Question: 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

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

Question:

Please display answer in the provided excel setPlease display answer in the provided excel setPlease display answer in the provided excel setPlease display answer in the provided excel setPlease display answer in the provided excel setPlease display answer in the provided excel set
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

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