问一道题：NO.PZ2020033003000037 [ FRM II ]

NO.PZ2020033003000037 问题如下 Suppose thPomegranate Bank hasset pool with 300 inticloans, eawith a principof 100,000 US llars, the current lointerest rate is 8%, the current libor is 3.5%. Senior, mezzanine anequity tranche account for 65%, 25%, 10% respectively of the pool. The sprea of the senior anmezzanine tranches are 2.5% an4.5%, respectively. Excess cash flow will savein excess trust account above $ 500,000. Assuming ththe fault rate for this periois 9%, The cash flows to the mezzanine anexcess trust account are: A.$1,170,000 an$0 B.$600,000 an$0 C.$1,170,000 an$414,000 $600,000 an$414,000 B is correct.考点 Waterfall Structure解析首先计算这一期利息的总额是8%*300*100,000*（1-9%）=$2,184,000。senior tranche得到30,000,000*65%*(3.5%+2.5%)=$1,170,000mezzanine tranche得到30,000,000*25%*（3.5%+4.5%）=$600,000还剩$414,000因为小于$500,000，所以不会存到excess trust account。 算Senior, mezzanine anequity tranche利息的时候，什么时候用总金额算，什么时候用各自tranche的金额算？

NO.PZ2020033003000037问题如下 Suppose thPomegranate Bank hasset pool with 300 inticloans, eawith a principof 100,000 US llars, the current lointerest rate is 8%, the current libor is 3.5%. Senior, mezzanine anequity tranche account for 65%, 25%, 10% respectively of the pool. The sprea of the senior anmezzanine tranches are 2.5% an4.5%, respectively. Excess cash flow will savein excess trust account above $ 500,000. Assuming ththe fault rate for this periois 9%, The cash flows to the mezzanine anexcess trust account are: A.$1,170,000 an$0B.$600,000 an$0C.$1,170,000 an$414,000$600,000 an$414,000 B is correct.考点 Waterfall Structure解析首先计算这一期利息的总额是8%*300*100,000*（1-9%）=$2,184,000。senior tranche得到30,000,000*65%*(3.5%+2.5%)=$1,170,000mezzanine tranche得到30,000,000*25%*（3.5%+4.5%）=$600,000还剩$414,000因为小于$500,000，所以不会存到excess trust account。 应该用2184000，而不是30000000