What is the face value of the WAC PO, and what is the deal face?

Due 11:59pm Nov 25, by email

Because Th is Thanksgiving, this HW is due electronically – so no need to annotate if formulae are present, and excel table/stapling rules do not apply. Note 5 point for clarity/layout.

HW 4

FRL 3832

Total: 25 =20 + 5 points. 5 points clarity of presentation. Show all work for full credit (e.g., annotate relevant formulae in excel, substantial penalties otherwise). Make sure your presentation is clear and staple in the order of the questions. Excel table rules apply (show no more than 1 page of repeated rows, 5-point penalty otherwise).

1. [20 pts]

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 % Net Note Rate % Cohort Bal ($mln)
3.685 3.4185 70
3.75 3.4816 120
3.875 3.613 130
4.00 3.7610 60