In general, for securities other than mortgages, cash, equities, and variable rates, the ticket's maturity date value is used in determining the average maturity value.

Bonds

First you need to compute the stated maturity date, because the rest of the date calculation requires it to be set correctly:

If the bond is pre-refunded and a call date/price exist, the call date is used.

If the bond has a mandatory put and a put date/price exist, the put date is used.

If an override maturity date is passed from a ticket, the override date is used, even if the ticket maturity date is longer than the CUSIP.

Otherwise the maturity date on the product table is used.

Now you compute the effective maturity date by looking at exceptions relative to the stated maturity date. If a variable rate reset date and/or put date exists,

If the variable rate period is rolling, the reset date is assumed to be the number of days implied by the variable rate frequency (weekly = 7, etc.). Otherwise the stated variable rate reset date is used in subsequent calculations.

If the stated maturity is <= 397 days, the SHORTER of the variable rate reset date or the put date (depending on which exist) is used.

If the stated maturity is > 397 days, the LONGER of the variable rate reset date or the put date (depending on which exist) is used.

Otherwise the stated maturity date (as modified above) is used.

Mortgages

The preferred average maturity calculation uses the prodcalc "Average Life" value. If that value is 0, then the system looks at the product.mbs_wam value. If it is non-zero, the WAM is converted from months into a fractional number of years. If neither the average life or the WAM is available, then the system falls back to the stated maturity date to determine the average maturity. Ultimately, all of these values are converted such that Effective_Maturity_Date = (Settlement Date + (Average Life In Years * 365.25)).

Cash & Daily Variable Rate Securities:

Average Maturity is 1 day for cash and equivalents, and for daily variable rate securities.

Last updated: 04/28/05