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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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National united bank has recently increased the bank's liquidity through securitization of existing credit card receivables. The proposed securitization includes tranches with multiple internal credit enhancements as shown in Exhibit 1 below. The total value of the collateral for the structure is USD 600 million, no lockout period, and the subordinated tranche B bond is the first loss piece:

Bond Classpar value
Senior trancheUSD 250 million
Junior tranche AUSD 200 million
Junior tranche BUSD 70 million
Subordinated tranche AUSD 50 million
Subordinated tranche BUSD 30 million
TotalUSD 600 million

At the end of the fourteenth month after the securities were issued, the underlying credit card accounts have prepaid USD 300 million in principal in addition to regularly scheduled principal and interest payments. What is the amount of the prepaid principal paid out to the holders of the junior tranche A bond class?

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