The weighted average maturity (WAM) is the average length of time to maturity of all the bonds in a portfolio, weighted according to the size of each bond's outstanding principal. The weighted average maturity is used to measure the sensitivity of a bond portfolio's value to changes in interest rates. A portfolio with a longer weighted average maturity will be more sensitive to interest rate changes than a portfolio with a shorter weighted average maturity. Is Wam a percentage? No, Wam is not a percentage. What is the formula for weighted average in Excel? The weighted average formula in Excel is =SUMPRODUCT(W8:W10,C8:C10)/SUM(W8:W10), where W8:W10 are the weights and C8:C10 are the corresponding values. How is weighted average yield calculated? The weighted average yield is the average of the yields on a group of securities, with the weights proportional to the market value of the securities. Is a 60 WAM good? A 60 WAM is considered good by most standards. A WAM is the average monthly payment on a mortgage over the life of the loan, and a 60 WAM means that the average monthly payment will be 60% of the original loan amount. This is a good rate, and will likely result in a lower interest rate and monthly payments.
What are the WAC and WAM of a pass through security?
A pass through security is a type of mortgage-backed security (MBS) in which the principal and interest payments from the underlying mortgage pool are "passed through" to the security holder on a monthly basis. The monthly payments include both interest and principal, and are typically higher than the interest-only payments made on a typical mortgage.
The weighted average coupon (WAC) of a pass through security is the weighted average of the interest rates of the underlying mortgages. The weighted average maturity (WAM) is the weighted average of the remaining terms of the underlying mortgages.