service fee不是加在average int rate上的吗？

NO.PZ2020033003000110

问题如下：

Auto loan asset-backed securities (ABSs) have a face value of $6 million and pay an average coupon of 4.2%. The value of the auto loans is $6.8 million with an average interest rate of 4.5% and service fee of 0.3%. Which of the following credit enhancement is involved with this transaction?

选项：

Excess spread.

Margin step-up.

Subordinating note classes.

Overcollateralization.

解释：

D is correct.

考点：Credit enhancement

解析：

The value of the asset pool is $6.8 million, which is greater than $6 million, the value of the securities. This is overcollateralization.

4.2% = 4.5% - 0.3% (service fee), so no excess spread involved.

所以4.5+0.3=4.8>4.2 就有了exceed spread？

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1 个答案

pzqa27 · 2025年04月01日

嗨，努力学习的PZer你好：

excess spread的本意是指我们现金的inflow大于了outflow，现在这个资产池的inflow是4.5%，outflow 是4.2%，至于这个service fee,肯定是不能算在inflow 里的，所以应该是4.2%=4.5%-0.3%.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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