows are distinctly different than 26 MODELING STRUCTURED FINANCE CASH FLOWS WITH MICROSOFT EXCEL FIGURE 2.4 Notice the slight differences in payment interest and principal when using a representative line versus aggregating individual loan schedules. the cash flows generated by a representative line. Figure 2.4 presents the periodic cash flows of each method. In the example the two cash flows are different on a periodic basis and in aggregate. The periodic differences can be problematic for the upcoming liability structure in the transaction. There could be periods of liquidity shortfall or triggers tripped when using one of the methodologies versus the other. Also the aggregate interest sum of the individual loans comes to 2 926 259 while the interest sum of the representative line is 3 233 736. The balance difference is small in this example but if the principal balance were 1 billion then the difference between the two methods could be in .