Baridhi Malakar was PGDBM passout from XLR in !"#$ and he %oined
&'endusCapital P't( Ltd( Mum)ai throu*h Campus Placement( +e
was taken as a traineein the Structured product di'ision since he
attended a course on ,Structured
Finance- at XLR (&fter the initial trainin* is o'er Baridhi
was asked )y his senior Mr( Despande toprepare a draft CD. scheme
for a client who is *oin* to in'est in home loans of/ scheduled
commercial )anks( Mr( Despande wants Baridhi to *enerate'arious
options for the client so that the latter can make up his
mind(Details of Loans to )e in'ested in 0Sl( 1o 1ame of BankSi2e
&'*( tenure &'*( nterest#( Bank X #34 m #!(/ years ##(!45!(
Bank 6 !#4 m ##($ years 3(/4 57( Bank 8 !9: m #$(7 years #!(""
5
$( Bank & 749 m #9(4 years #!(4" 54( Bank B #/4 m #!(4 years
#"(!4 59( Bank C !#" m 3 years 3 5/( Bank D 7"4 m #7 years ## 5
6ou ha'e to assume that prepayment rate on the portfolio will )e
"(4 5startin* from the 9th month and *oin* up to 4 5 in $"th month(
;he default
rate on the portfolio will )e "(# 5 each month startin* from 7rd
month andreco'ery of the defaulted amount occurs < 9" 5 after 7
months from thedefault(
#( Prepare a pass throu*h structure assumin* 7 tranches with
senior=me22anine and %unior with $"5= 7"5 and 7"5 of the issue
si2e( Show timetranchin*= risk tranchin* >assumin* the
proportionate risk sharin*? and
prepayment tranchin*(!( &lso su**est the credit enhancement
structure in a pay throu*h structure if
