Consider the following CMO structure backed by 8% collateral: Tranche Par Amount (in millions) Coupon Rate (%)

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Consider the following CMO structure backed by 8% collateral: Tranche Par Amount (in millions) Coupon Rate (%) ABCD $300 6.50 250 6.75 200 7.25 250 7.75 Suppose that a client wants a notional IO with a coupon rate of 8%. Calculate the notional amount for this notional 10.AppendixLO1

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