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You ae going to form a 4-tranche CMO from a pool of mortgages. The pool contains $500 million in 3-year mortgages. These mortgages make semi-annual
You ae going to form a 4-tranche CMO from a pool of mortgages. The pool contains $500 million in 3-year mortgages. These mortgages make semi-annual payments. The rate on the mortgages is 4%. Treat this as an APR with semi-annual compounding. The A- Tranche holds 25% of the pool. The B-Tranche holds 25% of the pool. The C and D Tranches split the remaining portion of the pool evenly. The rates on the tranches are the rate on the underlying mortgages. At month 18, there is a 50% prepayment. The new amortizing payment after the prepayment (in dollars) is A 1 (round you answer to the nearest whole dollar. If you answer is 1 million, enter 1,000,000. do not use $ in your answer)
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