答案和详解如下： 6． accordance with the senior prepayment percentage presented in Table 1, if prepayments on a $50 million offering in month 30 are $2 million, the amount paid to the senior tranche is: A) $2 million. B) $1 million. C) $5 million. D) $50 million. The correct answer was A) If prepayments in month 30 total $2 million, the amount paid to the senior tranche in accordance with Table 1 senior prepayment percentage is $2 million. 7．ing the information above what is the amount of the loss for each tranche if losses due to default over the life of the structure total $7.5 million. A) Total loss Senior $0.0, Subordinated 1 $0.0, Subordinated 2 $7.5. B) Total loss Senior $0.0, Subordinated 1 $2.5, Subordinated 2 $5.0. C) Total loss Senior $7.5, Subordinated 1 $0.0, Subordinated 2 $0.0. D) Total loss Senior $2.5, Subordinated 1 $0.0, Subordinated 2 $2.5. The correct answer was A) The total loss is first applied to the subordinate tranche 2. Since $7.5 million is less than subordinated tranche 2 there is no loss for subordinated tranche 1 or the senior tranche. 8．ing the information above what is the amount of the loss for each tranche if losses due to default over the life of the structure total $25.0 million. A) Total loss Senior $2.5, Subordinated 1 $2.5, Subordinated 2 $15.0. B) Total loss Senior $0.0, Subordinated 1 $15.0, Subordinated 2 $10.0. C) Total loss Senior $25.0, Subordinated 1 $0.0, Subordinated 2 $0.0. D) Total loss Senior $5.0, Subordinated 1 $5.0, Subordinated 2 $10.0. The correct answer was B) The total loss is first applied to the subordinate tranche 2. With a $25 million loss subordinated tranche 2 is completely liquidated to pay losses and the next $15 million in losses are applied to subordinated tranche 1 leaving it with a balance of $0 million. 9．ppose that the collateral for an asset-backed securities structure has a gross weighted average coupon of 10.50 percent. The servicing fee is 50 basis points. The tranches issued have a weighted average coupon rate of 8.5 percent. What is the excess servicing spread? A) 1.50%. B) 2.50%. C) 0.75%. D) 1.00%. The correct answer was A) The excess servicing spread is determined as follows:
| Gross weighted average coupon
| =
| 10.50%
| -
| Servicing fee | =
| 0.50%
|
| Spread available to pay tranches
| =
| 10.00%
| -
| Net weighted average coupon | =
| 8.50%
| Excess servicing spread.
| =
| 1.50% = 150 bps.
|
10．There are several types of external credit enhancements. All of the following are examples of external credit enhancements EXCEPT: A) corporate guarantees. B) setting aside reserve funds. C) letters of credit. D) bond insurance. The correct answer was B) Setting aside reserve funds is an example of internal, not external credit enhancement. | 
发表于 2008-5-20 15:19
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