hard · Asset-Backed Securities
A $1,000M prime auto loan pool is structured with a sequential-pay waterfall. During the first year, the pool experiences a constant prepayment speed of 1.2% ABS.
If the beginning-of-month balance in month 13 is $700M, what is the Single Monthly Mortality (SMM) equivalent for that specific period?
- 1.20%
- 1.71%
- 1.74%
- 0.10%
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