Question: 1 ) A $ 1 0 0 ( principal value ) , multi - borrower ( multi - mortgage ) CMBS conduit bond securitization is

1) A $100(principal value), multi-borrower (multi-mortgage) CMBS conduit bond securitization is issued. The Rating Agencies assign a subordination level to the BBB- rated bonds of 9%. Only one interest-only loan, with a principal balance of $10, has problem over the life of the bond deal. The B Piece buyers modeling, which assessed a 20% P.O.D. for that loan, and an L.G.D.(Loss Severity) for that loan of 15%, proved correct. What was the total principal the B-Piece buyer received when the bonds it purchased paid off, at maturity?
a) $11.25
b) $9.00
c) $8.70
d)30 cents on the dollar, or $6.00, whichever is greater.

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