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还是星宇好 · 2020年10月19日

问一道题:NO.PZ2016082405000037

问题如下:

Assume there are 100 identical loans with a principal balance of $500,000 each. Based on a credit analysis, a 300 basis point spread is applied to the borrowers. LIBOR is currently 4% and the coupon rate will reset annually. The senior, junior, and equity tranches are 75%, 20%,and 5% of the pool, respectively. The spreads on the senior and mezzanine tranches are 2% and 6%. Excess cash flow is diverted above $1,000,000. Assume the default rate is 2%. What are the cash flows to the mezzanine and excess trust account in the first period?

选项:

Mezzanine
Trust account
A.
$1,000,000
$0
B.
$1,000,000
$180,000
C.
$2,250,000
$200,000
D.
$2,250,000
$250,000

解释:

A The interest rate on the loans = 4% (LIBOR) + 3% (spread) = 7%. Therefore, the total

collateral cash flows in the first period = 100 x $500,000 x 7% x (1 - 0.02) = $3,430,000. The senior tranche receives $50 million x 0.75 x (4% + 2%) = $2,250,000. Similarly, the mezzanine tranche receives $50 million x 0.20 x (4% + 6%) = $1,000,000. Next, the residual cash flows are calculated: $3,430,000 - $2,250,000 - $1,000,000 = $180,000. Since $180,000 < $1,000,000, all cash flows are claimed by the equity investors and there is no diversion to the trust account.

Excess cash flow is diverted above $1,000,000老师,超过1000000的现金流被转移,是超过1,000,000的给Equity,还是E q最多只能拿1,000,000

1 个答案

袁园_品职助教 · 2020年10月19日

同学你好!

Equity 最多拿1m,当超过1m时才会放到trust account中