NO.PZ2020033003000110
问题如下:
Auto loan asset-backed securities (ABSs) have a face value of $6 million and pay an average coupon of 4.2%. The value of the auto loans is $6.8 million with an average interest rate of 4.5% and service fee of 0.3%. Which of the following credit enhancement is involved with this transaction?
选项:
A.Excess spread.
B.Margin step-up.
C.Subordinating note classes.
D.Overcollateralization.
解释:
D is correct.
考点:Credit enhancement
解析:
The value of the asset pool is $6.8 million, which is greater than $6 million, the value of the securities. This is overcollateralization.
4.2% = 4.5% - 0.3% (service fee), so no excess spread involved.
怎么看出来的