Stratify the mortgages below for a deal coupon of 3.5%.

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