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Consider a sequential pay CMO that is backed by 150 mortgages with average balance of $100,000 each. The mortgages have monthly payments with WAM =

Consider a sequential pay CMO that is backed by 150 mortgages with average balance of $100,000 each. The mortgages have monthly payments with WAM = 15 years and WAC = 5%. There is a servicing fee of 0.6% and prepayment is according to 150% PSA. There are two tranches in this CMO: tranche A issued for $4,000,000 and tranche B issued for $11,000,000. How much cash flow do investors in tranche A receive in the first month?

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