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Introduction to Structured Finance

Spring 2024

Assignment #1

Before commencing work, I recommend that you view the Calculation of TBTA Debt Service video and the Overview of Assignment #1 video (in that order) embedded in the Assignment #1 unit of our class site.

SECTION 1:

Objective: Model the debt service, pricing, and yield (True Interest Cost) of the New York State Thruway Authority General Revenue Bonds, Series P maturing January 1, 2025 through January 1, 2034 (the “2024 Series P Included Maturities”).

Required Submission:

One EXCEL workbook containing the following formulated worksheets:

1. Aggregate debt service on the 2024 Series P Included Maturities calculated on a per maturity basis. (See example set forth in the TBTA 2024A Debt Service Calculation – Aggregate DS by maturity worksheet).

2. Aggregate debt service on the 2024 Series P Included Maturities calculated on a composite basis. (See example set forth in the TBTA 2024A Debt Service Calculation – Aggregate DS by Calculation worksheet).  Include annual debt service.

3. Detailed bond pricing on a per maturity basis by formula (See the examples set forth in the Class 2 and 3 EXCEL workbook, Yield – Price Example Worksheets).

4. Bond pricing summary table using EXCEL PRICE function (See Price function examples in worksheet referenced in 3 above and refer to page 1 of attached DBC schedules for desired format.)

5. True Interest Cost (See the example set forth in the Class 2 and 3 EXCEL workbook, Proof of Yield worksheets, and page 3 of the attached DBC Finance schedules).

Attachments:

Assignment #1 DBC Finance Schedules

The Official Statement for the 2024 Series P Included Maturities

TBTA 2024A Official Statement

TBTA 2024A Debt Service Calculation

SECTION 2:

Using the provided Bond Structuring Tool as a starting point, provide the following sample bond structures:

1. 5 year level debt service assuming $10,000,000 par amount

2. 10 year level debt service assuming $15,000,000 par amount

3. 15 year level debt service assuming $75,000,000 par amount

4. 20 year level debt service assuming $150,000,000 par amount

5. 20 year level debt service assuming level annual debt service $15,000,000

Attachments:

Bond_Structuring_Tool_Class_Version_ EXCEL workbook