MBS Creation (Finance)
a. Stratify the mortgages below for a deal coupon of 3.5%.
b. What is the face value of the WAC PO, and what is the deal face?
c. What is the (initial) notional principal of the WAC IO, and what is its (initial) coupon rate?
Coupon %
3.685
3.75
3.875
4.00
Net Note Rate %
3.4185
3.4816
3.613
3.7610
Cohort Bal ($mln)
70
120
130
60
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