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ACMO is issued from a 300 mil. pool of mortgages. It has 4 tranches listed below. 28.5 million in losses are incurred in the pool

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ACMO is issued from a 300 mil. pool of mortgages. It has 4 tranches listed below. 28.5 million in losses are incurred in the pool of mortgages. (Assume no principal repayments have occurred.) AAA-rated Tranche $200 million A-rated Tranche $ 50 million B-rated Tranche $ 25 million Unrated Equity Tranche $ 25 million What is the loss rate on the B-rated Tranche? 0.00 9.50X 14.00% 100 DOX

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