Credit: auto ABS at 0.5x prepayment speed

An auto loan pool prepaying at 0.5 ABS, amortizing to schedule with prepayments taken as a constant share of the original balance.

Every number below is checked against an independent reference implementation on every commit — period by period, and on each metric, inside a declared tolerance. See benchmark methodology.

The case

The same subprime auto receivables as the zero-speed case, prepaying at 0.50% ABS. Under the absolute prepayment speed convention, prepayments are a constant share of the original pool each month, so the balance follows a running product rather than a constant hazard — and the collection profile shortens as the speed rises.

The reference

An issuer's own prepayment-speed exhibit, filed publicly with a securities regulator. It tabulates the Class A-2 percent-outstanding at every monthly distribution date, for each of seven prepayment speeds.

The same exhibit, with its grid, is committed under the auto_abs_tranches case's reference/ directory, where a reader can open it.

Provenance. One figure is asserted against the exhibit's published aggregate. The per-period expectation is the engine's own output, pinned as regression cover; nothing external asserts it.

What it exercises

The pool factor is carried as per-period state: under a speed that is a share of the original pool, the surviving balance is a running product, which a closed-form pow(k, p) gives only while the hazard is constant.

The result

The aggregate pool balance is asserted directly: domain.credit.principal = 537,640,787.96.

The delta

None on the asserted figure. The per-period principal column is the engine's own output, pinned as regression cover, not the exhibit's percent-outstanding column; the auto_abs_tranches case asserts the class columns against the exhibit.

Run configuration

{"deterministic":{"annual_discount_rate":0.03}}

Verified results

Checked period by period: 1 series across 14 periods — 14 values in all, each within ±0.01 of the reference.

• net_cash_flow

Summary metrics for the base run: