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Imagine that you have $ 6 0 , 0 0 0 , 0 0 0 of notional principal from which floater and inverse floater securities

Imagine that you have $60,000,000 of notional principal from which floater and inverse floater securities will be created. The underlying mortgages have a WAC of 9%. If the payment rule to the floater class is SOFR+2.50% and $45MM is the principal balance allocated to the floater class, what is the maximum cap rate on the floater class?

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