5.3.4.1.12 Weighted Average Perpetual
This method calculates the simple Weighted Average of the applicable balance based on maturity bands defined through a Behavior Pattern. In the following example, the end-of-period balance as of Jan 31 is split into Core and Volatile strips, and the relevant rates are applied to arrive at the Weighted Average Transfer Rate.
Figure 5-51 Weighted Average Perpetual
Table 7:
Table 5-17 BEHAVIORAL PATTERN: 20% 1 Month; 80% 3 Months
| Run Date | EOP Balance | 1M Strip | 3M Strip | 1M Rate | 3M Rate | TP Rate |
|---|---|---|---|---|---|---|
| Jan 31 | 100000 | 20000 | 80000 | 3.10% | 3.50% | 3.42% |
| Feb 28 | 200000 | 40000 | 160000 | 3.25% | 3.60% | 3.53% |
| Mar 31 | 300000 | 60000 | 240000 | 3.20% | 3.55% | 3.48% |
Transfer Rate = (20000*3.10% + 80000*3.50%) / 100000 = 3.42%
- Behavior Pattern: Select the Behavior Pattern that is associated with the Product/Currency combination being defined.
- Interest Rate Code: Select the Interest Rate Code, which you want to use as the Transfer Pricing Yield Curve.
Note:
The Weighted Average Perpetual method applies to both Instrument Balances and Ledger Balances.