Abc

问题如下：

King Motors Acceptance Corporation (KMAC), the finance arm of KingMotors, issues an auto-loan asset-backed security that consists of a seniortranche, denoted Tranche A in the amount of $50 million and an interest paymentof 5 percent, and two subordinated tranches, denoted Tranches X and Zrespectively, each with a face amount of $35 million. Tranche X pays investorsannual interest at a rate of 6.5 percent while Tranche Z pays investors annualinterest at a rate of 7.5 percent. Which of the following methods of creditsupport would NOT affect the credit quality of subordinated Tranche X?

选项：

A.The total amount of the auto loans that make up theasset-backed issue is $125 million.

B.The weighted average interestrate on the auto loans making up the pool is 6.4 percent.

C.Any defaults on the part ofKing Motor’s customers will be first absorbed by Tranche Z.

D.KMAC has a reserve in theamount of $10 million that will remain on KMAC’s balance sheet.

解释：

An investor’s claimwhen purchasing an ABS is solely with the ABS and no longer with theoriginator. The fact that KMAC has $10 million set aside means nothing for theABS issue if it remains on KMAC’s balance sheet and is not part of the ABSissue. The other answer choices all describe forms of credit support that willsupport at least Tranches X and A, if not all 3 tranches. By having Tranche Zbe subordinate to Tranche X, Tranche X has additional support. Also, loans of$125 million are used to back asset-backed securities worth ($50 + $35 + $35) =$120 million, which means the issue, is over-collateralized. The weightedaverage interest rate paid on the securities is approximately 6.2%. If theweighted average interest rate on the loans that make up the pool is 6.4% thatmeans there is an excess spread between the loans and securities that alsoprovides support for the entire issue.