Consider a CMBS backed by a 80% LTV loan of a $50,000,000 office building. The loan is
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Question:
Consider a CMBS backed by a 80% LTV loan of a $50,000,000 office building. The loan is interest only with an 8% mortgage rate issued for 3 years with monthly payments. TheCMBS is issued with 37.5% subordination with a coupon rate on the senior tranche equal to 5% and coupon rate on the junior tranche equal to 7%. An interest only residual carrying no principal will be issued as well (Same as Questions 9 and 10).
Suppose that in month 15 the borrower defaults on the underlying loan. After foreclosure 60% of property value is recouped. How much does tranche B receive in month 15? Assume that all the interest was paid for the month of default.
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