medium · Asset-Backed Securities collateral
An auto loan pool has an original balance (B_0) of $100 million and a current balance (B_t) of $60 million.
If the observed monthly prepayment (P_U) is $800,000, what is the prepayment speed expressed in the ABS convention?
- 9.15% ABS
- 1.20% ABS
- 0.80% ABS
- 1.33% ABS
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