Blended Margin CMBS
Can someone please help me understand the Blended margin on a CMBS. I realise it is the pricing margin on tranches over EURIBOR/LIBOR but cannot quite figure out how they come to it on the following cap structure. The blended margin is 232 bps. Many thanks.
CLASS SIZE(€M) Rating(D/F)^ Margin Iss.Px
A 190,000 [AA-/A+] +115 100.00
B 80,000 [A-/A-] +175 100.00
C 33,500 [BBB-/BBB-] +245 100.00
D 39,000 [BB/BB-] +465 100.00
E 43,100 [B+/B] +675 99.75
Z 18,210 [NR/NR] N/A N/A
Total 403,810
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