Question
A loan pool has 80 loans with $1 Million par value and a fixed coupon rate of 7%. The par value for the senior and
A loan pool has 80 loans with $1 Million par value and a fixed coupon rate of 7%. The par value for the senior and equity tranches is 75% and 15%, respectively. Remaining portion is for junior tranche. There were six defaults with recovery rate of 20% at the end of the period. 70 loans survived during the year. The value of trust account at the beginning is $5 Million, earning 4% per annum. Based on this information, determine the terminal cash flows to senior, junior and equity tranches.
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Bank Management
Authors: Timothy W. Koch, S. Scott MacDonald
8th edition
1133494684, 978-1305177239, 1305177231, 978-1133494683
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