Weighted average maturity: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Modonovan (Clarification that it is the rate fixing periods' maturities) |
imported>Doug Williamson (Add link.) |
||
| (7 intermediate revisions by the same user not shown) | |||
| Line 1: | Line 1: | ||
(WAM). The average maturity of securities held in a fixed income or money market fund. | (WAM). | ||
The average maturity of securities held in a fixed income or money market fund. | |||
WAM is calculated by taking the maturity of the fixed rate periods (rather than the final maturities) of the underlying instruments held by the fund, weighted according to the relative holdings per instrument.This is used to measure interest rate risk. | WAM is calculated by taking the maturity of the fixed rate periods (rather than the final maturities) of the underlying instruments held by the fund, weighted according to the relative holdings per instrument.This is used to measure interest rate risk. | ||
Also known as Average weighted maturity. | Also known as Average weighted maturity. | ||
== See also == | == See also == | ||
* [[Average | * [[Average effective maturity]] | ||
* [[Average life]] | |||
* [[Average maturity]] | |||
* [[Average nominal maturity]] | |||
* [[Bullet maturity]] | |||
* [[Constant maturity credit default swap]] | |||
* [[Currency basket]] | * [[Currency basket]] | ||
* [[Duration]] | |||
* [[Held-to-maturity]] | |||
* [[Longer term]] | |||
* [[Maturity]] | |||
* [[Maturity ladder]] | |||
* [[Maturity mismatch]] | |||
* [[Maturity structure]] | |||
* [[Maturity transformation]] | |||
* [[Money market fund]] | |||
* [[Non-maturity deposit]] | |||
* [[Repo-to-maturity]] | |||
* [[Short term]] | |||
* [[Tenor]] | |||
* [[Undated]] | |||
* [[Weighted Average Final Maturity]] | |||
* [[Weighted Average Life]] | |||
* [[Yield to maturity]] | |||
[[Category:Accounting,_tax_and_regulation]] | |||
[[Category:Identify_and_assess_risks]] | |||
[[Category:Manage_risks]] | |||
[[Category:Cash_management]] | |||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 10:07, 7 July 2022
(WAM).
The average maturity of securities held in a fixed income or money market fund.
WAM is calculated by taking the maturity of the fixed rate periods (rather than the final maturities) of the underlying instruments held by the fund, weighted according to the relative holdings per instrument.This is used to measure interest rate risk.
Also known as Average weighted maturity.
See also
- Average effective maturity
- Average life
- Average maturity
- Average nominal maturity
- Bullet maturity
- Constant maturity credit default swap
- Currency basket
- Duration
- Held-to-maturity
- Longer term
- Maturity
- Maturity ladder
- Maturity mismatch
- Maturity structure
- Maturity transformation
- Money market fund
- Non-maturity deposit
- Repo-to-maturity
- Short term
- Tenor
- Undated
- Weighted Average Final Maturity
- Weighted Average Life
- Yield to maturity
