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.

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 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. The per-period expectation is the engine's own output, pinned as regression cover; the auto_abs_tranches case asserts the exhibit's class columns.

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: