HW4 - Due Tuesday Nov 22 HW4 FRL 383 PUT YOUR NAME on the...

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Nov 14, 2016 Due Tuesday, Nov 22 HW4 FRL 383 PUT YOUR NAME on the first page as well as the back of the last page you hand in [1pt]. STAPLE in order of questions all sheets. FOR ANY SPREADSHEET, YOU MUST HIDE REPETITIVE ROWS THAT DO NOT ILLUSTRATE ANYTHING SUBSTANTIALLY NEW. Do not make any one spreadsheet printout more than 2 pages max (you will generally need only one). Do not continue table columns across several pages (best to print in landscape mode). FAILURE TO DO ALL THIS WILL RESULT IN A LOSS OF FIVE (5) POINTS. 41 points total. ANNOTATE any formulae that involve more than addition and subtraction ( e.g ., using a pen or Office’s comment feature - just one period will suffice, of course) 1. [22pts] a. [20pts] Consider a 100,000,000 CMBS pass-through (PT) security consisting of fresh 15 year fixed rate loans that fully amortize over a period of 30 years, and have a WAC of 7% with fees amounting to 0.5%. For purposes of this HW, a CMBS is like a RMBS, except that all loans have a prepayment lock-out (assume for the entire term), but default occurs according to the standard SDA function.
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