CMO, WAM, ,maturity, product, CUSIP, security

Q: How is the effective maturity determined for CMO securities (calc code 12)?

A: FOR CMO (calc code 12) ONLY: YOU MUST SET WAM VALUE in CUSIP profile Details tab. The WAM value acts as the effective maturity for these securities. If the WAM value isn't set, then the effective maturity is automatically set to the value of the stated maturity. CMO securities always get calculated using bond calculation methods.  If the effective maturity value is incorrect, then the yield worst, duration worst, and years worst calculations (in prodcalc) will also be incorrect.

Last updated: 04/28/05