c. If Big Bank would have invested $20 directly into MBS (the same type of loans as Quick Money) and 15% of the underlying loans would have defaulted, the loss for Big Bank would have been exactly $...

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Extracted text: c. If Big Bank would have invested $20 directly into MBS (the same type of loans as Quick Money) and 15% of the underlying loans would have defaulted, the loss for Big Bank would have been exactly $ This would have been (better / worse) than the investment in the tranches. d. Continue with your balance sheet from b) after the losses. If Big Bank would swap all its loans against Quick Money A3 tranches, its RWA would change to $ (no rounding!). Check if Big Bank is now achieving its minimum CAR of 10% again.


Extracted text: Assets Liabilities and equity Cash $10 Demand $90 deposits Quick Money Aaa $15 Equity $10 tranche Quick Money Ba1 $5 tranche Loans (risk weight 100%) $70