The Weighted Average report identifies government securities defined by the Investment Company Act of 1940 as part of the 2A-7 processing for money market funds to determine if a demand feature exists for a security. The report has two versions, the Weighted Average Life (WAL) report and the Weighted Average Maturity (WAM) report. The reports include several calculations:
- Days to Maturity. The calculation date minus the report run date.
- Weighted Maturity. The days to maturity multiplied by the shares.
- Weighted Average Days to Maturity. The total weighted maturity divided by the total shares.
- Weighted Average Years to Maturity. The weighted Average Days to Maturity divided by 365.
Position Level Weighted Average Days to Maturity. Weighted average days to maturity value calculated at a position level.
The WAM report calculates the next reset date for variable and floating rate securities while the WAL report uses the stated maturity date. The Weighted Average Maturity report provides the average days to maturity for all the underlying bonds in the fund, weighted based upon the percentage ownership of each bond.
The calculation date is the date used as “maturity” date for counting the days to maturity for use in the WAM reporting. You can use maturity shortening rules to govern the calculation date, which the report then uses to count the days to maturity for each bond. Different types of securities have different methods to use for the count. You can use the Report Override panels to create these rules. For information, see Manage Report Overrides for the Weighted Average Report. For securities that use a rolling demand logic where the days to maturity are a constant value, the security-level Demand Feature option stores the demand day count in calendar days for use in the Weighted Average Maturity report. The WAM report also allows you to override dates using the STAR_SECURITY_TIME_SERIES table in the SECURITY database for storing the days to maturity.
To create the Weighted Average report:
- In Accounting Center, in the left navigation pane, click Reports > Investment Accounting Reports > Positions > Weighted Average Report.
You see the Weighted Average Report panel. - Complete the options on the Weighted Average Report panel.
- Under Result Options, click Grid or Advanced Report for the report view you want.
- Click Submit.
The report appears on your desktop for the view selected.
Weighted Average Report Panel Options
A definition of the options on the Weighted Average Report panel follows.
| Option | Description |
|---|---|
| Required Parameters | |
| Entity ID | Specifies a portfolio, sector portfolio, composite portfolio, or Master Fund by the entity ID of the entity. |
| Entity Name | Specifies a portfolio, sector portfolio, composite portfolio, or Master Fund by name of the entity. |
| Accounting Basis | Specifies the entity accounting basis. For example, USTAX, GAAP, or IFRS. |
| Select View | Specifies the entity view for your report results. Options include:
|
| Select Sector | Allows you to filter by sector. To use this option, you must select Sector as your view. Options include:
|
| Sector ID | Allows you to filter by sector ID. To use this option, you must select Individual as your sector selection. |
| Sector | Allows you to filter by sector name. To use this option, you must select Individual as your sector selection. |
| Portfolio Type | Displays the portfolio type, such as the type of master fund. For example, MF. |
| Report Name | Allows you to select the type of report. Options include:
|
| Data Type Option | Specifies the type of data for your report results. Options include:
|
| Report Type | Specifies the type of date that controls your report results. Options include:
|
| Report Date | Specifies the ending date for your report results. The default is today's date. |
| Display Zero Holdings | Allows you to filter zero holdings. Default is No. |
| Call Source | Identifies the source of the call, put, or step dates to use in the report. If you select a master fund entity, the system initially displays a value based on the Wam Election or Wal Election value, as appropriate, selected for the master fund, but you can change it. For details, see Set Up Master Fund Reference Data for WAM/WAL Calculation. Options include:
|
| Currency Holdings | Indicates whether to include or exclude cash securities with a processing security type of Currency (CRCRCR) on the Weighted Average Maturity report or the Weighted Average Life report. If you select a master fund entity, the system initially displays a value based on the Wam Election or Wal Election value, as appropriate, selected for the master fund, but you can change it. For details, see Set Up Master Fund Reference Data for WAM/WAL Calculation. Options include:
|
| Selection Criteria | |
| Report Filters | Allows you to show/hide additional report and security filters. Using filters disables the fund-level WAM/WAL calculations. Options include Yes and No (Default). |
| Advanced Report Options | Allows you to show/hide advanced report, group, sort, and format options. The default is No. |
| Report Filters / Security Filter | |
| Filter Security By | Allows you to show/hide additional report filters. Using filters disables the fund-level WAM/WAL calculation. Options include: |
| Security Cross Reference (Default) | If you select this option the panel unhides the Xref Type and Xref Security ID fields for data entry. |
| Issue Name | If you select this option, the panel unhides the Issue Name field for data entry. |
| Primary Asset ID | If you select this option, the panel unhides the Primary Asset ID field for data entry. |
| Other Filters | You can filter results using other filters. Options include:
|
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