Bond Class Par Value Credit Rating

Class A $150,000,000 AAA

Class B $ 50,000,000 AA

Class C $ 25,000,000 A

Total $ 175,000,000

9) At what level of loss would Class B experience a loss?

a) $25MM

b) $26MM

c) $75MM

10) The creation of a bond classes with a waterfall structure for sharing losses is referred to as:

a) Credit Tranching

b) Time Tranching

c) Excess Reserves

11) How would this structure above best be described?

a) A pool of conforming mortgages as collateral.

b) Senior/Subordinated Structure.

c) All classes are guaranteed by a government-sponsored enterprise (GSE).

12) The following feature of this commercial mortgage-backed security has most likely improved its credit rating?

a) Balloon payments.

b) Call Protection.

c) Subordination.