A five-tranche, sequential-pay with an accrual trance $100 million CMO is secured by $100 million dollars of 10-year seasoned mortgage with a contract rate of 9.5 (annual rate compounded monthly).The prepayment speed is 300 PSA. Each tranche has a principal value of $20 million.  In one month, based on the prepayment speed what is the cash flow to the A tranche (in millions of dollars)?

Answer rating: 100% (QA)

The total outflow in One month for tranche B is 158 Mn A ... View the full answer