Excess cash flow is diverted above $1,000,000

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：

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.