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me that $100 m Tace Value of MBS were used to create the following tranches issued by Quick Money SPV: Bond Amount in million
me that $100 m Tace Value of MBS were used to create the following tranches issued by "Quick Money" SPV: Bond Amount in million Allocation in % Risk weights for CAR Rating (APRA APS 120) Aaa $ 30 20% Aa1 $ 20 20% Aa2 $ 10 20% Aa3 $5 20% A1 $5 50% A2 $ 5 50% A3 $5 50% Baa1 $5 100% Baa2 $ 5 100% Baa3 $5 100% Ba1 $ 5 350% a) BIG Bank invested in the Quick Money Aaa and Ba1 tranch (see balance sheet. Calculate its risk weighted assets and evaluate if its capital buffer was consistent with a 10 percent minimum capital adequacy ratio at the time of the initial purchase.
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