Q1:  How is Computed NAV (net asset value) calculated in the nightly program?

A1:  Computed NAV =  Total Market Value of all positions in fund + Trade Date Cash Balance of fund, where the Total Market Value is the Total of the Adjusted Basis of each position in the fund.

Adjusted Basis:

If Cash Equivalent security (calc code 10),
    Adjusted Basis =
        tckmast.remaining_quantity  X
        product.principal_scalar  X
        product.mbs_principal_factor  X
        tckmast.average_price
If Not Cash Equivalent security,
    Adjusted Basis =
        (Unit Cost + Accrued Interest in Period)   X
        tckmast.remaining_quantity  X
        product.principal_scalar  X
        product.mbs_principal_factor

Unit Cost:

Unit Cost is based on reval_principal_basis setting in insttype table (M,A,C,P)
If effective maturity date is longer than one 'money market year' (397 days) or
       user has specified market price (M),
    unit cost is the price from the product price history (prodprih) table.
    (If history price not available, unit cost is original cost from ticket.)
else if user specified adjusted cost (A),
    unit cost is based on daily accretion/amortization to par.
else if f user specified original cost (C),
    unit cost is the original cost from ticket (no daily adjustment).
else if user specified Par (P),
    unit cost is par.

MBS principal factor:

If MBS Principal Factor is 0,
    MBS Principal Factor is set to 1.

Accrued Interest in Period

If reval_use_accrued_int setting in insttype table is 0,
    Accrued Interest in Period = 0.

Q2:  Is Computed NAV used in limit checking for % Assets limits?

A2:   Computed NAV is used in limit checking for % Assets limits, unless a
value exists for Assigned NAV.  Assigned NAV takes precedence over
Computed NAV.

Last updated: 04/28/05