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Weighted Average Maturity (WAM)

The average of the time, expressed in number of months, to a maturity date for the loans in an MBS pool weighted by the value of each loan. To calculate the WAM, first calculate each of the weightings by adding the value of the mortgages together, and determining what percentage each mortgage has to the total. Then multiply each weighting by their respective time to maturities and total these numbers.

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F3 Video

The next generation of powerful valuation and risk solutions is here.

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F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.