QUESTION 12

A CMO is backed by a mortgage pool with 5% FRMs and a par value of $155,000,000. The CMO is being issued with three tranches: the A tranche will consist of $105,000,000 ofprincipal and have a coupon of 4.00%, the B tranche will consist of $50,000,000 of principal and have a coupon of 4.50% and a Notional IO that will carry a coupon of 6%. What is the notional principal amount in this tranche?

10 points

QUESTION 13

A CMO is created with one Floater and one Inverse Floater class. The CMO is backed by a mortgage pool of which, at origination, the Floater class holds 90 million in principal and the Inverse Floater class holds 70 million in principal. At origination, the floater class has a coupon rate of 6% and the inverse floater class has a coupon rate of 3%. What is the collateral's coupon rate (the mortgage pool's WAC)? Give your answer as a percentage (if your answer was two percent, enter 2.00).

10 points

QUESTION 14

A CMO is created with one Floater and one Inverse Floater class. The CMO is backed by a mortgage pool of which, at origination, the Floater class holds 50 million in principal and the Inverse Floater class holds 23 million in principal. At origination, the floater class has a coupon rate of 2% and the collateral's coupon rate (the mortgage pool's WAC) is 5%. What is the inverse floater's coupon rate at origination? Give your answer as a percentage (if your answer was two percent, enter 2.00).