Set Up Master Fund Reference Data for WAM/WAL Calculation

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.

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. 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

Option

Tag

Description

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.

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.

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

How the WAM/WAL Elections Affect Weighted Average Report Settings

There is a relationship between the Wam Election and Wal Election values you define at the master fund level and the Call Source field and Currency Holdings field values displayed in the Weighted Average Report panel when you run the report for that master fund.

In order to display the Weighted Average Report panel values for the Call Source field and the Currency Holdings field, the system considers whether you are running the WAM or the WAL report, along with the value you selected for the master fund’s Wam Election or Wal Election field, as appropriate.

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: If you set Report Name (tag 7009) to Weighted Average Maturity (WAM_REPORT) Then Call Source (tag 1182) displays:	Weighted Average Report Panel Run for That Master Fund: If you set Report Name (tag 7009) to Weighted Average Maturity (WAM_REPORT) Then Currency Holdings (tag 7005) displays:

Master Fund Level If you set Wam Election (tag 18059) to:	Weighted Average Report Panel Run for That Master Fund: If you set Report Name (tag 7009) to Weighted Average Maturity (WAM_REPORT) Then Call Source (tag 1182) displays:	Weighted Average Report Panel Run for That Master Fund: If you set Report Name (tag 7009) to Weighted Average Maturity (WAM_REPORT) Then Currency Holdings (tag 7005) displays:
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: If you set Report Name (tag 7009) to Weighted Average Life (WAL_REPORT) Then Call Source (tag 1182) displays:	Weighted Average Report Panel Run for That Master Fund: If you set Report Name (tag 7009) to Weighted Average Life (WAL_REPORT) Then Currency Holdings (tag 7005) displays:

Master Fund Level If you set Wal Election (tag 18060) to:	Weighted Average Report Panel Run for That Master Fund: If you set Report Name (tag 7009) to Weighted Average Life (WAL_REPORT) Then Call Source (tag 1182) displays:	Weighted Average Report Panel Run for That Master Fund: If you set Report Name (tag 7009) to Weighted Average Life (WAL_REPORT) Then Currency Holdings (tag 7005) displays:
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)