Credit: auto ABS weighted average life

An auto loan pool measured for weighted average life, the standard summary of when principal actually comes back.

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

Subprime auto receivables backing a securitization, measured at zero prepayment speed. The collateral is 43 level-pay sub-pools at 43 different rates and terms, four of them at a 0% promotional annual rate. Weighted average life is the standard summary of when principal comes back.

The reference

An issuer's own prepayment-speed exhibit, filed publicly with a securities regulator. It states the aggregate pool balance and tabulates percent-outstanding at every monthly distribution date across 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 result

The aggregate pool balance reproduces the issuer's stated figure to the cent: domain.credit.principal = 537,640,787.96, on a tolerance of one cent against a balance of half a billion dollars.

Reproducing that means all 43 sub-pools returned exactly the balance the issuer stated, at 43 different rates and terms.

The delta

None on the asserted figure.

One reconciliation is not expressible through this suite and is recorded separately: the exhibit's percent-outstanding column is a percentage of a note class, and this pack models the collateral rather than the liability stack. The sister cases at 0.5 and 1.5 ABS carry that comparison.

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: