senior-tranche

Hi Suppose have capital structure of senior: 100m, Mezzanine; 50m and Equity: 20m. what's credit enhancement of senior tranche? Looking for example similar or pointers on solution thanks

Hi David, Regarding AIM: Describe a waterfall structure in securitization (Malz, Chapter 9 Structured Credit risk) On page 34 of our notes could you kindly explain how the principal of 85 for senior tranche and principal of 10 for the mezzanine tranche in the example were calculated please...