weighted-average maturity

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.

weighted-average maturity

A valuation of mortgage loans pooled into a mortgage pass-through security and calculated by multiplying the amount of the mortgage that is outstanding by the weighting of the remaining number of months to maturity for each mortgage loan in the pool.
References in periodicals archive ?
To enhance portfolio liquidity, the weighted-average maturity of the portfolios will generally be managed so as not to exceed 60 days, enabling the manager to accommodate shareholder redemptions, while reducing sensitivity to interest-rate risk.
As of the end of May 2011, rated MMFs maintained an average weighted-average maturity to reset date of 37 days and an average weighted-average maturity to final maturity date of 54 days indicating relatively low interest rate and liquidity risk.
To enhance portfolio liquidity, the weighted-average maturity of the portfolios will generally be managed not to exceed 60 days, enabling the manager to accommodate shareholder redemptions while reducing sensitivity to interest-rate risk.
The fund seeks to maintain liquidity to meet anticipated redemptions by purchasing daily VRDNs and maintaining a short weighted-average maturity by investing a substantial part of its portfolio in weekly VRDNs.
To enhance portfolio liquidity the weighted-average maturity of the portfolios will, in general, be managed not to exceed 60 days, enabling the managers to accommodate shareholder redemptions.
As of the same date, the fund had a weighted-average maturity of 35 days and held approximately $37.
As of the same date, the fund had weighted-average maturity of 49 days and held approximately $22 billion in assets under management.
To enhance portfolio liquidity, the weighted-average maturity of the portfolios will be managed so as not to exceed 60 days, enabling the manager to accommodate shareholder redemptions while reducing sensitivity to interest rate risk.
The weighted-average maturity of the fund's assets is limited to 60 days or less.
Triple-'Am' money fund criteria calls for a maximum weighted-average maturity of 60 days in order to help ensure fund liquidity and provide protection against rapidly rising interest rates.
As of June 30, 1998, the weighted-average maturity of the portfolio was 350 days, with about 11% of the portfolio invested in LAIF, 14% in certificates of deposit, 30% in U.
Although the total portfolio has a weighted-average maturity of 831 days, 30.