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Friday, April 13, 2012

Friday, April 13, 2012. Example. Security 1: Responsible for losses between 50% and 100% of principal: Rating AAA. X. Security 2: Responsible for losses between 0% and 50% of principal: Rating BBB.

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Friday, April 13, 2012

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  1. Friday, April 13, 2012

  2. Example Security 1: Responsible for losses between 50% and 100% of principal: Rating AAA X Security 2: Responsible for losses between 0% and 50% of principal: Rating BBB Portfolio X has a principal of $100 million and a 2% chance of a loss over the next five years. It is rated BBB

  3. Further Securitization Security 1: Responsible for losses between 50% and 100% of principal: Rating AAA Security 2: Responsible for losses between 20% and 50% of principal: Rating AA X Security 3: Responsible for losses between 0% and 20% of principal: Rating BBB

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