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良爱洳 · 2021年11月18日

问一道题:NO.PZ2020033003000110 [ FRM II ]

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:

A.

Excess spread.

B.

Margin step-up.

C.

Subordinating note classes.

D.

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.

想问下选项A B D中的名词定义 对应是在讲义第几页有讲解?
1 个答案

品职答疑小助手雍 · 2021年11月18日

同学你好,在讲义440-442页。