Original Maturity

From Open Risk Manual
Revision as of 16:30, 7 September 2017 by Wiki admin (talk | contribs) (Created page with "== Definition == '''Original Maturity''' is defined as the total time between the asset/liability’s time of origination and the maturity date. In case of debt securities the...")
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Definition

Original Maturity is defined as the total time between the asset/liability’s time of origination and the maturity date. In case of debt securities the time of origination should be understood as the acquisition date by the bank and the original maturity should be based on the residual maturity at the acquisition date of the debt security