Credit: auto ABS at 1.5x prepayment speed

The same auto loan pool at 1.5 ABS, three times the prepayment speed, showing how the collection profile shortens.

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 1.50% 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.

Not redistributable. Public filings are freely readable and citable, but the filer retains copyright, so figures are asserted against rather than reproduced.

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

Principal collections reproduce the exhibit's published percent-outstanding column at every distribution date, worst 0.0036 percentage points against a source that rounds to 0.01.

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

The delta

The 0.0036-point residual is inside the exhibit's own rounding: it publishes to two decimal places, so a difference smaller than 0.01 cannot be distinguished from the printed figure.

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: