Difference between revisions of "Weighted Average Life"
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== Definition == | == Definition == | ||
| − | The Weighted Average Life (WAL) in a securitisation context refers to the expected average amount of time that will elapse from the [[Issue Data]] to the date of | + | The '''Weighted Average Life''' (WAL) in a securitisation context refers to the expected average amount of time that will elapse from the [[Issue Data]] to the date of [[Repayment]] of the outstanding amounts of the securitisation's notes. It is effectively the timing of principal payments weighted by the amount of the payment. |
== Details == | == Details == | ||
| − | The Weighted Average Life of securitisation notes is influenced by, among other things by | + | The Weighted Average Life of securitisation notes is influenced by, among other things by: |
* the actual rate of repayment ([[Constant Prepayment Rate]], CPR) of the [[Transferred Receivables]] | * the actual rate of repayment ([[Constant Prepayment Rate]], CPR) of the [[Transferred Receivables]] | ||
* this rate of repayment may itself be influenced by economic, tax, legal, social and other factors | * this rate of repayment may itself be influenced by economic, tax, legal, social and other factors | ||
* if prevailing interest rates fall below the interest rates on the Transferred Receivables, then the Transferred Receivables are likely to be subject to higher prepayment rates than if prevailing interest rates remain at or above the interest rates on the Transferred Receivables | * if prevailing interest rates fall below the interest rates on the Transferred Receivables, then the Transferred Receivables are likely to be subject to higher prepayment rates than if prevailing interest rates remain at or above the interest rates on the Transferred Receivables | ||
* if the structure has a [[Revolving Period]] the [[Seller]] may not be able to originate sufficient [[Eligible Receivable]] to replace all pre-paid Transferred Receivables having been prepaid | * if the structure has a [[Revolving Period]] the [[Seller]] may not be able to originate sufficient [[Eligible Receivable]] to replace all pre-paid Transferred Receivables having been prepaid | ||
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== Variations == | == Variations == | ||
| Line 20: | Line 19: | ||
== Disclaimer == | == Disclaimer == | ||
| − | |||
* This information is provided as is without any representation of correctness, completeness or suitability for any purpose whatsoever. Refer to actual securitisation prospectuses for the definitive terms applicable in each case | * This information is provided as is without any representation of correctness, completeness or suitability for any purpose whatsoever. Refer to actual securitisation prospectuses for the definitive terms applicable in each case | ||
* Definitions, detailed descriptions and other content may change at any time as further examples or relevant aspects are introduced | * Definitions, detailed descriptions and other content may change at any time as further examples or relevant aspects are introduced | ||
| − | |||
[[Category:Securitisation Liabilities]] | [[Category:Securitisation Liabilities]] | ||
| + | [[Category:Prepayment Risk]] | ||
{{#set:Has Formula = False | Has Object = False | Has Lambda = False | Field Type= Legal Text}} | {{#set:Has Formula = False | Has Object = False | Has Lambda = False | Field Type= Legal Text}} | ||
__SHOWFACTBOX__ | __SHOWFACTBOX__ | ||
Latest revision as of 16:00, 1 December 2022
Definition
The Weighted Average Life (WAL) in a securitisation context refers to the expected average amount of time that will elapse from the Issue Data to the date of Repayment of the outstanding amounts of the securitisation's notes. It is effectively the timing of principal payments weighted by the amount of the payment.
Details
The Weighted Average Life of securitisation notes is influenced by, among other things by:
- the actual rate of repayment (Constant Prepayment Rate, CPR) of the Transferred Receivables
- this rate of repayment may itself be influenced by economic, tax, legal, social and other factors
- if prevailing interest rates fall below the interest rates on the Transferred Receivables, then the Transferred Receivables are likely to be subject to higher prepayment rates than if prevailing interest rates remain at or above the interest rates on the Transferred Receivables
- if the structure has a Revolving Period the Seller may not be able to originate sufficient Eligible Receivable to replace all pre-paid Transferred Receivables having been prepaid
Variations
None
Issues and Challenges
None
See Also
None
Disclaimer
- This information is provided as is without any representation of correctness, completeness or suitability for any purpose whatsoever. Refer to actual securitisation prospectuses for the definitive terms applicable in each case
- Definitions, detailed descriptions and other content may change at any time as further examples or relevant aspects are introduced
