2 8. An ABS deal has a shifting interest structure with a current shifting interest...
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2 8. An ABS deal has a shifting interest structure with a current shifting interest percentage of 75%. Suppose the current senior balance is $600 million and the subordinate balance is $200 million, current schedule principal payments are $5 million and prepayments are $36 million. a) What is the initial subordination level? b) What is the respective share of scheduled principal payments going to the senior and subordinated classes? c) What the respective share of prepayments going to the senior and suborindate classes? d) After receiving the principal cash flows (both scheduled and prepayments), what is the updated suborination level? 3 | 2 2 8. An ABS deal has a shifting interest structure with a current shifting interest percentage of 75%. Suppose the current senior balance is $600 million and the subordinate balance is $200 million, current schedule principal payments are $5 million and prepayments are $36 million. a) What is the initial subordination level? b) What is the respective share of scheduled principal payments going to the senior and subordinated classes? c) What the respective share of prepayments going to the senior and suborindate classes? d) After receiving the principal cash flows (both scheduled and prepayments), what is the updated suborination level? 3 | 2
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