What is the ending balance on the b-tranche

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Reference no: EM132906129

A CMO has been issued with 3 tranches and a residual. At origination:

- Tranche A investors own $106 million of principal with a coupon rate of 3.50%.

- Tranche B investors own $42 million of principal with a coupon rate of 3.70%.

- Tranche Z investors$7 million of principal with a coupon rate of 4.50%.

- The residual carries $1 million of principal 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).

Reference no: EM132906129

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