Question: Consider the following CMO structure backed by 8% collateral: Tranche Par Amount (in millions) Coupon Rate (%) A $300 6.50% B $250 6.75% C $200

Consider the following CMO structure backed by 8% collateral:

Tranche	Par Amount (in millions)	Coupon Rate (%)
A	$300	6.50%
B	$250	6.75%
C	$200	7.25%
D	$250	7.75%

Suppose that a client wants a notional IO with a coupon rate of 8%. Calculate the notional amount for this notional IO.

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Notice that for this structure the notional amount for the IO class is shown in the table below as 121875000 for a coupon rate of 80 This is an IO cla... View full answer

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