A) What is the balance of class A at the end of year 1?

B) What is the balance of class B at the end of year 1

C) What is the balance of class Z at the end of year 1?

D) What is the IRR to the residual class, given the information in the chart below?

Cash flows to residual class:

T=0 ????

T=1 ????

T=2 153,693.71

T=3 121,922.76

T=4 108,313.21

T=5 94,125.26

T=6 85,000.00

T=7 85,000.00

T=8 85,000.00

T=9 85,000.00

T=10 2,085,000.00

E) What is maturity of the A tranche given no prepayment? State your answer in number of years.

F) What is the total sum of cash flows paid to class A (total principal and interest over lifespan of security).

This question is based on the following CMO: 100 residential loans, average starting loan balance $250,000 10 year FRMs with annual payments, WAC 4.25% -Assume prepayment Now, suppose than instead the CMO was structured as a sequential pa y security. There is $5,000,000 of principal allotted to the A Tranche, which has a coupon rate of 3.00%, $7,500,000 of principal allotted to the B Tranche, which has a coupon rate of 3.75%, $10,500,000 of principal allotted to the Z (accrual) Tranche, which has a coupon rate of 4.25%. The issuer (residual) will receive cash flows after payment rules to other classes are satisfied The payment rules are as follows: Priority payments will be made to the A tranche and the A class will be first to receive their promised Coupon payment. The B class will receive interest payments only until the A class is repaid. In addition to interest, A will receive priority payments toward principal in the amount of sum of principal repayment by the pool and the interest accrued to Z in that period. After A is repaid, B then will receive priority payments of amortization and accrued interest according the same rules as A. The Z class will accrue interest until both A and Bare repaid. Zwill receive current interest and principal payments at that time according to the same rules as A and B. All cash flows from the pool that are not designated by the above rules will go to the residual class in that period CFs to poo Time (in years) Start Balance Payment Principal End Balance Interest $25,000,000.0 $3,120,753.04 1,062,500.00 $2,058,253. $22,941,746.9 04 22,941,746.96 $3,120,753.04, 975,024.25 $2,145,728. $20,796,018.1 80 20,796,018.16 $3, 120,753.04. 883,830.77 $2,236,922. $18,559,095.8 18,559,095.89 $3,120,753.04 788,761.58 $2,331,991. $16,227,104.4 47 16,227,104.42 $3,120,753.04 689,651.94 $2,431,101. $13,796,003.3 13,796,003.31 $3,120,753.04 586,330.14 $2,534,422. $11,261,580.4 11,261,580.41 $3,120,753.04 478,617.17 $2,642,135. $8,619,444.53 88 8,619,444.53 $3,120,753.04 366,326.39 $2,754,426. $5,865,017.88 5,865,017.88 $3,120,753.04, 249,263.26 $2,871,489. $2,993,528.10 2,993,528.10 $3,120,753.04. 127, 224.94 $2,993,528. $0.00 10