hard · Asset-Backed Securities tranching
An issuer structures a prime auto ABS with a pool balance of 1,500M, a weighted average APR of 6.80%, and a 2.0-year WAL. The rating agency estimates a base-case lifetime CNL of 2.70% and applies a 4.5x AAA multiple.
If the agency further applies a 1.15 front-loading timing multiplier and a 1.08 slow-prepayment extension factor, what is the required hard credit enhancement if the structure receives full credit for 1.50% annual stressed excess spread?
- 15.10%
- 9.15%
- 12.10%
- 10.65%
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