Question: A CMO has been issued with 3 tranches and a residual. At origination: - Tranche A investors own $81 million of principal with a coupon

A CMO has been issued with 3 tranches and a residual. At origination:

- Tranche A investors own $81 million of principal with a coupon rate of 3.50%.

- Tranche B investors own $44 million of principal with a coupon rate of 3.70%.

- Tranche Z investors own $10 million of principal with a coupon rate of 4.50%.

The residual carries $1 million and receives all residual payments. Mortgages backing the security issued are fully amortizing fixed rate with mortgage rate of 4.50% with 30 year maturities and monthly payments. Assume no servicing/guarantee fee and no prepayments.

What is the ending balance on the B-tranche at the end of the first year (same as the beginning balance in the second year)? Round your answers to two decimal points

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