Understand WAM/WAL Calculation for NASDAQ Reporting

About Calculating WAM/WAL for Master Funds

The Valuation Close Calculate NAV event (associated with the Calculate NAV panel) and the Function Wrapper Calculate NAV event always calculate WAM and WAL for Money Market (MM) portfolio types, and can calculate WAM and WAL for Mutual Fund (MF) type master funds.

During NAV calculation, 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 and stores it in the NAV_MULTI table.

Determine How to Calculate WAM/WAL

You can set up the system to calculate WAM/WAL for master funds in different ways.

WAM/WAL Calculation for Money Market Type Master Funds

When the system calculates WAM/WAL during the Calculate NAV process for Money Market type master funds, it uses hard coded defaults to determine the calculation methodology. You can also set up the system to calculate WAM and WAL with options that differ from those default options.

For a money market portfolio composite type, the system calculates:

• Weighted Average Maturity using the default election of Call Schedule and Exclude Currency Holdings.

• Weighted Average Life using the default election of Call Schedule and Include Currency Holdings.

The Call Schedule option indicates that the system uses the Schedule table as the source for the next call, put, or step date to use for the WAM/WAL calculation. The Currency Holdings options determine whether the WAM/WAL report does or does not display CRCRCR securities in the report.

Alternatively, the Calculate NAV process can use master fund-level WAM and WAL elections to determine how to calculate Weighted Average Life and Weighted Average Maturity for a given Money Market fund, rather than rely on the default hardcoded options. In place of using the Call Schedule, the system can use the Override Table. In that case, the system uses report override rules as the source for call, put, or step dates to use for the WAM calculation. You can also specify whether the WAM/WAL report should or should not display CRCRCR securities in the report. Setup of the master fund-level WAM Election and WAL Election is optional for Money Market funds.

For information about setting up the master-fund level options, called the WAM Election and the WAL Election, see Set Up Master Fund Reference Data for WAM/WAL Calculation. For information about setting up report override rules, see Manage Report Overrides for the Weighted Average Report.

WAM/WAL Calculation for Mutual Fund Type Master Funds

When you run the Calculate NAV panel/event, the system can calculate Weighted Average Maturity and Weighted Average Life value for master funds with a Master Fund Type of Mutual Fund. The process is similar to that used for money markets.

The Calculate NAV process uses master fund-level WAM and WAL elections to determine how to calculate Weighted Average Life and Weighted Average Maturity for a given master fund. The default hardcoded options apply only to Money Market funds.

Therefore, while setup of the master fund-level WAM Election and WAL Election fields is optional for Money Market funds, it is required for Mutual Fund type master funds in order to calculate WAM/WAL values. If the Calculate NAV events determine 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 system cannot calculate the Weighted Average Maturity and Weighted Average Life values.

For each master fund, you can specify use of the Call Schedule or the Override Table. The Call Schedule option indicates that the system uses the Schedule table as the source for the next call, put, or step date to use for the WAM/WAL calculation. The Override Table allows the system to use report override rules as the source for call, put, or step dates to use for the WAM calculation. You can also specify whether the WAM/WAL report should or should not display CRCRCR securities in the report.

For information about setting up the master-fund level options, called the WAM Election and the WAL Election, see Set Up Master Fund Reference Data for WAM/WAL Calculation. For information about setting up report override rules, see Manage Report Overrides for the Weighted Average Report.

Understand NASDAQ Processing Impact

In the NASDAQ Transmission Delta panel, the QUERY_NASDAQ event copies over the Weighted Average Maturity and Weighted Average Life values from the NAV Multi table to store the calculated WAM and WAL on the ESTAR_NAV_FOR_NASDAQ table. Also, the QUERY_NASDAQ procedure which creates the NASDAQ transmission messages includes the WAM and WAL on the money market valuation messages.

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.

In the OVERIDE NAV window within the NASDAQ Transmission Console, you can override the calculated WAM and WAL values. Only use this option if you do not agree with the calculated WAM and WAL value calculated by the Eagle mutual fund accounting solution.

Open

About the Automated Event Wrapper and WAM/WAL Calculation

The Revaluation of Positions and Open Lots event belongs to the default Valuation Close Events Event Group. This event is the first event executed in the default Valuation Close Events Event Group.

The system needs to execute this event before it executes the Calculate NAV event so that the WAM and WAL events (which are run as part of Calculate NAV) can retrieve the proper position and market data from the position tables to calculate a correct WAL and WAM value. If this event is not executed before Calculate NAV, then the system does not calculate a WAL and WAM value.

Review WAM and WAL

You can review WAM and WAL values using the List Valuation Periods panel Show All tab results and the List Multicurrency NAV panel Show All tab results.

Add Historical WAM/WAL Values during Conversion

When you convert master fund entities from a legacy system to the Eagle mutual fund accounting solution, you can add historical WAM and WAL values to the system. Use of historical values is optional.

In the Create NAV panel and the Edit NAV panel, you can specify a Weighted Average Life (tag 8623) and a Weighted Average Maturity (tag 8624) amount. These panels allow you to enter WAM/WAL values that the system saves to the ESTAR_NAV table.