A. [20 points total] Consider two agency MPT PT 1 PT 2 Initial Principal 12.791 76.734 Balance (million $) Gross Mortgage 5.58375 6.16051 Rate (%) Net Mortgage Rate 5.34479 5.94576 (%) Original Term 360 360 (months) Remaining Term 353 356 (months) Loan Age (months) 6 3 1. Amortize both loans at 100 PSA (leave open to change). This is the base assumption. 2. Create a WAC IO and PO tranche to create a 5.75% deal coupon. 4. With the remaining assets, create a sequential pay structure of two classes, with initial principal A1:A2::3:1. 5. Assume all classes were bought under the base PSA assumption for: A-1: 103:01; A-2: 98:20; 10: 0:20 (notional); PO: 81:31. The notation ":nn" means "nn/32nds." A. [20 points total] Consider two agency MPT PT 1 PT 2 Initial Principal 12.791 76.734 Balance (million $) Gross Mortgage 5.58375 6.16051 Rate (%) Net Mortgage Rate 5.34479 5.94576 (%) Original Term 360 360 (months) Remaining Term 353 356 (months) Loan Age (months) 6 3 1. Amortize both loans at 100 PSA (leave open to change). This is the base assumption. 2. Create a WAC IO and PO tranche to create a 5.75% deal coupon. 4. With the remaining assets, create a sequential pay structure of two classes, with initial principal A1:A2::3:1. 5. Assume all classes were bought under the base PSA assumption for: A-1: 103:01; A-2: 98:20; 10: 0:20 (notional); PO: 81:31. The notation ":nn" means "nn/32nds