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.
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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 |
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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. The default value is NULL.
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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: 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. The default value is NULL.
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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: Market Value Base Face Amount Book Value Page 2a7 Market Value
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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: |
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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: |
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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) |
