1. Explain the waterfall type i.e. priority of payments.

2. Calculate the Initial Pool Balance.

3. Find out all the Credit Enhancement types and the amount available to each tranche.

 4. Using BOTE method to determine the Expected Loss to each tranche.

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Principal Balance:. Note Rate Per Annum: Interest Accrual Method: First Payment Date: Maturity Date:. Anticipated Ratings: Moody's Standard & Poor's Fitch IBCA Duff & Phelps.. Class A-1 Notes $70,680,000 6.1713% actual/360 9/23/99 9/23/00 P-1 A-1+ F1+/AAA D-1+ Class A-2 Notes $89,300,000 6.5400% 30/360 9/23/99 7/23/02 Aaa AAA AAA AAA Class A-3 Notes $75,620,000 7.1200% 30/360 9/23/99 8/23/03 Aaa AAA AAA AAA Class A-4 Notes $112,100,000 7.3200% 30/360 9/23/99 1/23/07 Aaa AAA AAA AAA Class B Notes $13,300,000 8.4100% 30/360 9/23/99 1/23/07 N/A N/A BBB BBB Class C Notes $4,750,000 9.0000% 30/360 9/23/99 1/23/07 N/A N/A BB BB Principal Balance:. Note Rate Per Annum: Interest Accrual Method: First Payment Date: Maturity Date:. Anticipated Ratings: Moody's Standard & Poor's Fitch IBCA Duff & Phelps.. Class A-1 Notes $70,680,000 6.1713% actual/360 9/23/99 9/23/00 P-1 A-1+ F1+/AAA D-1+ Class A-2 Notes $89,300,000 6.5400% 30/360 9/23/99 7/23/02 Aaa AAA AAA AAA Class A-3 Notes $75,620,000 7.1200% 30/360 9/23/99 8/23/03 Aaa AAA AAA AAA Class A-4 Notes $112,100,000 7.3200% 30/360 9/23/99 1/23/07 Aaa AAA AAA AAA Class B Notes $13,300,000 8.4100% 30/360 9/23/99 1/23/07 N/A N/A BBB BBB Class C Notes $4,750,000 9.0000% 30/360 9/23/99 1/23/07 N/A N/A BB BB

Answer rating: 100% (QA)

1 Waterfall type also known as a waterfall of payments is a priority system for allocating payments among different classes of creditors or investors ... View the full answer