Question
A CMO is issued from a 200 mil. pool of mortgages. It has 4 tranches listed below. Figure out the loss rate on the A-rated
A CMO is issued from a 200 mil. pool of mortgages. It has 4 tranches listed below. Figure out the loss rate on the A-rated tranche if 12 million in losses are incurred in the pool of mortgages. (Assume no principal repayments have occurred.)
AAA-rated Tranche $140 million
A-rated Tranche $ 40 million
B-rated Tranche $ 10 million
Unrated Tranche $ 10 million
What is the loss rate on the A-rated tranche in percentage points?
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Small Business Finance And Valuation
Authors: Rick Nason, Dan Nordqvist
1st Edition
1952538122, 9781952538124
