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Stratify the mortgages below for a deal coupon of 3.5%. What is the face value of the WAC PO, and what is the deal face?
- Stratify the mortgages below for a deal coupon of 3.5%.
- What is the face value of the WAC PO, and what is the deal face?
- What is the (initial) notional principal of the WAC IO, and what is its (initial) coupon rate?
| Coupon % | Net Note Rate % | Cohort Bal ($mln) |
| 3.685 | 3.4185 | 70 |
| 3.75 | 3.4816 | 120 |
| 3.875 | 3.613 | 130 |
| 4.00 | 3.7610 | 60 |
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Investments
Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey
6th Edition
8120321014, 978-8120321014
