Weighted Average Maturity - WAM

外汇网2021-06-19 20:53:15 81

The weighted average of the time until all maturities on mortgages in a mortgage-backed security (抵押贷款支持债券). The higher the weighted average to maturity, the longer the mortgages in the security have until maturity. Also known as "average effective maturity".

|||The measure is calculated by totaling each mortgage value repsented by the 抵押贷款支持债券. The weights of each mortgage is found by piding the value of each into the total of all. To arrive at the WAM number the weight of each security is multiplied by the time until maturity of each mortgage, and then all the values are added together. For example say an 抵押贷款支持债券 has three mortgages valued at $1,000, $2,000 and $3,000 (a total of $6,000) and mature in one, two and three years respectively. The weights of these are 1/6 (1,000/6,000), 1/3 (2,000/6,000) and 1/2 (3,000/6,000). The WAM is 2 1/3 years (1/6 x 1 year + 1/3 x 2 years + 1/2 x 3 years).

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