Dwight, would you mind e-mailing that to me as well - ekelly@temple.edu? I would really appreciate it!
SMM = 1 - (1-CPR)^1/12
Enterprise Value=Invested Capital + MVA Never seen this formula before. I thought EV = Debt+Equity - current portion of assets. How come there is an MVA component to it.
Dwight (or others?)- I would be much obliged if you could email me the excel sheet as well. LPoulin133@gmail.com I could then be in charge of further emailing it, if you feel like sharing that is.
adjusted R squared = 1-[(n-1)/(n-k-1)]*(1-R^2) also, if anyone wants to hit me w/ that spreadsheet at ngray30@hotmail.com, feel free. just sayin’.
mike0021 Wrote: ------------------------------------------------------- > Probability of option to rise in value: > > (1 + r + UP) / (UP - DN) Down is in numerator
nicolargol Wrote: ------------------------------------------------------- > I don’t know if the S&P formulas are “must know”, > but here they are: > > NI + D +/- Non cash items = funds from operation > (FFO) > > FFO + decrease in noncash current assets + > increase in nondebt current liabilities = > Operating CFs (CFO) > > CFO - Capex = Free CFO > > Free CFO - Cash dividends = Discretionary CFs > > Discretionary CFs - Acquisitions + Asset disposals > = Prefinancing CFs Do we need to know all the ratios used by S&P?
mike0021 Wrote: ------------------------------------------------------- > Probability of option to rise in value: > > (1 + r + UP) / (UP - DN) Correct formula is 1+r - D / U - D add to that : Hedge ratio C+ - C- / S+ - S-
I felt bad, I take it back.
When valuing the equity with FCFF — don’t forget to subtract the market value of debt. Rather simple, but I forgot.
I did the same thing Nibs, wanted to headbutt my laptop.
Black Swan: No sense arguing…you edited your post, i’m changing mine. Thanks. In the end it’s his perogative if he wants to share or not…figured it can’t hurt to ask.
maratikus Wrote: ------------------------------------------------------- > > Do we need to know all the ratios used by S&P? The Interest coverage ratios are pretty standard (EBIT / I and EBITDA / I) I tried to memorize the debt service coverage and debt payback period but I never could debt service coverage = (Free CFO + I) / (I + annual principal repayment) debt payback period = total debt / Discretionary CFs
LPoulin133 Wrote: ------------------------------------------------------- > Black Swan: No sense arguing…you edited your > post, i’m changing mine. Thanks. > > In the end it’s his perogative if he wants to > share or not…figured it can’t hurt to ask. Normally I woulda left it, but I did some quick homework and searched your post history and most of them were addative and recent so I changed your status from lurker to new member of AF in my book, which makes you alright by me.
Black Swan Wrote: ------------------------------------------------------- > LPoulin133 Wrote: > -------------------------------------------------- > ----- > > Black Swan: No sense arguing…you edited your > > post, i’m changing mine. Thanks. > > > > In the end it’s his perogative if he wants to > > share or not…figured it can’t hurt to ask. > > > Normally I woulda left it, but I did some quick > homework and searched your post history and most > of them were addative and recent so I changed your > status from lurker to new member of AF in my book, > which makes you alright by me. Appreciate it.
nicolargol Wrote: > I tried to memorize the debt service coverage and > debt payback period but I never could > > > debt service coverage = (Free CFO + I) / (I + > annual principal repayment) > > debt payback period = total debt / Discretionary > CFs I have the same problem. Can’t memorize those ratios.
don’t forget mean revert & h model.
^^ bump saw this thread last night - great idea… came online this morning and it’s reached the third page! my contribution the first one I just cannot remember …no matter how hard i try… 1. Estimating WACC for Emerging Markets: Risk Free Rate = 10yr US Govt Bond + Inflation differential in terms of (i DC-i FC) Market Risk Premium = 4.5% to 5.5% Beta = Industry beta from globally diversified market index Cost of Debt = Local Risk Free Rate + Credit Spread on similar US Corp Debt Tax = Local taxes on interest expense on Debt Weights = Global Industry Average ratios 2. Real Estate Valauations CFAT = Net Operating Income - Debt Service - Taxes Payable - where Taxes Payable = (NOI-Dep-Int)*t ERAT = Selling Price - Selling Costs - Mortgage Balance - Taxes on Sale - where Taxes on Sale is the sum of two components a) Taxes on Recap Dep = Recap Dep*t b) Taxes on Capital Gains = (Selling Price - Selling Costs - BV - Recap Dep)*t 3. Income Property Analysis a) Market Extraction Method: MV= NOI/(r-g), (r-g) is also called Capitalization Rate or R b) Band of Investment Method: WACC = Equity Weight*cost of equity + Debt Weight*total mortgage cost - where Total Mortgage Cost = Interest on mortgage + Sinking Fund Factor c) Built up Method: R = Risk Free + Liquidity Premium + Recapture Premium + Risk Premium d) Direct Income Capitalization = NOI/R e) Gross Income Multiplier = Gross Income * Multiplier - where Multiplier is Sales Price/Gross Income
Delta(call) = C1 - C0 / S1 - S0
i love derivatives value of fix in a swap = float - fix value of long future at time t= spot - future / (1+rfr)^T-t annualized n x m FRA = [1- (1+ M*t/360)/(1+N*t/360)] * 360 /t