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粉红战狼 · 2022年05月28日

答案解释里面错了吧

NO.PZ2020033003000037

问题如下:

Suppose that Pomegranate Bank has an asset pool with 300 identical loans, each with a principal of 100,000 US dollars, the current loan interest rate is 8%, the current libor is 3.5%. Senior, mezzanine and equity tranche account for 65%, 25%, 10% respectively of the pool. The spreads of the senior and mezzanine tranches are 2.5% and 4.5%, respectively. Excess cash flow will be saved in excess trust account above $ 500,000. Assuming that the default rate for this period is 9%, The cash flows to the mezzanine and excess trust account are:

选项:

A.$1,170,000 and $0

B.$600,000 and $0

C.$1,170,000 and $414,000

D.$600,000 and $414,000

解释:

B is correct.

考点: Waterfall Structure

解析:首先计算这一期利息的总额是8%*300*100,000*(1-9%)=$2,184,000。

senior tranche得到30,000,000*65%*(3.5%+2.5%)=$1,170,000

mezzanine tranche得到30,000,000*25%*(3.5%+4.5%)=$600,000

还剩$414,000因为小于$500,000,所以不会存到excess trust account。

应该用2184000,而不是30000000

1 个答案

DD仔_品职助教 · 2022年05月29日

嗨,努力学习的PZer你好:


解析是没有问题滴

2184k是300个贷款,每个本金100k可以收到的总利息。

在计算senior层级的利息的时候要用300个贷款*100k作为本金来计算,不是基于收到的利息来计算的。

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努力的时光都是限量版,加油!

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