QUESTION 22 There is a CMO with the following anticipated cash flows generated from a mortgage pool with annual payments (same set-up as previous question). For ease of computation, the cash flows are rounded to integers. The cash flows come from a mortgage pool that consists of $5M of total principal at origination, 4% mortgage rates, 3-yr FRMs with annual payments and with no prepayments. The CMO consists only of a PO and a 10 tranche with no guarantee/servicer fees. If an investor has a discount rate of 3%, what would they value the 10 tranche at origination? Year Beg. Bal Sch. Payment Sch. Interest Sch. Principal End Bal $ 5,000,000 $1,801,743 $ $ 3,398,257 $ 1,801,743 $ 135,930 $ 1,732,445 $ 1,801,743 $ 69,298 $ 1,601,743 $ $ 1,732,445 $ 3,398,257 1,732,445 Save All Answers Close