What is the implied credit spread on the pool

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Reference no: EM13936467

1. What are the payoffs for each tranche?

2. What are the prices for each tranche?

3. What is the yield for each tranche?

4. You are evaluating a mortgage pool and want to understand what the credit spread implied by the underlying loans should be. Annual default frequencies are shown. LGD is 40 percent and the risk-free rate is 2.5 percent. What is the implied credit spread on the pool?

Reference no: EM13936467

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