KIC000034 - ,.-_. - Market Value Transactions - (continued)

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,...---------------------------------------------_. ---- Market Value Transactions (continued) »- (jvercollateralizatten Tests Suppose thaI the collateral consistS of three asset types with !he assumed advance ratings for the particular raring sought for a tranche: - Advance ll:nf' l),gO' " O,7~ 01l} Perfunni. .lll. Higb·Yield~'.:\l. .alti! Baa l51) minion Penormin,g High-Yield Ikrnds Rmed B DO millioo Perfunning ·Hillh- Yocld B<, ><l!; v.,rutd Below CIa 120.mil1ion The market value of the collateral is S!(t{I million. The adjusted market value thai must be used in the nverccllateralization tests for thi~ tnwch" would then be found by multiplying the market value of idl asset type by the advlII1ce rate and then summing (wer all asset 1ypes. So. for our hypothetical collateral, the adjusted market value is found es follows' ($50M O.HO)+(S30M 0.75) + (S20Mx 0.70):< S76,500,000 ~,>',,.,. .,.,"O. .. ,,' ' ,·J·,~' ' '_' ' ."~"". .,u!·"""""'"~1
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This note was uploaded on 09/06/2011 for the course FIN 428 taught by Professor Hood during the Fall '11 term at Iowa State.

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KIC000034 - ,.-_. - Market Value Transactions - (continued)

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