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Assume the originator securitizes a $100 million loan portfolio that pays LIBOR plus 200 bps. Senior expenses of the SPE amount to 20 bps. The SPE issues only two classes of securities: senior debt with face value of $90 million and subordinated debt with face value of $10 million, such that the subordinated debt “functions as equity”. The coupon on the senior debt is LIBOR plus 100 bps.

The subordinated debt (equity) gets an interest rate equal to the realized net excess spread. What is the net excess spread?

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A) $10 million × (LIBOR 3%)

B) $10 million × (LIBOR 5%)

C) $10 million× (LIBOR 7%)

D) $10 million ×(LIBOR 9%)

答案：D

解析：Excess spread = 100 million×(LIBOR +200 bps–20bps)–90 million×(LIBOR+ 100bps)=10 million×(LIBOR +9%)

King MotorsAcceptance Corporation (KMAC), the finance arm of King Motors, issues an auto-loan asset-backed security that consists of a senior tranche, denoted TrancheAin the amount of $50 million and an interest payment of 5 percent, and two subordinated tranches, denoted Tranches X and Z respectively, each with a face amount of $35 million. Tranche X pays investors annual interest at a rate of 6.5 percent while Tranche Z pays investors annual interest at a rate of 7.5 percent. Which of the following methods of credit support would NOT affect the credit quality of subordinated Tranche X?

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

B) The weighted average interest rate on the auto loans making up the pool is 6.4 percent.

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

D) KMAC has a reserve in the amount of $10 million that will remain on KMAC’s balance sheet.掃碼參與

答案：D

解析：An investor’s claim when purchasing an ABS is solely with theABS and no longer with the originator. 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 theABS issue. The other answer choices all describe forms of credit support that will support at least Tranches X andA, if not all 3 tranches. By having Tranche Z be 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 weighted average interest rate paid on the securities is approximately 6.2%. If the weighted average interest rate on the loans that make up the pool is 6.4% that means there is an excess spread between the loans and securities that also provides support for the entire issue.

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