Question: Given the following information about a CMO: - $48 million of mortgage pool principal assigned to the floater class. $19 million assigned to the inverse
Given the following information about a CMO: - $48 million of mortgage pool principal assigned to the floater class. $19 million assigned to the inverse floater class. Floater class coupon rule: LIBOR +0.2% - Inverse floater class coupon rule: 12.5% LX LIBOR - LIBOR in the first month is 3% What is the WAC coupon rate of the underlying collateral pool? Round your answer to three decimal points (eg. If your answer is 5.1%, write 0.051). Given the following information about a CMO: - $48 million of mortgage pool principal assigned to the floater class. $19 million assigned to the inverse floater class. Floater class coupon rule: LIBOR +0.2% - Inverse floater class coupon rule: 12.5% LX LIBOR - LIBOR in the first month is 3% What is the WAC coupon rate of the underlying collateral pool? Round your answer to three decimal points (eg. If your answer is 5.1%, write 0.051)
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