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Given the following information about a CMO: - $5 million of mortgage pool principal assigned to the floater class. $8 million assigned to the inverse
Given the following information about a CMO:
- $5 million of mortgage pool principal assigned to the floater class. $8 million assigned to the inverse floater class.
- Floater class coupon rule: LIBOR + 0.2%
- Inverse floater class coupon rule: 12.5% - L x LIBOR
- LIBOR in the first month is 3%
What is the coupon leverage L? Round your answer to two decimal points (e.g. if your answer is 1/3, write 0.33).
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