Assume that there is a sequential pay CMO where the entire CMO has a principal balance of $600,000,000. Tranche A has a par value of $300,000,000, Tranche B has a par value of $200,000,000 and Tranche C has a par value of $100,000,000. The WAC for all tranches is 7.5% and the pass-through rate is 7%. Assume that all tranches are paid interest from the beginning. Assume also that the remaining (and beginning) term to maturity is 360 months and the PSA is 150.

Assume that in months 90 and 91 the cash flows for the total bond are as follows:

Mo.	Beg. Bal	CPR	SMM	Payment	Interest	Reg. Prin	Prepaymt.	Svc. Fee	End. Bal.
90	305,256,330	0.090	0.00783	2,340,350	1,780,662	432,498	2,386,289	127,190	302,437,543
91	302,437,543	0.090	0.00783	2,322,028	1,764,219	431,794	2,364,228	126,016	299,641,522

QUESTION:

Fill in the final row for Tranches A and B:

Tranche A:

Month	Begin. Balance	Interest	Total Principal	Ending Balance
90	5,256,330	30,662	2,818,787	2,437,543
91

Tranche B:

Month	Begin. Balance	Interest	Total Principal	Ending Balance
90	200,000,000	1,166,667	0	200,000,000
91