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Assume the originator securitizes a $100 million loan portfolio that pays LIBOR plus 200 bps. Senior expenses of the SPE amount to 20 bps. The SPE issues only two classes of securities: senior debt with face value of $90 million and subordinated debt with face value of $10 million, such that the subordinated debt “functions as equity”. The coupon on the senior debt is LIBOR plus 100 bps. The subordinated debt (equity) gets an interest rate equal to the realized net excess spread. What is the net excess spread?
A$10 million × (LIBOR+3%)
B$10 million × (LIBOR+5%)
C$10 million× (LIBOR+7%)
D$10 million ×(LIBOR+9%)
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