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Imagine that you have $150,000,000 of notional principal from which floater and inverse floater securities will be created. The underlying mortgages have a WAC (collateral
Imagine that you have $150,000,000 of notional principal from which floater and inverse floater securities will be created. The underlying mortgages have a WAC (collateral coupon) of 10%. If the payment rule to the floater class is SOFR+1.50% and $15MM is the principal balance allocated to the floater class. Assuming an inverse floater cap of 35.50% and SOFR of 8%, what is the total coupon to the inverse floater class
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