medium · Asset-Backed Securities collateral
An ABS portfolio manager notes that the 'principal window' for a sequential bond has 'widened' in a revised model.
What does this most likely imply about the underlying prepayment assumptions?
- Prepayment speeds are expected to be significantly faster.
- The bond has been converted from sequential-pay to a bullet maturity.
- Prepayment speeds are expected to be slower and/or more volatile.
- The seasoning of the pool has reached the 30-month cap.
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