Question: Please answer as soon as possible QUESTION 22 A CMO has been issued with 3 tranches and a residual. At origination: - Tranche A investors
Please answer as soon as possible
QUESTION 22 A CMO has been issued with 3 tranches and a residual. At origination: - Tranche A investors own $67 million of principal with a coupon rate of 3.50%. - Tranche B investors own $34 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 month (same as the beginning balance in the second month)? Round your answers to two decimal points (e.g. if your answer is $56000.0444, write 56000.04)
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