Average weighted maturity
From ACT Wiki
Portfolio analysis.
A calculation of the weighted average of the maturities of fixed income instruments held in a portfolio. Average weighted maturity is correlated to the risk profile of the portfolio, for example, longer Average Weighted Maturity implies greater price volatility.
Also known as Weighted Average Maturity.
See also
- Average effective maturity
- Average life
- Average maturity
- Average nominal maturity
- Bullet maturity
- Constant maturity credit default swap
- Duration
- Held-to-maturity
- Longer term
- Maturity ladder
- Maturity mismatch
- Maturity structure
- Maturity transformation
- Non-maturity deposit
- Repo-to-maturity
- Short term
- Tenor
- Undated
- Weighted Average Final Maturity
- Yield to maturity
