Question
Consider a CMBS deal based on a $100 million pool of commercial mortgages, comprised of 10 identical size loans. Each mortgage is a three-year, 10%
Consider a CMBS deal based on a $100 million pool of commercial mortgages, comprised of 10 identical size loans. Each mortgage is a three-year, 10% interest-only, annual payment balloon loan. Each loan has an 80% loan-to-value ratio. The mortgage pool has been carved into three tranches of bond as follows plus IO (Interest Only) tranche.:
anches A B C IO Par Value $50 $20 $30 NA Coupon 8% 9% 10% -
IO receive their coupon payments from extra interest cash owe in the pool. Each tranche is a claim to a certain amount of principal, plus interest on that principal. This old style CMBS has no prepayment penalties. Assume defaults happen every year before paying interest and principal. No sale for foreclosed houses.
Please fill the following table for cash flows if no default or prepayment (5 points)
Year1 | Year2 | Year3 |
Principal Interest | Principal Interest | Principal Interest |
A | ||
B | ||
C | ||
IO |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started