Research Article
Subprime Risk and Insurance with Regret
Table 4
Original mortgage portfolio.
| | Current funding | | | Cost of equity () | 0.25 | | Cost of subordinate debt () | 0.102 | | Cost of deposits () | 0.101 |
| | Structure | | | Cost of sen tranches () | 0.098 | | Weight of sen tranches () | 0.9 | | Maturity of sen tranches () | 10 years | | Cost of subtranches () | 0.1061 | | Weight of subtranches () | 0.1 | | Maturity of subtranches () | 10 years | | Direct costs of the structure () | 0.002 |
| | Original assets | | | Reference mortgage portfolio rate of return () | 0.102 | | Reference mortgage portfolio duration () | 7 years |
| | Outstanding balances | | | Outstanding mortgage value () | 10 000 | | Securitized mortgage value () | 6500 |
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