Question
Can you please confirm that the WAM is based on the residual time to maturity according to the contractual conditions? Furthermore which notional amount shall be used for averaging: the notional amount at reporting date or future notional amount including any amortization payment? If we base the calculation of the WAM on the residual maturity, wouldn’t we – for consistency reason also the yield to maturity to be reported under WAY?
Background on the question
According to annex XXIX Part IV, Paragraph 13, institutions shall report the weighted average maturity (contractual) in the template J 05.00, J 06.00 and J 07.00 columns 0050 and 0300. It is defined as follows: Average contractual maturity measured in years weighted by the notional amount. Assume, for example, that a $100,000 loan with start date 30.06.2017 and end date 30.06.2027, which amortizes 10% each year. Reporting date is 30.06.2024. original maturity is 10 years (end date minus start date) residual maturity is 3 years (end date minus reporting date) residual maturity considering amortization payments is as follows: (30,000 X 3 years) + (20,000 X 2 years) + (10,000 X 1 years) = 2.3 years.
Answer
This question has been rejected because the issue it deals with is already explained or addressed in Annex 29 of Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 (see instructions for “Weighted average maturity (contractual)”).For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”