Suppose the collateral backing a nonagency MBS consists of a fixed-rate residential mortgage portfolio with the following features:

 Mortgage portfolio balance = $500,000,000

 Weighted average coupon rate (WAC) = 6%

 Weighted average maturity (WAM) = 360 months

 No prepayment Using the MBS Collateral with Default Loss Excel program, determine the following:

a. The cumulative default rates after months 30, 60, 120, and 360 for SDAs of 100, 200, and 300.

b. Graph the cumulative default rates from the beginning to maturity (360th month) for SDAs of 100, 200, and 300.