NO.PZ2020033003000037
问题如下：
Suppose that Pomegranate Bank has an asset pool with 300 identical loans, each with a principal of 100,000 US dollars, the current loan interest rate is 8%, the current libor is 3.5%. Senior, mezzanine and equity tranche account for 65%, 25%, 10% respectively of the pool. The spreads of the senior and mezzanine tranches are 2.5% and 4.5%, respectively. Excess cash flow will be saved in excess trust account above $ 500,000. Assuming that the default rate for this period is 9%, The cash flows to the mezzanine and excess trust account are:
选项：
A.$1,170,000 and $0 B.$600,000 and $0 C.$1,170,000 and $414,000 D.$600,000 and $414,000解释：
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%)=$1,170,000
mezzanine 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 and equity 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？
