Question: A CMO is being issued with 2 tranches and a residual (same set-up as the previous question): - Tranche A has 6,000,000 in principal and

A CMO is being issued with 2 tranches and a residual (same set-up as the previous question): - Tranche A has 6,000,000 in principal and a 4.50% coupon. - Tranche B has 5,000,000 in principal and a 5.00% coupon. The mortgages backing the security issued are FRM at a mortgage rate of 5.10% with 10 year maturities and annual payments. There is no guarantee/servicer fee. Prepayment is assumed to be 5% CPR. The residual owns no principal at origination. What is the starting pool balance for Tranche A investors in year 2? (Note: same as the ending pool balance for Tranche A investors in year 1)

		4,579,523.44
		5,075,948.54
		5,760,753.01
		6,180,341.21

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