medium · Asset-Backed Securities collateral
A prime auto ABS originator has a historical base-case Cumulative Net Loss (CNL) of 2.5%. A rating agency applies a 4.5× multiple for a AAA rating, a timing stress factor of 1.15 (to account for front-loading), and a prepayment stress factor of 1.08.
What is the resulting stressed CNL used to size the hard Credit Enhancement (CE)?
- 11.25%
- 9.26%
- 15.52%
- 13.97%
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