| Investment Knowledge |
 |
 |
 |
 |
|
Mortgage Transfer Coupon With respect to a closed commercial mortgage certificate, the transfer coupon rate is defined as an annualized, monthly compounded interest rate, such that the fair value of the closed mortgage certificate, from Treasury’s point of view, is par. A model is presented for calculating the transfer coupon rate for forward starting, closed Canadian commercial mortgage certificates. We use the previously vetted par-bond bootstrapper, employed by the previously vetted mortgage pricing spreadsheet, Mtg.xls, to generate discount factors based on Treasury rates For example, if the mortgage term is 60 months and the maturity date is April 30, 2009, then is April 30, 2009, is March 31, 2009, is February 28, 2009, and, finally, is May 31, 2004.
|