Tranche Ahas a fixed interest rate of 6%,
Tranche Bhas a fixed interest rate of 10%, and
Tranche Creceives any excess funds in the portfolio after
Tranches A and Bhave been paid amounts owed.
Tranche Ahas $6mm in principal has a 35% attachment point, subordinated by
Tranche B($2.5mm principal), and
Tranche C($1.5mm principal).
tranche Awith 6% interest rate is owed $6.03mm
=$6mm*[1+(6%*(30/365))]and after 365 days it is owed $6.36mm