ONTOLOGY EXPLORER
weighted average coupon
<https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/PoolBackedSecurities/WeightedAverageCoupon>
プロパティと値
| プロパティ | 値 |
|---|---|
| type | Class |
| label | "weighted average coupon"@en |
| subClassOf | ArithmeticMean |
| subClassOf | DebtPoolStatisticalMeasure |
| definition | "weighted-average gross interest rates of the pool of mortgages that underlie a mortgage-backed security (MBS) weighed by their balances at the time the securities were issued"@en |
| editorialNote | "Provided by the Issuer (loan servicer?) along with the WALA etc. If you know the underlying loans you can calculate this yourself. For ABS you don't know this so you have to get this information from the loan servicer. Investopedia explains Weighted Average Coupon - WAC For example, suppose a MBS is composed of two different pools of mortgages: $6 million worth of mortgages that yield 7.5% and a pool of $4 million mortgages that yield 5%. The WAC would be 6.5%. The WAC on a mortgage-backed security is an important piece of information used by analysts to estimate the pre-pay characteristics of that security. It is an important relative value tool in MBS portfolio management and analysis."@en |
| abbreviation | "WAC"@en |
| explanatoryNote | "The weighted average coupon (WAC) is calculated by taking the gross of the interest rates owed on the underlying mortgages of the MBS and weighting them according to the percentage of the security that each mortgage represents. The WAC represents the average interest rate of different pools of mortgages with varying interest rates. In the weighted average calculation, the principal balance of each underlying mortgage is used as the weighting factor. To calculate the WAC, the coupon rate of each mortgage or MBS is multiplied by its remaining principal balance. The results are added together, and the sum total is divided by the remaining balance. A mortgage-backed security's current WAC can differ from its original WAC as the underlying mortgages pay down at different speeds. In the weighted-average calculation, the principal balance of each underlying mortgage is used as the weighting factor."@en |
この項目への参照
このグラフ内での参照はありません。