标题: WAM vs. Average life [打印本页] 作者: eoin 时间: 2011-7-11 19:19
does WAM apply to the MBS or the loan pool? How about WAL?作者: Newhuman 时间: 2011-7-11 19:19
WAM is the average term of all the loans within the pool, so if a pool has 2 loans
L1 :
Remaining term = 220
Balance = 100k
L2 :
Remaining term = 180
Balance = 200k
then the average WAM is 193(approximately)... this has no dependency on how the pool prepays..
with the WAL or the Average life, you compute the cashflows of the pool with a CPR assumption for each of the month and then compute the WAL as the time weighted average of the principal paid down (part of the cashflows). WAL is dependent on your prepay assumptions where as WAM is not. one tells you when the pool is supposed to be paid down (Assuming no prepays) and the other gives you the average life of the pool based on prepay assumptions.作者: anish 时间: 2011-7-11 19:19 标题: WAM vs. Average life
what is the difference intuitively?作者: wilslm 时间: 2011-7-11 19:19
but I always see "the average life of a passthrough..." so what is a passthrough?作者: Swanand 时间: 2011-7-11 19:19
both of them apply to the MBS and the underlying loans drive the values of the WAM and the WAL...
Passthrough --- vanilla MBS with no tranches, the loan payments are directed to the investors net of the service and guarantee charges
