Stress Test Data Framework Dictionary 2021: Version 02

Residualmaturity

Enumeration Definition
<1W excluding overnight Include all instruments which mature in less than one week from the reporting date excluding those which mature overnight.
1M to less than 3M Include all instruments which mature in exactly one month but less than three months from the reporting date.
1W to less than 1M Include all instruments which mature in exactly one week but less than one month from the reporting date.
3M to less than 6M Include all instruments which mature in exactly three months but less than six months from the reporting date.
6M to less than 1Y Include all instruments which mature in exactly six months but less than one year from the reporting date.
Non-maturity instruments Includes all instruments without a maturity.
Overnight Include all instruments which mature overnight.