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31. Suppose that a portfolio manager is considering a collateralized mortgage obligation structure KMF- 01. This structure has three tranches. The deal is a simple sequential pay and was issued several years ago. The tranches are A, B, and C with a coupon rate paid to each tranche each month and principal payments are made first to tranche A, then to tranche B, and finally to tranche C. Here is the status of the deal as of the time of the analysis: Tranche Coupon Rate A 4% B 5% 6% Par Amount Outstanding 3000000 8000000 30000000 Based on some prepayment rate, the projected principal payments (prepayments plus scheduled principal repayment) for the next four years for the collateral underlying this deal are as follows: Month 1 Sch Prin. + Prepayment 520000 510000 490000 450000 448000 Month 25 26 27 2 3 Sch Prin. + Prepayment 287000 285000 283000 280000 278000 4 5 28 29 6 442000 30 275000 7 410000 31 271000 8 405000 32 270000 9 400000 33 265000 10 396000 34 260000 11 395000 35 255000 12 390000 36 252000 13 388000 37 250000 14 385000 38 245000 15 380000 39 240000 16 377000 40 210000 17 375000 41 200000 18 370000 42 195000 19 369000 43 190000 20 366000 44 185000 21 300000 45 175000 22 298000 46 170000 23 292000 47 166000 24 290000 48 164000 a. Compute the principal, interest, and cash flow for tranche A for the 48 months. b. Compute the principal, interest, and cash flow for tranche B for the 48 months. c. Compute the principal, interest, and cash flow for tranche C for the 48 months

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