11.2.13 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.
Table 11-8 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.