medium · Asset-Backed Securities collateral
An equipment lease ABS pool contains 40% operating leases with residual values. A $500M pool has $80M in booked residuals. Under a AAA stress scenario, the rating agency applies a 30% haircut to these residuals.
What is the projected loss from residual shortfall in this stress scenario?
- $12M
- $150M
- $56M
- $24M
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