WRITERS NOTE: NEW PAGEBefore 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.
Additionally, the system allows you to select a data source at the master fund level for running the WAM/WAL reports. In the WAM WAL Data Source field, you can select one out of four predefined options to specify the data source for the report. You can perform this setup when you create a new master fund or when you edit a master fund. For more information, see Create Master Fund Panel Options.
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:
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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:
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WAM WAL Data Source | 18564 | Specifies the data source for the Weighted Average Maturity report or Weighted Average Life report. Options include:
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How the WAM/WAL Elections Affect Weighted Average Report Settings
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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:
| Weighted Average Report Panel Run for That Master Fund:
|
|---|---|---|
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:
| Weighted Average Report Panel Run for That Master Fund:
|
|---|---|---|
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) |