Consider the following CMO:

- Tranche A issued for $12 million with a coupon of 6.5%

- Tranche B issued for $4 million with a coupon of 6.5%

- Z-Tranche issued for $4 million with a coupon of 6.5%

The securities are backed by a pool of fully amortizing 30-year fixed rate mortgages with WAC equal to 6.5% and monthly payments. There is assumed to be a 5% CPR in this pool and no servicing fee.

What does this graph represent?

50000 100000 150000 200000 250000 0 1 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181 191 201 211 221 231 241 251 261 271 281 291 301 311 321 331 341 351 ZIBIA Beginning balance on each tranche Cash flows to each tranche The remaining balance on each tranche Principal payments to each tranche 50000 100000 150000 200000 250000 0 1 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181 191 201 211 221 231 241 251 261 271 281 291 301 311 321 331 341 351 ZIBIA Beginning balance on each tranche Cash flows to each tranche The remaining balance on each tranche Principal payments to each tranche