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WRITERS NOTE: NEW PAGE

Before you use the system to calculate Weighted Average Life and Weighted Average Maturity values for master funds, review the options you can select at the master fund level and their impact.

Understand WAM/WAL Calculation during NAV Calculation

If you use the Eagle mutual fund accounting solution, when you run the Calculate NAV panel/event, the system also calculates Weighted Average Maturity and Weighted Average Life values. And After the system calculates those values, the NASDAQ Money Market Valuation Message includes the Weighted Average Maturity and Weighted Average Life values on the NASDAQ Money Market Valuation Message.

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The Calculate NAV process can use the master fund-level WAM and WAL elections to determine which options to use to calculate Weighted Average Life and Weighted Average Maturity, rather than rely on default hardcoded options. If you select no WAM/WAL option is selected on the entity setup for a money market portfolio composite type, the system calculates Weighted Average Maturity using the default election of Call Schedule and Exclude Currency Holdings, and it calculates Weighted Average Life using the default election of Call Schedule and Include Currency Holdings.

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When you run the Calculate NAV panel/event, the system can calculate Weighted Average Maturity and Weighted Average Life value for entity types master funds with a Master Fund Type other than Money MarketsMarket. The process is similar to that used for money markets.

However, while you do not need to set up the master fund-level WAM Election and WAL Election settings for a Money Market type master fund and calculate WAM and WAL, this does not apply to master funds that are not money market funds. You must specify the master fund entity elections of Wam Election and Wal election for mutual fund portfolio composite types to do soto enable the system to calculate the WAM and WAL. If the Calculate NAV events determines determine that the master fund is not a money market portfolio, and if you do not specify the WAM/WAL elections for the master fund, then the sytsem system cannot calculate the Weighted Average Maturity and Weighted Average Life values. The system does not use the default hardcoded values associated with a null value for mutual fund portfolio composite types.

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The Wam Election and Wal Election fields are available in the Create Master Fund panel and the Edit Master Fund/Sector panel. A description of these options follows.WRITERS NOTE: how do these setting interact with the similar Call Source and Currency Holdings options set at the Weight Average Report level? Are the report level options unavailable when you run NAV calculation? I thought NAV calculation kicks off the Weighted Average report event?

Option

Tag

Description

Wam Election

18059

Used when calculating Weighted Average Maturity (WAM) during the NAV Calculation process. For money market portfoliio portfolio composite types, the system can use either use a valid option or use a NULL value to calculate WAM. For mutual fund portfolio composite types, you must specify a valid option an option other than None (N or NULL) for the system to calculate WAM.

This option identifies the source of the call, put, or step dates. Also It also indicates whether to include or exclude cash securities with a processing security type of Currency (CRCRCR). Options include:

  • Call Schedule/Exclude Currency Holdings (CEXC). The system uses the Schedule table as the source for the next call, put, or step date to use for the WAM calculation. The Weighted Average Maturity report does not display CRCRCR securities in the report.

  • Override Table/Exclude Currency Holdings (OEXC). The system uses the report override rules as the source for call, put, or step dates to use for the WAM calculation. It uses report overrides that have a Date Type value of DEMAND - CALL, DEMAND - PUT, DEMAND - STEP, and DEMAND - REFUND to identify the calculation date, if available. The Weighted Average Maturity report does not display CRCRCR securities in the report.

  • Call Schedule/Include Currency Holdings (CINC). The system uses the Schedule table as the source for the next call, put, or step date to use for the WAM calculation. The Weighted Average Maturity report displays CRCRCR securities in the report. These holdings have a defaulted days to maturity set to 1 and the calculation date set to report date + 1.

  • Override Table/Include Currency Holdings (OINC). The system uses the report override rules as the source for call, put, or step dates to use for the WAM calculation. It uses report overrides that have a Date Type value of DEMAND - CALL, DEMAND - PUT, DEMAND - STEP, and DEMAND - REFUND to identify the calculation date, if available. The Weighted Average Maturity report displays CRCRCR securities in the report. These holdings have a defaulted days to maturity set to 1 and the calculation date set to report date + 1.

  • None . ????? NULL. Default. If you (N or Null). If you select None or do not specify a value for this option for a money market portfolio composite type, the system uses the hardcoded default election of Call Schedule and Exclude Currency Holdings during NAV calculation.

WRITERS NOTE: The default election is Call Schedule and Exclude

  • .

But this is not the default panel option. It is a hardcoded option? Is it similar to None or null? Should we describe NULL behavior or identify the default? it is not clear how None works.

  • If you select

None, does processing use the value in the Weighted Average Report panel? Does this option work differently for MM portfolio composite and master funds that are not money market?

  • this value for a master fund that does not have a Money Market type, the system cannot calculate WAM for that master fund.

Wal Election

18060

Used when calculating Weighted Average Life (WAL) during the NAV Calculation process. For money market portfoliio portfolio composite types, the system can use either use a valid option or use a NULL value to calculate WAL. For mutual fund portfolio composite types, you must specify a valid option an option other than None (N or NULL) for the system to calculate WAL.

This option identifies the source of the call, put, or step dates. Also It also indicates whether to include or exclude cash securities with a processing security type of Currency (CRCRCR). Options include:

  • Call Schedule/Exclude Currency Holdings (CEXC). The system uses the Schedule table as the source for the next call, put, or step date to use for the WAL calculation. The Weighted Average Life report does not display CRCRCR securities in the report.

  • Override Table/Exclude Currency Holdings (OEXC). The system uses the report override rules as the source for call, put, or step dates to use for the WAL calculation. It uses report overrides that have a Date Type value of DEMAND - CALL, DEMAND - PUT, DEMAND - STEP, and DEMAND - REFUND to identify the calculation date, if available. The Weighted Average Life report does not display CRCRCR securities in the report.

  • Call Schedule/Include Currency Holdings (CINC). The system uses the Schedule table as the source for the next call, put, or step date to use for the WAL calculation. The Weighted Average Life report displays CRCRCR securities in the report. These holdings have a defaulted days to maturity set to 1 and the calculation date set to report date + 1.

  • Override Table/Include Currency Holdings (OINC). The system uses the report override rules as the source for call, put, or step dates to use for the WAL calculation. It uses report overrides that have a Date Type value of DEMAND - CALL, DEMAND - PUT, DEMAND - STEP, and DEMAND - REFUND to identify the calculation date, if available. The Weighted Average Life report displays CRCRCR securities in the report. These holdings have a defaulted days to maturity set to 1 and the calculation date set to report date + 1.

  • None . ????? NULL. Default(N or NULL). If you do not specify a value for this option for a money market portfolio composite type, the system uses the hardcoded default election of Call Schedule and Exclude Include Currency Holdings during NAV calculation.

WRITERS NOTE: The default election is Call Schedule and Exclude. But this is not the default panel option. It is a hardcoded option? Is it similar to None or null? Should we describe NULL behavior or identify the default? it is not clear how None works

  • . If you select None

, does processing use the value in the Weighted Average Report panel? Does this option work differently for MM portfolio composite and master funds that are not money market?

  • or a null value for a master fund that does not have a Money Market type, the system cannot calculate WAL for that master fund.

For more information about setting up master funds, see Create Master Fund Entities , Create Master Fund Panel Options , and Manage Sector/Fund Information.

There is a relationship between the Wam Election and Wal Election values you define at the master fund level and the Call Source field and Currency Holdings field values displayed in the Weighted Average Report panel when you run the report for that master fund.

In order to display the Weighted Average Report panel values for the Call Source field and the Currency Holdings field, the system considers whether you are running the WAM or the WAL report, along with the value you selected for the master fund’s Wam Election or Wal Election field, as appropriate.

The following table shows the impact of the master fund-level Wam Election field on the Weighted Average Maturity report settings.

Master Fund Level

If you set Wam Election (tag 18059) to:

Weighted Average Report Panel Run for That Master Fund:

  • If you set Report Name (tag 7009) to Weighted Average Maturity (WAM_REPORT)

  • Then Call Source (tag 1182) displays:

Weighted Average Report Panel Run for That Master Fund:

  • If you set Report Name (tag 7009) to Weighted Average Maturity (WAM_REPORT)

  • Then Currency Holdings (tag 7005) displays:

Call Schedule/Exclude Currency Holdings (CEXC)

Call Schedule (C)

Exclude (EXC)

Override Table/Exclude Currency Holdings (OEXC)

Override Table (O)

Exclude (EXC)

Call Schedule/Include Currency Holdings (CINC)

Call Schedule (C)

Include (INC)

Override Table/Include Currency Holdings (OINC)

Override Table (O)

Include (INC)

None (N or NULL)

Note: WAM calculated for Money Market type master funds; no WAM calculated for other types of master funds.

Call Schedule (C)

Exclude (EXC)

The following table shows the impact of the master fund-level Wal Election field on the Weighted Average Maturity report settings.

Master Fund Level

If you set Wal Election (tag 18060) to:

Weighted Average Report Panel Run for That Master Fund:

  • If you set Report Name (tag 7009) to Weighted Average Life (WAL_REPORT)

  • Then Call Source (tag 1182) displays:

Weighted Average Report Panel Run for That Master Fund:

  • If you set Report Name (tag 7009) to Weighted Average Life (WAL_REPORT)

  • Then Currency Holdings (tag 7005) displays:

Call Schedule/Exclude Currency Holdings (CEXC)

Call Schedule (C)

Exclude (EXC)

Override Table/Exclude Currency Holdings (OEXC)

Override Table (O)

Exclude (EXC)

Call Schedule/Include Currency Holdings (CINC)

Call Schedule (C)

Include (INC)

Override Table/Include Currency Holdings (OINC)

Override Table (O)

Include (INC)

None (N or NULL)

Note: WAM calculated for Money Market type master funds; no WAM calculated for other types of master funds.

Call Schedule (C)

Include (INC)