BBB
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pls run breakevens using 100% severity, 10%cpr, pricing speed,
and 40%cpr. run these 3 scenarios to forward libor and forward
libor+200. pls sho me the break cdr and cum losses. thx
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Please run cashflows to maturity with 0% advancing, triggers fail, a 6-month lag for newly originated loans.
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Interest Rate CPR Severity CDR Cum Net Loss Principal Writedown (if any)
Forward Libor 10% 100% 4.1% 22.8% 0
Forward Libor pricing speed 100% 4.7% 14.0% 0
Forward Libor 40% 100% 5.1% 9.1% 0
Forward Libor + 200 10% 100% 2.5% 15.0% 0
Forward Libor + 200 pricing speed 100% 3.0% 9.3% 0
Forward Libor + 200 40% 100% 3.5% 6.4% 0
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