Question: For this question please consider a 10yr Fixed rate K deal with 1bn in underlying loans. All loans are 10yr term with 9.75 years of

For this question please consider a 10yr Fixed rate K deal with 1bn in underlying loans. All loans are 10yr term with 9.75 years of defeasance. For simplicity assume the super seniors A1/A2 is just one class (Class A).

Part 1

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

Part II

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 receives 200mm in voluntary prepayments. What is the defeasance adjusted credit support of the AM class now?

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

For this question please consider a 1 0 yr Fixed rate K deal with 1 bn in underlying loans. All loans are 1 0 yr term with 9 . 7 5 years of defeasance. For simplicity assume the super seniors A 1 / A...

For this question please consider a 1 0 y r Fixed rate K deal with 1 bn in underlying loans. All loans are 1 0 y r term with 9 . 7 5 years of defeasance. For simplicity assume the super seniors A 1 /...

Which Agency CMBS program requires the lender to retain some of the guarantee risk in event of default? FNMA DUS Freddie K SBIC GNMA Project Loans What is the combined issuance cap for Fannie and...

Consider a 100mm CMBS loan with a 10yr term, 3.50 note rate and full term interest only. If the loan has 9.5 years of yield maintenance and 10yr US Treasury yields at 4.50%, what would you expect the...

Assignment 1: Forwards and Futures, Interest Rate Derivatives and Swaps Due: Monday, February 15, 2015 All assignments are due on Monday 15th February 2015 by 6:00 p.m. at the latest. Late...

Dear Dr Fids, Can you please help these questions? It is about MBS cash flow. R Generating MBS cash flows can be messy so we are going to write some functions in R that allows us to generate the cash...

Hi, I have a few questions to ask: 1.Consider the cash flow pattern of the CDS in Exhibit 2. One way to think about a credit default swap is that its cash flows can be replicated with long and short...

Fact Find Initial Interview: Time Date Location Referred by: A. Personal Details Applicant 1 Applicant 2 Full Name of Applicant Full Name of Applicant Mr Mrs Miss OMS Dr Mr Mrs Miss OMs Dr Full Name...

Hi, This subject is financial accounting, here is a short essay type question, approximately 5 paragraphs. ''Drawing on private interest theory, what powers do you believe the Australian Accounting...

Evaluate the potential gains and losses for forwards,future,call options,put options and swaps. Outline and describe the different risks that each type of derivative contract faces. Describe...

What information do the price/ earnings ratio and the price/ book ratio give us about the firm and its investors?

A 22.0 cm diameter coil consists of 20 turns of circular copper wire 2.6 mm in diameter. A uniform magnetic field, perpendicular to plane of the coil, changes at a rare of 8.65 x 103 T/s Determine...

Suppose that you work in a retail shop, in which percent of retail price markup is 5 0 % . Your retail price for a wallet is $ 1 5 0 . What is your cost for the item? $ 7 5 $ 5 0 $ 2 0 0 $ 1 0 0

Add "Viggo Mortenslet cast = new Map ( ) ;en " to the cast as the key, with value "Aragorn".