Calculating the Discount Margin—DM
1. P = the floating rate note's price plus any accrued interest.
2. c(i) = the cash flow received at the end of time period i (for final period n, the principal amount must be included)
3. I(i) = the assumed index level at time period i.
4. I(1) = the current index level.
Discount Margin—DM Definition - Bonds - Investopedia www.investopedia.com > Bonds > Fixed Income Essentials
Then sum of all the present values at each coupon date is the price of the FRN. The sum is represented mathematically by the formula below: Where: = price of the FRN N = nominal )/365 is the period between the coupon dates. = is the forward rate at the coupon dates.
Floating Rate Note Pricing Specifications - JSE
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A DM, or discount-to-margin, is the margin on a CLO tranche after taking into account its issue price.
RLPC: Babson prices $406.85M CLO | Reuters
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