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比夏 · 2024年11月12日

不会存到excess trust account的现金流怎么用？

  1. FRM II
  2. Credit Risk Measurement And Management

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。

还剩$414,000因为小于$500,000，所以不会存到excess trust account。

——这部分金额怎么用呢？

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1 个答案

pzqa27 · 2024年11月12日

嗨，爱思考的PZer你好：


一般会给equity tranche。

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努力的时光都是限量版，加油！

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