Duration and weighted maturity

Norman Winterling, Erik Süptitz. Friday, October 23, 2009

Two new indicators have now been added to the sals.a desktop: Duration and Average Maturity.

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Duration and Average Maturity features

We have provided some background information below on the calculation of these figures:

Duration

Weighted average length of capital tie-up until maturity of the instrument. This figure is expressed in years. Moreover, duration indicates the change in the present value of the instrument from a 1% interest rate movement – this is expressed in percent. Please note that for “Refinancing” transactions, the date of the refinancing transaction is used as the maturity date for calculation. For variable rate instruments, the duration is determined in accordance with the next fixing date. Because loans can be redeemed in full on this date, the fixing date is treated as a potential maturity date in sals.a for calculation of an instrument’s duration.

Average maturity

This is also an indicator of weighted average length of capital tie-up until maturity of the instrument (residual maturity in years). Here as well, for “Refinancing” transactions, the date of the refinancing transaction is used as the maturity date for calculation. For variable rate transactions, however, the maturity date is used for calculation and no early redemption at an interest rate fixing date is assumed.

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