Question
Class Size CE A 700,000 30.00% AJ 100,000 20.00% B 35,000 16.50% C 40,000 12.50% D 25,000 10.00% E (first loss) 100,000 Assume the above
| Class | Size | CE |
| A | 700,000 | 30.00% |
| AJ | 100,000 | 20.00% |
| B | 35,000 | 16.50% |
| C | 40,000 | 12.50% |
| D | 25,000 | 10.00% |
| E (first loss) | 100,000 |
Assume the above deal has 450mm loans default with a 30% loss severity.
a) What are the total losses on the defaulted loans and how much principal was recovered?
b) Which classes take losses and how much?
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Fundamentals of Investing
Authors: Scott B. Smart, Lawrence J. Gitman, Michael D. Joehnk
12th edition
978-0133075403, 133075354, 9780133423938, 133075400, 013342393X, 978-0133075359
