Solve 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. Additionally, since the loans do not fully amortize, there is generally a balloon loss - quoted as a fraction of the outstanding balance at mortgage maturity. To simplify, assume that there is no recovery (unrealistic, of course). Assume that the CMBS is sold at par (again, unrealistic). New answer