Compare to that of the overall mortgage pool

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Reference no: EM131980967

A certain CMBS is collaterized by a group of properties worth $142,857,000 and has an overall LTV ratio of 70% a weighted average coupon (WAC) of 10% and a weighted average maturity (WAM) of 1.5 years. There are two tranches in this CMBS, an A tranche with 25% credit support and a B tranche with no credit support ( a first-loss tranche)

1. What LTV ratio in a first mortage whole loan issance would correspond to the default risk structure of each tranche?

2. What happens to each tranche if defaults in the amount of $20M occur? How about $30M?

3. What happens to each tranche if $20M of debt is retired or prepaid? Focus also on credit support of senior tranches

4. How does the WAM of each tranche compare to that of the overall mortgage pool?

5. Supposed the risk structure of the A tranche commands a coupon of 5% while that of the B tranche commands a coupon of 10%. What is the total coupon payment per year to the holders of each tranche?

Reference no: EM131980967

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