hard · Asset-Backed Securities
An equipment lease ABS pool has an annual default rate of 4.0% over a 4-year Weighted Average Life (WAL) and a 50% loss severity. The pool also has a 20% residual value concentration, with a stressed realization of 75% of the booked residual. Calculate the total stressed cumulative loss for the pool.
- 13.00%
- 11.50%
- 8.00%
- 23.00%
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