rec_37

(37) WAL is used to measure the credit risk of an MMF's portfolio: the longer the reimbursement of the principal is postponed, the higher the credit risk. WAL is also used to limit the liquidity risk of an MMF's portfolio. In contrast to the calculation of the WAM, the calculation of the WAL for floating rate securities and structured financial instruments does not permit the use of interest rate reset dates and instead only uses a financial instrument's stated final maturity. The maturity used for calculating the WAL is the residual maturity until legal redemption, since that is the only date on which the management company can reasonably expect that the instrument will have been reimbursed. Due to the particular nature of the underlying assets for some securitisations and ABCPs, in the case of amortising instruments, the WAL should be able to be based on the maturity calculation for amortising instruments either on the contractual amortisation profile of such instruments or the amortisation profile of the underlying assets from which the cash-flows for the redemption of such instruments result.

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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.