问题如下图:
选项:
A.
B.
C.
D.
解释:
老师好,ABS收益:6m*5.2%=0.312m, 底层利息:6.8*5.4%=0.3672m,fee:6m*0.2%=0.012m,0.3672-0.012-0.312=0.0432,不可以视做excess spread吗?
Five tranches of auto loasset-backesecurities (ABSs) are issuewith a favalue of $6,000,000 anpaverage coupon of 5.2%. The value of the auto loans is $6,800,000, anthey have average interest rate of 5.4%. The fee for servicing the Ais 0.2%. Whiof the following cret enhancements are involvewith this transaction? Excess sprea Margin step-up. Subornating note classes. Overcollateralization. This Ais supporteovercollateralization because the value of the asset pool is greater ththe value of the securities. There is no excess spreinvolvebecause there is no fferenbetween the cash inflows from the unrlying assets anthe cash outflows in the form of interest payments on the Aissues. 你好,能举一个Margin-Step up和excess sprea例子吗
这题为什么A不对?