A maturity or duration exposure report shows relative exposures of your portfolio at the last date in the current calculation interval. We show how to set up maturity-based returns; the settings for duration buckets are identical.
To generate an exposure report for maturity buckets, set
MaturityExposureReport=1The buckets used for the decomposition are assigned in MaturityList in the configuration settings. For instance, to use 1-year buckets up to 10 years maturity, then 5-year buckets up to 20 years, set
MaturityList=0,1,2,3,4,5,6,7,8,9,10,15,20FIA will then set up appropriate buckets based on your list. Note that maturity values need not be integer valued. For instance, maturity buckets can be specified in terms of fraction of a year.
Buckets can also be specified in terms of days, weeks, months, quarters and years. For more information, click here.
The maturity exposure report for a stand-alone portfolio looks as follows:
The maturity exposure report will then look as follows for a portfolio and bencmark:
