hard · Asset-Backed Securities tranching
A $1,000,000,000 pool has a senior Class A of $900,000,000 and a junior Class B of $80,000,000. Overcollateralization is $20,000,000. There is no reserve. Yield is 10%, servicing is 1%, and WABC is 6%.
If the transaction is in 'Rapid Amortization,' and all excess spread is used to pay down Class A, what is the total CE for Class A in month 1?
- 8.25%
- 10.25%
- 11.00%
- 10.00%
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