Question
A CMO is backed by a mortgage pool with 5% FRMs and a par value of $155,000,000. The CMO is being issued with three tranches:
A CMO is backed by a mortgage pool with 5% FRMs and a par value of $155,000,000. The CMO is being issued with three tranches: the A tranche will consist of $105,000,000 ofprincipal and have a coupon of 4.00%, the B tranche will consist of $50,000,000 of principal and have a coupon of 4.50% and a Notional IO that will carry a coupon of 6%. What is the notional principal amount in this tranche?
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Bond Markets Analysis And Strategies
Authors: Frank J.Fabozzi
7th Edition
0136078974, 978-0136078975
