ehetPage 3 of 4 Previous page Imagine an ABS that has been created from $200 mil

Question

ehetPage 3 of 4 Previous page Imagine an ABS that has been created from $200 million in underlying assets. These assets have been carved out into 3 tranches, which are going to be sold to investors Particular details are below: Tranche: Face Yalue Senior Mezzanine Equity If there was a change in the value of the assets, and instantly $40 million of principal was w Rate: 5% 12% 25% $125 million $50 million $25 million what percentage of the mezzanine tranche would survive? (to one decimal place) Answer Previous page imagine an ABS that has been created from $200 million in underlying assets. These assets have been carved out into 3 tranches, which are going to be sold to investors. Particular details are below: Tranche: Senior Mezzanine Equity If there was a change in the value of the assets, and instantly $80 milion of principal was wni Rate: 5% 12% 25% Face Value $125 million $50 million $25 million what percentage of the mezzanine tranche would survive? Answer 7.2 Previous page Imagine an ABS that has been created from $200 million in underlying assets. These assets have been carved out into 3 tranches, which are going to be sold to investors. Particular details are below: Rate: 5% Face Value: $128 million Senior

Explanation / Answer

For 40 mn loss equity will lose out all of $25 million and mezzanine will ose out $15 million
Mezzanine surviving = 35/50= 70%

In this case whole of equity and mezzanine will be wiped out, hence zero percent will survive

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