Suppose that the First United Bank of America has two loans. Each is due to be repaid one period hence and has independe

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Suppose that the First United Bank of America has two loans.
Each is due to be repaid one period hence and has independent and
identically distributed cash flows. Each loan will repay $300 with
a probability of 0. 8 and $150 with a probability of 0. 2.
However,while the bank knows this,the investors cannot distinguish
this loan from that of the Third Trans America Bank which has the
same number of loans,but will pay $300 with a probability of 0. 5
and $150 with a probability of 0. 5. There is a prior belief of 0.
5 that the First UnitedBank of America has the higher-valued
portfolio. Suppose that the First United wished to securitize these
loans,and if it does so without a credit enhancement,the cost of
communicating the true value is 7. 5% of the true value. Assume
that the discount rate is zero and that everybody is risk-neutral.
What is the market value of the securitized loan if the First
United does not communicate any information to investors?