A certain mortgage pool has $900 million in par value. The senior ("A") tranche has 25% credit support, and the next lev

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A Certain Mortgage Pool Has 900 Million In Par Value The Senior A Tranche Has 25 Credit Support And The Next Lev 1 (41.7 KiB) Viewed 43 times

A certain mortgage pool has $900 million in par value. The senior ("A") tranche has 25% credit support, and the next level ("B") has 15% credit support. How much par value will be lost by each tranche when 30% of the underlying pool par value defaults? Excel Link: Excel Sheet.xlsx 30% pool defaults will cause no loss of par to either A or B tranches 30% pool defaults will wipe out B tranche completely and cause A tranche to lose nothing 30% pool defaults will wipe out B tranche completely and cause A tranche to lose 5% of $900 million, or $45 million 30% pool defaults will wipe out B tranche completely and cause A tranche to lose 10% of $900 million, or $90 million