1. Which of the following is NOT a risk for mortgage-backed securities?

Default risk

Delayed payment risk

Pass-through risk

Interest rate risk

2. Suppose a CMBS mortgage pool has an average LTV ratio of 75%, there are three tranches, the senior tranche has 30% credit support, and the mezzanine tranche has 20% credit support. Approximately what LTV ratio in a first mortgage whole loan issuance would correspond to the same default risk as the senior tranche of this CMBS issue?

48.75%

52.50%

60.00%

55.35%