[90 pts] Consider a credit-sensitive passthrough security of FR FA 30-y mortgages with a WAC of 4.5%, NNR of 4%, and a WAM of 29y and 9 months. Assume a price of 101-13. 1. [45pts] Amortize the pool at a PSA of 150 and an SDA of 100. 2. [9pts] What is its cash flow yield? 3. [9pts] What is its (weighted) average life, or WAL? 4. [18pts] What is its duration? (ignore any change in PSA/SDA implied by a rate change) 5. [9pts] What is its convexity? (ditto) [90 pts] Consider a credit-sensitive passthrough security of FR FA 30-y mortgages with a WAC of 4.5%, NNR of 4%, and a WAM of 29y and 9 months. Assume a price of 101-13. 1. [45pts] Amortize the pool at a PSA of 150 and an SDA of 100. 2. [9pts] What is its cash flow yield? 3. [9pts] What is its (weighted) average life, or WAL? 4. [18pts] What is its duration? (ignore any change in PSA/SDA implied by a rate change) 5. [9pts] What is its convexity? (ditto)