rec_36
Text with EEA relevance.
Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds (Text with EEA relevance. ) · European Union
(36) WAM is used to measure the sensitivity of an MMF to changing money market interest rates. When determining the WAM, managers of MMFs should take into account the impact of financial derivative instruments, deposits, repurchase agreements and reverse repurchase agreements and reflect their effect on the interest rate risk of the MMF. When an MMF enters into a swap transaction in order to gain exposure to a fixed rate instrument instead of a floating rate, that fact should be taken into account for determining the WAM.
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Source: EUR-Lex (Cellar) · retrieved 2026-10-30 · Text as adopted (Official Journal); later amendments are not incorporated in this text.