pool factor

问题如下：

A financial analyst is calculating the weighted average life (WAL) of the loans in an MBS pool. The initial notional value outstanding of the MBS pool is USD 50 million. The payment schedule and the assumed pool factor for the MBS are provided in the table below:

Assuming coupon payments are made semi-annually and there are 365 days in a year, what is the WAL of the MBS pool?

选项：

A.1.06 years. B.1.24 years. C.

2.12 years.

D.2.68 years.

解释：

B is correct. WAL is computed by: Poor Factor

Where:

t = (Actual Days) / 365

s = Coupon payment date

Pool Factor at date s is given. Therefore, WAL is computed as presented in the table below.

A is incorrect. 1.06 years is the result obtained if the pool factor of time 0 is ignored.

C is incorrect. 2.12 years the sum of the pool factor for every payment date after time 0.

D is incorrect. 2.68 years is the sum of (actual days)/365.