Weighted Average Report

Owned by Former user (Deleted)
Oct 27, 2016
2 min read

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.

The WAM report calculates the next reset date for variable and floating rate securities while the WAL report uses the stated maturity date. The WAM report allows the overriding of dates using the STAR_SECURITY_TIME_SERIES table in the SECURITY database for storing the days to maturity.

To create the Weighted Average report:

  1. From the Accounting Center window, click Reporting in the left navigation.
  2. Double click Investment Accounting, Position Reports, and Weighted Average Reporting.
    You see the Weighted Average Report panel.
  3. Complete the options on the Weighted Average Report panel.
  4. Click Submit and then click Advanced Report or Classic Grid Report. 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.

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:
    –  Sector
    –  Total Fund (Default)
  • Report Name. Allows you to select the type of report.
    Options include:
    –  Weighted Average Maturity (Default)
    –  Weighted Average Life
  • Data Type Option. Specifies the type of data for your report results.
    Options include:
    –  Market Value Base (Default)
    –  Face Amount
    –  Book Value Base
  • Report Type. Specifies the type of date that controls your report results.
    Options include:
    –  Accounting Date (Default)
    –  Month End Date
  • 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.

Selection Criteria

  • Report Filters. Allows you to show/hide additional report and security filters. The default is No.
  • 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. 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: Long Short, Asset Currency, Investment Type, Security Type, Processing Security Type, and Issue Country.