41% of the outstanding loan pool has been delinquent for 90 or more days. assuming that the borrowers behind these mortgages never pay the lender ultimately forecloses on the properties, estimate the principal writedowns that the pool will eventually experience, assuming a recovery rate of 70%. what will be the effect on tranch B? tranch m2?

Tranch B:

original balance = $1,675,000

beginning balance = $1,363,469.45

current losses = $372,519.94

cumulative losses = $684,050.48

ending class balance = $990,949.51

initial interest rate (%) = 8.00

initial rating = not rated

Tranch M2:

original balance = $18,094,000.00

beginning balance = $1,4,055,802.61

scheduled principal repayment = $885,679.13

extra principal repayment = $79,203.40

ending class balance = $13,077,354.44

initial interest rate (%) = 3.35

initial rating = A

source: betting on failure: profiting from defaults on subprime mortgages (kellogg)