medium · Asset-Backed Securities waterfalls
A subprime HEL ABS has a shifting interest structure. For months 1-36, the senior prepayment percentage is 100%. Starting month 37, the schedule steps down to 70% for seniors if no triggers are breached. In month 37, the pool balance is 300M, and there is 6M in total prepayments.
How much prepayment principal is allocated to the subordinate classes?
- 4.2M
- 0
- 6.0M
- 1.8M
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