Maturity Date

From Open Risk Manual

Definition

Maturity Date in the context of Asset and Liability Management is defined as the contractual date on which the Margin or the Reference Interest Rate component of an asset/liability is repriced.

It is also the date on which a Receivable becomes due and payable.

Use in Stress Testing

  • For fixed-rate instruments it is assumed that the maturity dates of the Ref Rate and the Margin are the same, and equal to the contractual maturity of the instrument;
  • For floating rate instruments it is assumed that the Margin is repriced at the contractual maturity of the instrument, while the Ref Rate component is repriced whenever the index rate of the floating rate instrument resets. Therefore, the maturity dates for the Ref Rate and the Margin of floating rate instruments will, in many cases, be different. It is generally expected that the Ref Rate component resets prior to the Margin in most of the cases.