Question: 1 ) A $ 1 0 0 ( principal value ) , multi - borrower ( multi - mortgage ) CMBS conduit bond securitization is
A $principal value multiborrower multimortgage CMBS conduit bond securitization is issued. The Rating Agencies assign a subordination level to the BBB rated bonds of Only one interestonly loan, with a principal balance of $ has problem over the life of the bond deal. The B Piece buyers modeling, which assessed a POD for that loan, and an LGDLoss Severity for that loan of proved correct. What was the total principal the BPiece buyer received when the bonds it purchased paid off, at maturity?
a $
b $
c $
d cents on the dollar, or $ whichever is greater.
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