Manage Weighted Average Maturity and Weighted Average Life Calculation

WRITERS NOTE: reviewed by DD and KM

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. 

You can use report overrides to create rules that affect the Weighted Average report results. Report override rules can determine how Weighted Average report calculates the days to maturity and can allow the report to contain more accurate data. This prevents spikes in the days calculated when there is a timing delay receiving reference data to update these fields.

If you use the Eagle mutual fund accounting solution, the system can calculate Weighted Average Life (WAL) and Weighted Average Maturity (WAM) for Money Market portfolios, along with Mutual Fund master fund entity types. You can set up elections at the master fund level that determine how the system calculates the WAM/WAL values, and can use report overrides. The system can calculate WAM/WAL values by executing the WAM and WAL report events when it calculates NAVs. If you use the NASDAQ Transmission console and want to report those values for Money Market entities to NASDAQ, the system can include the WAM and WAL values on the NASDAQ Money Market Valuation Message for transmission to NASDAQ.

This section describes how the system calculates WAM/WAL and how you can set up the system to calculate WAM/WAL differently based on various criteria.