hard · Asset-Backed Securities collateral
In a subprime auto ABS 'loss timing' stress test, a rating agency shifts from a 'base' curve (40% loss by month 24) to a 'front-loaded' curve (65% loss by month 24).
For a 12% stressed CNL on a $500M pool, how much more principal loss occurs by month 24 in the stressed timing scenario?
- $15.0M
- $25.0M
- $3.0M
- $12.5M
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