Weighted average maturity

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Weighted average maturity

The weighted average maturity of an MBS is the weighted average of the remaining terms to maturity of the mortgages underlying the collateral pool at the date issue, using as the weighting factor the balance of each of the mortgages as of the issue date.

Weighted Average Maturity

The average amount of time remaining before maturity in the mortgages underlying a mortgage-backed security, weighted by the percentage of the MBS that each mortgage constitutes. For example, suppose a mortgage-backed security contains two mortgages, one worth \$10,000 and one worth \$20,000, for a total of \$30,000. The \$10,000 mortgage matures in five years, and the \$20,000 mortgage in 10 years. The weighted average remaining maturity is calculated as:

WAM = (\$10,000 / \$30,000) * 5 years + (\$20,000 / \$30,000) * 10 years = 8 1/3 years

The weighted average maturity is also known as the weighted average remaining maturity.
References in periodicals archive ?
The Fitch derived WAR is below 'CCC-' and the weighted average maturity is 2.
The Fitch derived WAR is 'B-/CCC+' and the weighted average maturity is 6.
The Fitch derived WAR is 'BB-' and the weighted average maturity is 4.
The Fitch derived WAR is 'B+' and the weighted average maturity is 7.
The Fitch derived WAR is 'BB' and the weighted average maturity is 8.
The Fitch derived weighted average rating is 'B-' and the weighted average maturity is 4.
The Fitch derived weighted average rating is 'CCC+' and the weighted average maturity is 7.
The pool of 86 loans has a weighted average maturity of 179 months and a gross weighted average interest rate of 5.
In addition, a shorter weighted average maturity in the loan portfolio has accelerated the expensing of certain capitalized loan origination costs.

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