WRITERS NOTE: NEW PAGE
Before you use the system to calculate Weighted Average Life and Weighted Average Maturity values, review the options you can select at the master fund level.
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 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 no 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.
Non Money Market Funds
When you run the Calculate NAV panel/event, the system can calculate Weighted Average Maturity and Weighted Average Life value for entity types other than Money Markets. The process is similar to that used for money markets.
However, you must specify the master fund entity elections of Wam Election and Wal election for mutual fund portfolio composite types to do so. If the Calculate NAV events determines 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 cannot calculate Weighted Average Maturity and Weighted Average Life values. The system does not use the default hardcoded values for mutual fund portfolio composite types.
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.
To set up master funds for use with WAM/WAL reporting, you must identify the master fund’s WAM Election and WAL Election values. The default election for these elections is NULL. You can perform this setup when you create a new master fund or when you edit a master fund.
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 composite types, the system can either use a valid option or use a NULL value. For mutual fund portfolio composite types, you must specify a valid option for the system to calculate WAM. This option identifies the source of the call, put, or step dates. Also indicates whether to include or exclude cash securities with a processing security type of Currency (CRCRCR). Options include:
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? |
Wal Election | 18060 | Used when calculating Weighted Average Life (WAL) during the NAV Calculation process. For money market portfoliio composite types, the system can either use a valid option or use a NULL value. For mutual fund portfolio composite types, you must specify a valid option for the system to calculate WAL. This option identifies the source of the call, put, or step dates. Also indicates whether to include or exclude cash securities with a processing security type of Currency (CRCRCR). Options include:
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? |
For more information about setting up master funds, see Create Master Fund Entities , Create Master Fund Panel Options , and Manage Sector/Fund Information.
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