Portfolio Duration definition

Portfolio Duration means, with respect to more than one type of Fixed Income Securities held by any PPF on any Valuation Date, an amount equal to the average of the Modified Duration of each such Fixed Income Security, weighted on the basis of the Market Values thereof, calculated using the Lehman Brothers Analytics Model or a Substitute Valuation Souxxx, xs of the close of business on such Valuation Date.
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Portfolio Duration. The targeted duration of the portfolio will be that of the liability stream, which Platinum will provide as needed. If no liability stream is available, a duration target of 3.5 years will apply. The portfolio could deviate as much as +/- one year away from this target. There is no limitation placed on the duration of individual securities.
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Portfolio Duration means a weighted average age of cash flows received from assets of a provident fund, calculated according to the rules and procedures as specified by the association;
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Examples of Portfolio Duration in a sentence

  • Portfolio Duration Range: + / - 2 years relative to benchmark duration Portfolio duration and benchmark duration will be calculated using PIMCO’s duration models Credit Quality Minimums: The Manager will apply quality ratings using the higher of Moody’s, S&P or Fitch.

  • Each message transmitted by CTS consists of a Message Header and a Message Text or Message Header Only.

  • The Portfolio Duration Analysis table on the previous page discloses the degree to which SDCERS’ investments are sensitive to interest rate changes due to the remaining term of maturity.

  • Portfolio Duration Some of the Funds are stated under the Prospectus to reference certain benchmark indices when the Investment Advisor determines their portfolio duration.

  • Advantages to using futures contracts to manage duration include:• For duration reduction, shorting the contract is very effective• Portfolio Duration can be adjusted by buying (to increase duration) or selling (to increase duration) futures contracts.

  • Portfolio Duration – Maturities of securities will be managed in coordination with the cash flow needs of the University.

  • Additional Investment Cut-off time for injection / Withdrawal Period of payment after withdrawal Benchmark Financial Year End Portfolio Yield Portfolio Duration Min.

  • Amount to Exchange = (Change in Portfolio Duration x Portfolio Value)/(Change in Asset Duration) = (6.4 x 835,638) / (6.5 - 0.5) = 891,347 The company should enter a 10-year swap with the notional amount of 891,347 Because Darwin needs to decrease its equity duration, it should pay fixed and receive floating interest rates, as this swap will increase in value if interest rate increases, to offset the decrease in surplus value due to interest rate increase.

  • See section 2.5 of the SIP for more information.• Sections were added on Portfolio Turnover, Portfolio Duration and manager incentives.

  • Portfolio Stats 4Q13 1Q14 Market Value $11.4B $11.5B Yield 3.01% 3.02% Average Rating AA AA Remaining RMBS Purchase Premium $71M $74M Remaining Premium as a % of RMBS Portfolio 1.3% 1.3% Total Portfolio Duration 3.5 years 3.7 years AFS Portfolio Duration 3.0 years 2.9 years QOQ Change in after-tax AOCI ($13M) $9M Quarterly Purchases 4Q13 1Q14 Total $393M $556M Yield 2.5% 2.6% Average Rating AA+ AA+ 1.


More Definitions of Portfolio Duration

Portfolio Duration means, with respect to any group of securities, the Market Value weighted average Modified Duration of such securities as calculated using Xxxxxx Brothers analytics or another widely recognized, reputable source as of the close of business on the Business Day preceding the relevant Valuation Date, based on the Market Value for each such security on such Business Day.
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Portfolio Duration means the average life of the assets in the investment portfolio of the Fund
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Portfolio Duration means, with respect to the Corporate Bonds and the U.S. Treasury Futures held by any PPF on any Valuation Date, an amount equal to the average of the Modified Duration of each such Corporate Bond and U.S. Treasury Future, weighted on the basis of the Market Values thereof, calculated using the Xxxxxx Brothers Analytics Model or a Substitute Valuation Source, as of the close of business on such Valuation Date.
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Related to Portfolio Duration

  • Portfolio Value means the aggregate amount of portfolio of investments including cash balance without netting off of leverage undertaken by the CDMDF.

  • Portfolio Assets means all Loan Assets owned by the Borrower, together with all proceeds thereof and other assets or property related thereto, including all right, title and interest of the Borrower in and to:

  • Portfolio Asset means an asset of an investment fund;

  • Portfolio Yield means, with respect to any Due Period, the annualized percentage equivalent of a fraction, the numerator of which shall be the sum of (i) the amount of Finance Charge Collections received during such Due Period, (ii) the amount of Series Yield Collections for each Series then outstanding for such Due Period and (iii) the amount of Series Additional Funds for each Series then outstanding for such Due Period, and the denominator of which shall be the total amount of Principal Receivables in the Trust as of the first day of such Due Period.

  • Portfolio Data means the Key Terms in relation to all outstanding Trades between you and us in a form and standard that is capable of being reconciled. The information comprising the Portfolio Data for Portfolio Data Delivery Date will be prepared as at the close of business New York time on the immediately preceding Business Day.

  • Receivables Net Investment means the aggregate cash amount paid by the lenders or purchasers under any Permitted Receivables Financing in connection with their purchase of, or the making of loans secured by, Receivables Assets or interests therein, as the same may be reduced from time to time by collections with respect to such Receivables Assets or otherwise in accordance with the terms of the Permitted Receivables Documents (but excluding any such collections used to make payments of items included in clause (c) of the definition of Interest Expense); provided, however, that if all or any part of such Receivables Net Investment shall have been reduced by application of any distribution and thereafter such distribution is rescinded or must otherwise be returned for any reason, such Receivables Net Investment shall be increased by the amount of such distribution, all as though such distribution had not been made.

  • FTR Portfolio Auction Value means for each customer account of a Market Participant, the sum, calculated on a monthly basis, across all FTRs, of the FTR price times the FTR volume in MW.

  • Concentration Reserve Percentage means, at any time of determination, the largest of: (a) the sum of the five (5) largest Obligor Percentages of the Group D Obligors, (b) the sum of the three (3) largest Obligor Percentages of the Group C Obligors, (c) the sum of the two (2) largest Obligor Percentages of the Group B Obligors and (d) the largest Obligor Percentage of the Group A Obligors.

  • Collection Point means the collection point for the Vehicle specified in the Confirmation and/or Rental Agreement;

  • LIBOR Total Spread means, for each Interest Period: (A) three-fourths of one percent (3/4 of 1%); (B) minus (or plus) the weighted average margin, for such Interest Period, below (or above) the London interbank offered rates, or other reference rates, for six-month deposits, in respect of the Bank’s outstanding borrowings or portions thereof allocated by the Bank to fund single currency loans or portions thereof made by it that include the Loan; as reasonably determined by the Bank and expressed as a percentage per annum.

  • Portfolio Loss means the loss realized on either (i) a portfolio sale of Single Family Shared-Loss Loans in accordance with the terms of Article IV or (ii) the sale of a loan with the consent of the Receiver as provided in Section 2.7.

  • Portfolios means the constituent series of the Fund, but for purposes of this Section 14.1 shall not include Portfolios excepted from the requirements of paragraph (a) of Rule 22c-2 by paragraph (b) of Rule 22c-2.

  • Monthly P&I means, with respect to any Receivable, the amount of each monthly installment of principal and interest payable with respect to such Receivable in accordance with the terms thereof, exclusive of any charges allocable to the financing of any insurance premium and charges which represent late payment charges or extension fees.

  • Discretionary Portfolio Management Services means the portfolio management services rendered to the Client by the Portfolio Manager on the terms and conditions contained in the agreement, where under the Portfolio Manager exercises any degree of discretion in the investments or management of assets of the Client.

  • Portfolio means any account, trust or other investment vehicle (except "Fund") over which the Firm has investment management discretion.

  • Securitization Assets means (a) the account receivable, royalty or other revenue streams and other rights to payment and other assets related thereto subject to a Qualified Receivables Financing and the proceeds thereof and (b) contract rights, lockbox accounts and records with respect to such accounts receivable and any other assets customarily transferred together with accounts receivable in a securitization financing.

  • Applicable Measurement Period means the most recently completed four consecutive fiscal quarters of the Issuer immediately preceding the Applicable Calculation Date for which internal financial statements are available.

  • Eligible Substitute Mortgage Loan With respect to a Mortgage Loan substituted by the Transferor for a Deleted Mortgage Loan, a Mortgage Loan which must, on the date of such substitution, (i) have a Principal Balance, (or, in the case of a substitution of more than one mortgage loan for a Deleted Mortgage Loan, an aggregate Principal Balance), not in excess of, and not more than 10% less than the Principal Balance of the Deleted Mortgage Loan; (ii) be accruing interest at a rate no lower than and not more than 1% per annum higher than, that of the Deleted Mortgage Loan; (iii) have a Loan-to-Value Ratio no higher than that of the Deleted Mortgage Loan; (iv) have a remaining term to maturity no greater than (and not more than one year less than that of) the Deleted Mortgage Loan; (v) comply with each representation and warranty set forth in Section 2.03 hereof; (vi) be the same credit grade category as the Deleted Mortgage Loan; (vii) have the same prepayment penalty term; and (viii) not be a Cooperative Mortgage Loan unless the Deleted Mortgage Loan was a Cooperative Mortgage Loan.

  • Loss Reserve Percentage means, at any time, the product of (b) 2.50, multiplied by (b) the highest average of the Default Ratios for any three consecutive calendar months during the twelve most recent calendar months multiplied by (c) the Loss Horizon Ratio.

  • Weighted Average Net Mortgage Rate The weighted average of the Net Mortgage Rates of the Mortgage Loans, weighted on the basis of the Stated Principal Balances thereof as of the close of business on the first day of the calendar month preceding the month in which such Distribution Date occurs.

  • Renewable Portfolio Standard or “RPS” means a state or federal law, rule or regulation that requires a stated amount or minimum proportion or quantity of electricity that is sold or used by specified persons to be generated from Renewable Energy Sources.

  • Applicable Monthly Payment For any Mortgage Loan (including an Outside Serviced Mortgage Loan) with respect to any month (including any such Mortgage Loan as to which the related Mortgaged Property has become an REO Property), the Monthly Payment; provided, however, that for purposes of calculating the amount of any P&I Advance required to be made by the Master Servicer or the Trustee, notwithstanding the amount of such Applicable Monthly Payment, interest shall be calculated at the Mortgage Rate less the Servicing Fee Rate and, if applicable, shall be exclusive of Excess Interest; and provided, further, that for purposes of determining the amount of any P&I Advance, the Monthly Payment shall be as reduced pursuant to any modification of a Mortgage Loan pursuant to Section 3.24 of this Agreement or pursuant to the applicable Outside Servicing Agreement, or pursuant to any bankruptcy, insolvency, or other similar proceeding involving the related Mortgagor.

  • Derived air concentration (DAC) means the concentration of a given radionuclide in air which, if breathed by the reference man for a working year of 2,000 hours under conditions of light work, results in an intake of one ALI. For purposes of these regulations, the condition of light work is an inhalation rate of 1.2 cubic meters of air per hour for 2,000 hours in a year. DAC values are given in Part 4, Appendix 4B, Table 4B1, Column 3.

  • Yield Reserve Percentage means at any time of determination:

  • Servicing Portfolio means, as to any Person, the unpaid principal balance of Mortgage Loans serviced by that Person under Servicing Contracts, minus the principal balance of all Mortgage Loans that are serviced by that Person for others under subservicing arrangements.

  • Reference Portfolio Return means on any day, the weighted average return of the Reference Assets calculated as the sum of the Weighted Reference Asset Return of each of the Reference Assets comprising the Reference Portfolio.