What is the value of excess servicing

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Reference no: EM131923661

Suppose you have the following information for an auto loan ABS. Using the information in the bulleted list below, find a. The weighted average life for the pool, Tranche A and Tranche B b. Using a B rate =5%, what is the value of the excess servicing? • Total loan pool = $2,000,000 • Term = 4 years • (Weighted average) Loan rate = 3.5%; market yield =3.5% • Servicing cost =1.50% • PD=20%; LGD=40%; $40,000 buffer over expected loss for B tranche 1. You need to determine the size of Tranche B (Hint: PDxLGDx Loan pool + buffer) 2. Tranche A = Total Loan Pool – Tranche B • A tranche rate =1.00%.

Reference no: EM131923661

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