Question: 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

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

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/lnvestment Grade CMBS) with coupon rate 5\% - $7 M 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 SPV/issuer is only able to collect payments and sell the underlying collateral for a total of $18M. In 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

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