KIC000021 - Exhibit 12-6 FJF.03: Hypothetical Five-Tranche...

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Exhibit 12-6 FJF.03: Hypothetical Five-Tranche Sequential. Pay Structure with Floater, Inverse Floater, and Accrual Bond Class. Tr.Jnch~ P~rAmouo' ClluJlon lbfe (%) _ ' Agency coueteratlzed Mortgage Obligations , (continued) ). Ftoanng-Rare.Tranebes ,/ Unlike a Iloanng-rate note in the corporate hond markel, 'Whose principal is unchanged over the life of the instrument. the floater'. principal balance declines over time as principal payments are made The principal paymcnlS to the floater ere determined by the principal paymentt from the tranche from which the 11031eTis created ,/ Assume that the reference rate is the one-momh UBOR ofJ.7S%, then the coupon rate on the inverse floater takes the following fom' K - L " (one-month UBOR) where K is the cap Dr maximum coupon rare for the inverse floaler and L is the multiple that determine the coupon rate for the inverse floater (L is [erened 10 as Ihe(;nupon h""'r«8<') EXA M PLE. If K is set at 28,50'1, and L at 3. then the coupon
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This note was uploaded on 09/06/2011 for the course FIN 428 taught by Professor Hood during the Fall '11 term at Iowa State.

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KIC000021 - Exhibit 12-6 FJF.03: Hypothetical Five-Tranche...

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