Question: Same as Question 4, consider a CMBS with the following characteristic:... QUESTION5 Same as Question 4, consider a CMBS with the following characteristics: -Backed by

Same as Question 4, consider a CMBS with the following characteristic:...

QUESTION5 Same as Question 4, consider a CMBS with the following characteristics: -Backed by $20M mortgages, 7% interest, 5-yr maturity, IO annual payments, no servicer fee There are three tranches issued: . $13M Tranche A (Senior/Investment Grade CMBS) with coupon rate 596 $7M Tranche B (Junior/ Non-investment Grade CMBS) with coupon rate 6% IO residual tranche (no extra collateral, but collects extra interest) Assume no defaults. What is the cash flow to Tranche B in year 5? 7420000 QUESTION6 Same as Question 4, consider a CMBS with the following characteristics: -Backed by $20M mortgages, 7% interest, 5-yr maturity, IO annual payments, no servicer fee - There are three tranches issued: . $13M Tranche A (Senior/Investment Grade CMBS) with coupon rate 5% $7M Tranche B (Junior/ Non-investment Grade CMBS) with coupon rate 6% IO residual tranche (no extra collateral, but collects extra interest) Now consider a situation where there is a recession in year 5. The SP issuer is on y able to collect payments and sel the under other words, it only has $18M to disburse to its investors in year 5. In this scenario, what is the cash flow to Tranche B in year 5? ng colateral rat a ofST L , QUESTION5 Same as Question 4, consider a CMBS with the following characteristics: -Backed by $20M mortgages, 7% interest, 5-yr maturity, IO annual payments, no servicer fee There are three tranches issued: . $13M Tranche A (Senior/Investment Grade CMBS) with coupon rate 596 $7M Tranche B (Junior/ Non-investment Grade CMBS) with coupon rate 6% IO residual tranche (no extra collateral, but collects extra interest) Assume no defaults. What is the cash flow to Tranche B in year 5? 7420000 QUESTION6 Same as Question 4, consider a CMBS with the following characteristics: -Backed by $20M mortgages, 7% interest, 5-yr maturity, IO annual payments, no servicer fee - There are three tranches issued: . $13M Tranche A (Senior/Investment Grade CMBS) with coupon rate 5% $7M Tranche B (Junior/ Non-investment Grade CMBS) with coupon rate 6% IO residual tranche (no extra collateral, but collects extra interest) Now consider a situation where there is a recession in year 5. The SP issuer is on y able to collect payments and sel the under other words, it only has $18M to disburse to its investors in year 5. In this scenario, what is the cash flow to Tranche B in year 5? ng colateral rat a ofST L

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