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King Motors Acceptance Corporation (KMAC), the finance arm of King Motors, issues an auto-loan asset-backed security that consists of a senior tranche, denoted Tranche A in the amount of $50 million and an interest payment of 5 percent, and two subordinated tranches, denoted Tranches X and Z respectively, each with a face amount of $35 million. Tranche X pays investors annual interest at a rate of 6.5 percent while Tranche Z pays investors annual interest at a rate of 7.5 percent. Which of the following methods of credit support would NOT affect the credit quality of subordinated Tranche X?
AThe total amount of the auto loans that make up the asset-backed issue is $125 million.
BThe weighted average interest rate on the auto loans making up the pool is 6.4 percent.
CAny defaults on the part of King Motor’s customers will be first absorbed by Tranche Z.
DKMAC has a reserve in the amount of $10 million that will remain on KMAC’s balance sheet.
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