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. Amortize the pool at a PSA of 150 and an SDA of 100. 2. What is its cash flow yield? 3. What is its (weighted) average life, or WAL? 4. What is its duration? (ignore any change in PSA/SDA implied by a rate change) 5. What is its convexity? (ditto)

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