Defeasance

Important This post and spreadsheet has been updated. Please click this link to Defeasance 4.0 If you are involved in commercial lending or perhaps municipal bonds you are probably familiar with the term defeasance. Commercial loans normally have hefty prepayment penalties, while some loan documents prohibit prepayment altogether. Commercial loan defeasance is a collateral substitution […]

Forward Rates Part 3: Spot Rates

A newer version with four bootstrap methods can be found at: A Forth Way To Bootstrap Spot Rates This method of calculating spot rates is referred to as the bootstrapping method. Each spot rate (or zero coupon)¬†along the Treasury yield curve needs the previous spot rates, in order to discount the current securities coupon payments. […]