Consider the following typical non-Agency MBS. Suppose the pool suffers losses of $16m, with a loss...

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Consider the following typical non-Agency MBS. Suppose the pool suffers losses of $16m, with a loss given default of 75%. Write the ending balances for each segment. AAA AA A BBB Excess Interest Overcollateralization Beginning Balance ($m) 85 3 33 3 .5 4.5 Ending Balance ($m) Consider the following typical non-Agency MBS. Suppose the pool suffers losses of $16m, with a loss given default of 75%. Write the ending balances for each segment. AAA AA A BBB Excess Interest Overcollateralization Beginning Balance ($m) 85 3 33 3 .5 4.5 Ending Balance ($m)

Answer rating: 100% (QA)

To calculate the ending balances for each segment we need to deduct the losses from the beginning ba... View the full answer