Question: A five-tranche, sequential-pay $100 million CMO is secured by $100 million dollars of 10-year seasoned mortgage with a contract rate of 9.5 (annual rate compounded

A five-tranche, sequential-pay $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 B tranche (in millions of dollars)?

		0.158
		0.168
		0.325
		0.350

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