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In: Finance

calculate the notional amount for this notional IO with a coupon rate of 4.25%, backed by...

calculate the notional amount for this notional IO with a coupon rate of 4.25%, backed by the 4.25% collateral pass-through MBS upon which the CMO is created. (20 points)

Tranche

Principal

Coupon

A

3.00%

B

3.50%

C

3.75%

D

4.00%

IO

 4.25%

Solutions

Expert Solution

Given,

Tranche

Principal

Coupon

A

202,000,000

3.00%

B

59,000,000

3.50%

C

96,500,00

3.75%

D

42,500,00

4.00%

IO

 4.25%

Solution :-

Total notional amount = 59411764.7058 + 10411764.7058 + 1135294.11764 + 250000 = 71208823.53

Thus, the notional amount for this notional IO with a coupon rate of 4.25% is 71208823.53

jeff jeffy answered 1 year ago
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