Modified Duration means, with respect to any Corporate Bond or U.S. Government Security, the quotient of (a) the weighted average term to maturity of the cash flows generated by such security divided by (b) the sum of (i) one plus (ii) the quotient of (A) the yield to maturity of such security divided by (B) the number of interest payments on such security per year. For the purposes of this calculation, the number of interest payments on any non-interest bearing Corporate Bonds or U.S. Zeroes is assumed to be two per year. With respect to a portfolio of Eligible Fixed-Income Investments, Modified Duration means an amount equal to the average of the Modified Duration of each such Eligible Fixed-Income Investment, weighted on the basis of the Market Values thereof.
Modified Duration means an amount equal to the average of the Modified Duration of each such Eligible Fixed-Income Investment, weighted on the basis of the Market Values thereof.
Modified Duration means, with respect to any Corporate Bond, U.S. Treasury Note, U.S. Treasury Zero, U.S. Agency Note, U.S. Agency Zero or U.S. Treasury Future on any Valuation Date, the quotient of (a) the weighted average term to maturity of the cash flows generated by such security (or, in the case of a U.S. Treasury Future, by the Cheapest-to-Deliver Bond with respect to such U.S. Treasury Future on such Valuation Date) divided by (b) the sum of (i) one plus (ii) the quotient of (x) the yield to maturity of such security (or, in the case of a U.S. Treasury Future, of the Cheapest-to-Deliver Bond with respect to such U.S. Treasury Future) divided by (y) the number of interest payments on such security per year (or in the case of a U.S. Treasury Future, on the Cheapest-to-Deliver Bond with respect to such U.S. Treasury Future). For the purposes of this calculation, the number of interest payments on any U.S. Treasury Zero is assumed to be two per year.
More Definitions of Modified Duration
Modified Duration means, with respect to any fixed income security, the quotient of (a) the weighted average term to maturity of such security's cash flows divided by (b) the sum of (i) one plus (ii) one half of the security's current bond equivalent yield to maturity.
Modified Duration means a quotient whose numerator is the Macaulay duration and whose denominator is the sum of one and the yield to maturity,
Modified Duration means, with respect to a Portfolio Asset, the modified duration of an interest rate hedge or swap agreement having the same weighted average maturity (as determined by the Investment Administrator in a commercially reasonable manner) as the Portfolio Asset. The Investment Administrator shall compute such modified duration using data from the "Receive Fixed" section of the "SWPM" page on the Bloomberg service for such interest rate hedge or swap agreement. In computing such modified duration, the Investment Administrator shall enter the following information into the input fields of the "Receive Fixed" section:
Modified Duration means the modified duration (calculated to six decimal places) for a Ten-Year Treasury Rate.
Modified Duration means, with respect to any Corporate Bond, U.S. Treasury Zero or U.S. Treasury Future on any Valuation Date, the quotient of (a) the weighted average term to maturity of the cash flows generated by such security (or, in the case of a U.S. Treasury Future, by the Cheapest-to-Deliver Bond with respect to such U.S. Treasury Future on such Valuation Date) divided by (b) the sum of (i) one plus (ii) the quotient of (x) the yield to maturity of such security (or, in the case of a U.S. Treasury Future, of the Cheapest-to-Deliver Bond with respect to such U.S. Treasury Future) divided by (y) the number of interest payments on such security per year (or, in the case of a U.S. Treasury Future, on the Cheapest-to-Deliver Bond with respect to such U.S. Treasury Future). For the purposes of this calculation, the number of interest payments on any U.S. Treasury Zero is assumed to be two per year.