medium · Asset-Backed Securities waterfalls
In a credit card master trust, the three-month rolling average excess spread is used to monitor early amortization triggers.
Given the following monthly excess spread data: Month 1: 5.8%, Month 2: -4.2%, Month 3: -2.2%, what is the status of the trigger if the threshold is 0%?
- The trigger activates because the rolling average is -0.2%.
- The trigger does not activate because the first month's surplus covers the later deficits.
- The trigger does not activate because the average is 0.2%.
- The trigger activates because two out of three months were negative.
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