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 IO tranche with no guarantee/servicer fees. If an investor has a discount rate of 3%, what would they value the IO tranche at origination?