Question: A CMO is being issued with 2 tranches: - Tranche A has $18 million in principal and a 2% coupon. - Tranche B has $7

A CMO is being issued with 2 tranches: - Tranche A has $18 million in principal and a 2% coupon. - Tranche B has $7 million in principal and a 2.8% coupon. The mortgages backing the security issued are FRM at a mortgage rate of 6.6% with 10 year maturities and annual payments. There is no guarantee/servicer fee. Prepayment is assumed to be 5% CPR. 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)

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