Weighted average maturity

(redirected from Weighted Average Remaining Term)

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 weighted average remaining term to maturity is 354 months.
244% and the weighted average remaining term to maturity is 353 months.
The Group I mortgage loans have a final aggregate principal balance of approximately $62,730,035 as of the cut-off date (May 1, 2006), an average balance of $197,887, a weighted average remaining term to maturity (WAM) of 169 months, a weighted average original loan-to-value ratio (OLTV) of 64.

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