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TitleDIY Data: Compute the 12-MAT
AuthorPhillip Thorne
Question

How can I compute the 12-MAT used with ARMs?

Answer

The 12-MAT (a.k.a. 12-MTA, MTA, or "moving Treasury average") is a derived index used by some lenders to govern adjustable rate mortgages (ARMs).  There is no single, official source.  As with interest rate spreads and other specialized measures, it is not carried as a native time series in Data Buffet, but is easy to compute with a basket formula.

The 12-MAT is based on the yield on the one-year Treasury Constant Maturity, which is reported in the FRB H.15 report.  To smooth volatility, it is typically calculated as the 12-month moving average of the monthly value, or as the 52-week moving average of the weekly value (which will produce slightly different values).

Mnemonic or formula
Description
  One-year Treasury Constant Maturity yield, (% p.a., NSA)
IRGT1YD.US Daily series (fundamental)
IRGT1YW.US Week-average series
IRGT1YM.US Month-average series
  Centered moving average
(MAVE(IRGT1YW.US, 52)) 52-week MAVE of weekly value
(MAVE(IRGT1YM.US, 12)) 12-month MAVE of monthly value

You can type a formula directly into a Basket in Power Editor mode, or use the formula builder in Grid mode.  (Customize Columns » Transformation, Transformation » Advanced » Moving Calculations).  Formulas can also be used in View and Chart modes.

Note:

The Treasury Constant Maturities are pulled from an interpolated yield curve plotted by the FRB based on secondary market activity.  The 12-MAT is not based on the yield of literal 52-week T-bills, which are auctioned about once a month by the Bureau of Public Debt; these results comprise a distinct family of series in Data Buffet.

Sources: