Question: There is a $100M property (Property A ) that will be worth either $117M with a probability of 0.4 or $93M with a probability of

There is a $100M property (Property A ) that will be worth either $117M with a probability of 0.4 or $93M with a

There is a $100M property (Property A ) that will be worth either $117M with a probability of 0.4 or $93M with a probability of 0.6 in one year. In this exercise, you will analyze the return to a non-recourse collateralized loan and the levered equity. 3. What is the lender's payoff in each state of nature at t=1 for a $95M, one-year, zerocoupon, risky, non-recourse loan (Loan B) that is collateralized by Property A? (Hint: The borrower promises to pay $95M dollars at t=1,but may strategically default on the loan.) if the property value is 117 ; if the property value is 93

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