For this question please consider a $10yr$ Fixed rate $K$ deal with $1$ bn in underlying loans. All loans are $10yr$ term with $9\mathrm{.}75$ years of defeasance. For simplicity assume the super seniors A$1/$A$2$ is just one class $($Class A$).$

Part $1$

Please illustrate the payment and loss waterfalls on the $3$ classes $($Class $A,AM,D?$

Part III

Assuming the standard post$-$covid structure, what sizes would you expect the different classes to be $(A,AM,D?$

Part III

Assume the deal experiences $50mm$ in defaults with with $18\%$ loss severity. What losses would class D take? What payments would Class A receive?

Part IV

Assume instead that the deal recsives $200mm$ in voluntary prepayments. What is the defeasance adjusted credit support of the AM class now?