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.
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References in periodicals archive ?
As a result of the two debt issues refinancing the November 2018 maturities, AAPT's weighted-average maturity has been extended from 1.2 years to 4.2 years.
Fitch Affirms Adani Abbot Point Terminal at 'BBB-'; Outlook Stable
3%; weighted-average maturity (WAM) shortened by 1 day
Moody's: US money market funds boost European banking exposure by 11%
It's also worth remembering that high-yield bonds tend to be of shorter duration (or shorter weighted-average maturity) than investment-grade bonds, and this means that they should not suffer too much when interest rates do begin to rise from what are very low levels.
Bonds 'less attractive' when rates rise
The weighted-average maturity was 83 days for Yuanta De-Bao, 132 days for Yuanta De-Li and 100 days for Yuanta Wan Tai at end-September 2018.
Fitch Upgrades Three Yuanta Money Market Funds to 'AAAf(twn)'
The weighted-average maturity was 153 days, longer than the peer average of 130 days.
Fitch Affirms Union Money Market Fund at 'AA+f(twn)'
The weighted-average maturity increased to 167 days, which is longer than the peer average of 130 days.
Fitch Affirms Mirae Asset SolomonMoney Market Fund at 'AA+f(twn)'
The weighted-average maturity was 150 days, longer than the peer average of 130 days.
Fitch Affirms Mega Diamond Money Market Fund at 'AA+f(twn)'
Interest rate risk is managed within a maximum weighted-average maturity (WAM) to reset date of 180 days.
Fitch Affirms Janus Henderson Institutional Cash Fund at 'AAAf'/'S1'
The funds' weighted-average maturity and weighted-average life stood well within Fitch's guidelines at end-January 2018.
Fitch Affirms Four Chinese Money Market Funds at 'AAAmmf(chn)'
However, the fund is exposed to securities rated 'BBB(twn)' and is subject to a regulatory maximum weighted-average maturity of 180 days, so Fitch has decided to affirm the fund's rating at 'AA+f(twn)' in line with its criteria, which takes into account the actual and prospective weighted-average credit quality of the underlying portfolio.
Fitch Affirms Paradigm PionMoney Market Fund at 'AA+f(twn)'
However, the funds are exposed to securities rated 'BBB+(twn)' and are subject to a regulatory maximum weighted-average maturity of 180 days, so Fitch has decided to affirm the funds' ratings at 'AA+f(twn)' in line with its criteria, which takes into account the actual and prospective weighted-average credit quality of the underlying portfolios.
Fitch Affirms Taishin 1699 and Taishin Ta-Chong Money Market Funds at 'AA+f(twn)'
However, the fund is exposed to securities rated 'BBB(twn)' and is subject to a regulatory maximum weighted-average maturity of 180 days, so Fitch has decided to affirm the fund's ratings at 'AA+f(twn)' in line with its criteria, which takes into account the actual and prospective weighted-average credit quality of the underlying portfolio.
Fitch Affirms Mega Diamond Money Market Fund at 'AA+f(twn)'

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