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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. - PowerPoint PPT Presentation
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Friday, April 13, 2012
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Example Portfolio X has a principal of $100 million and a 2% chance of a loss over the next five years. It is rated BBB
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X
Security 1:Responsible for losses between 50% and100% of principal: Rating AAA
Security 2:Responsible for losses between 0% and 50% of principal: Rating BBB
Further Securitization
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Security 1:Responsible for losses between 50% and100% of principal: Rating AAA
Security 2:Responsible for losses between 20% and50% of principal: Rating AA
Security 3:Responsible for losses between 0% and20% of principal: Rating BBB
X
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