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# TimePrincipal152103 />20440580Total1557. Given the below single month mortality rates for a mortgage security. What are the corresponding conditional prepayment rates?AgeSMMCPR50.6(a)61.0(b)72.0(c)85.0(d)Given the below par-yield curve, what is the spot curve?Suppose you have a 8.5% coupon paying mortgage bond. Given the information in question 8 above, suppose the weighted average life is 2.25. What is the WAL yield spread to par?Suppose you have a 8.5% coupon paying mortgage bond. Given the information in question 8 above, and the below bond cash flows, what is the yield curve spread to the spot curve?Given the information in question 8, what are the 1-year forward rates based upon the spot curve?Given the cash flows from question 10 and the 1-year forward rates in question 11, what is the yield curve spread when using the forward rates?Compute the effective durations and effective convexities of the securities in the below table.Year12345Par Curve3.0%5.0%8.0%9.0%9.5%Spot Curve(a)(b)(c)(d)(e)YearCash Flow139.50231.65324.28417.385 10.98Year123451-Year Forward Rates(a)(b)(c)(d)Bond 1Bond 2 Bond 3-50 bp55.83105.19 23.03Base45.00104.22 26.75+ 50 bp36.38103.03 29.92Effective Duration(a)(b)(c)Effective Convexity(d)(e)(f)14. Using the calculated durations and convexities in question 13, what would be the new prices of Bonds 1, 2 and 3 if interest rates rose by 25 basis points?Bond 1Bond 2Bond 3Price + 25 bp(a)(b)(c)

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