Please display answer in the provided excel set up pictured below the question.

Question:

Fonsider a CMES with the following attributes: Credit Support Amount C oupon (El-'6} {El-'6} mama an wwm 15 sisassasm 10 www 5 aluminum 32mm Prion-it}: payments in the CELEBS will he made to the class Bind tranche and will include the promised coupon and principal repayment on the loan's maturity date plus all recoveries from a foreclosure sale: if an}: it the loan's maturity date once the class Eln-"L tranche is repaid, then the class [Li tranche will receive principal repatmient plus recoveries. etc. The loan bacl-ng this CHE-S is to a single borrower. The loan is to have a 10year {interestonly] term with a xed interest rate. The loan will provide for scheduled amortization for its entire term. :'issume prepatnlents to he Zero. {11} What interest rate on the underlying loan is needed to generate an IRE on the residual tranche of 11:}ng under the following assumptions: I The loan has a constant annual prohahilitr of default of 9.15%. I The loan has a recoTerr.' rate of 75%]. I Tranche Hindi is to he issued at par fie. Tranche $435431 is to hate a eld equal ' W. to its coupon}. I Tranche fin is to he issued at par {in} Tranche Afr is to have a Field equal to its coupon). I Tranche :1 is to he issued at par fie, Tranche Bi is to have a Tield equal to its coupon). I Tranche E is to he issued at par lieu Tranche B is to have a Tield equal to its coupon). {i} 1nl'il'hat interest rate on the underlying loan would completely wipe out the return to residual tranche. [The residual tranche would earn an [RR of 0%]. {j} 1Ilil'fouldj'ou ETEI: expect your answer in (a) to he lower than the interest rate on a commercial mortgage held hi"? satp life insurance companies in their direct mortgage loan programs? lull-hf: or th not? \f\f\f\f\f