Weighted average maturity


Also found in: Acronyms, Encyclopedia.

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 ?
This refinancing extends the weighted average maturity of our debt portfolio from about three years to almost eight years and gives us flexibility to grow our business," said Friedman.
The Fitch derived WAR is 'CCC+' and the weighted average maturity is 8.
The Fitch derived weighted average rating is 'B+' and the weighted average maturity is 7.
Average Maturity - Use the weighted average maturity figures to gain insight into how portfolio managers are adjusting to current and future interest-rate environments.
7 percent with a weighted average maturity of 2014.
The pool's weighted average maturity was approximately 123 days on June 9, 1995.
However on a cautionary note, Lazzara noted that "money market fund investors should be aware of the extension risk posed by ABENs and not place themselves in a situation such that in a market wide extension scenario, the resulting duration extension would cause the weighted average maturity of their portfolio to breach the 90-day 2a-7 limit.
As of mid-December, the portfolio had a weighted average maturity of just over two years, with about 25% of portfolio investments maturing within 90 days.
As part of the restructuring, the Company sold approximately $123 million of available for sale securities, or approximately 53% of the total current carrying value of the investment portfolio, having an estimated remaining weighted average maturity of 4.
14 /PRNewswire/ -- Various Van Kampen Merritt-sponsored closed-end funds have released a report dated November 14, 1994, which includes information relating to the municipal closed-end marketplace, yields, weighted average maturity, discount, dividend, duration and other fund specific data.

Full browser ?