Credit: floating-rate bridge pool

A floating-rate bridge loan pool priced off a forward curve, where the coupon resets each period rather than being fixed at origination.

Every number below is checked against an independent reference implementation on every commit — period by period, and on each metric, inside a declared tolerance. See benchmark methodology.

The case

A $15m floating-rate bridge pool. The coupon is a benchmark rate plus 275 basis points, resetting each period off a stepped forward series, with a 7.00% floor that binds from month 12 to maturity, the last 24 of the 36 months. It runs 36 months to a bullet, bought at par, against a 10% prepayment rate, a 2.5% default rate, 45% severity and a five-month recovery lag.

The reference

Floating-rate pool conventions as defined by the standard market formulas — a coupon reset off an index, clamp(index + margin, floor, cap), so the floor applies after the spread.

Provenance. No external source exists for this case. The expectations come from an in-repo reference implementation generated from the pack's rules, built separately from the model and compared month by month, pending practitioner review. Nothing external asserts them.

What it exercises

A series-shaped assumption is exercised end to end here: its declaration, its representation in the compiled model, and the per-period read.

The result

Present value −433,719.03, multiple on invested capital 1.151953 and weighted average life 2.367044 years.

Asserted: net cash flow per period across 41 months, plus ten metrics, the three above among them.

The delta

None: every period agrees inside a one-cent tolerance, including the periods where the floor binds and the coupon stops tracking the index.

Run configuration

{
  "deterministic": {
    "annual_discount_rate": 0.075
  }
}

Verified results

Checked period by period: 1 series across 41 periods — 41 values in all, each within ±0.01 of the reference.

• net_cash_flow

Summary metrics for the base run: