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How much par value was issued in the b tranche

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Question: A certain mortgage pool has $1 billion in par value. The senior (A) tranche has 30% credit support, and the next level (B) has 25% credit support. How much par value of securities was issued in the A tranche? How much par value was issued in the B tranche? How much par value will be lost by each tranche in each of the following scenarios:

a. 20% of the underlying pool par value defaults.

b. 27% of the underlying pool par value defaults.

c. 33% of the underlying pool par value defaults.

Reference no: EM131735582

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