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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. 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.

Money Market Funds

The Calculate NAV event determines if an entity is a Money Market portfolio. If the entity is a Money Market portfolio, the Calculate NAV process executes the WAM Report and WAL Report events. These events calculate the Weighted Average Maturity and Weighted Average Life value. The system stores the values on the ESTAR_NAV table. The Calculate Nav Multi Currency event also copies the Weighted Average Maturity and Weighted Average Life values from the ESTAR_NAV table to the NAV_MULTI table. The Query Nasdaq event copies over the Weighted Average Maturity and Weighted Average Life values from the NAV Multi table to the ESTAR_NAV_FOR_NASDAQ table. In the case of a multi-class Money Market entity, the Weighted Average Maturity and Weighted Average Life values are the same for each share class within the Money Market entity. You have the option to override the Weighted Average Maturity and Weighted Average Life values for each share class within the NASDAQ Transmission Console.

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 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.

Master Funds Other Than Money Market Funds

When you run the Calculate NAV panel/event, the system can calculate Weighted Average Maturity and Weighted Average Life value for master funds with a Master Fund Type other than Money Market. 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 enable the system to calculate the WAM and WAL. If the Calculate NAV events 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 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.

WRITERS NOTE: does this logic apply to any master fund that does not have a Money Market type, or does it apply only to master funds that have a Mutual Fund type? That is, does the product support WAM/WAL calculation during NAV calculation for any master fund or only for money market and mutual fund type master funds?

About Master Fund Setup

The system can use master fund-level WAM and WAL elections during the NAV calculation process, when the system runs the Weighted Average Maturity or the Weighted Average Life reports.

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

Option

Tag

Description

Wam Election

18059

Used when calculating Weighted Average Maturity (WAM) during the NAV Calculation process. For money market portfolio composite types, the system can use either a valid option or a NULL value to calculate WAM. For mutual fund portfolio composite types, you must specify 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. 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 (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. If you select 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 portfolio composite types, the system can use either a valid option or a NULL value to calculate WAL. For mutual fund portfolio composite types, you must specify 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. 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 (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 Include Currency Holdings during NAV calculation. If you select None 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.

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How the WAM/WAL Elections Affect Weighted Average Report Settings

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