The Bond Buyer writes "Analysts Eye Market Access Risk". It says, "Municipal credit analysts are spending more time evaluating a risk few used to give much thought to: a municipality's loss of market access for refinancing short-term debt. The auction-rate securities crisis in 2008 reminded the $2.8 trillion municipal bond market that it is possible for investors to abruptly refuse to lend money. Most municipal borrowing does not require refinancing. But like ARS, some vehicles -- such as bond anticipation notes and variable-rate demand obligations -- force municipalities to tap the market multiple times for the same sum of borrowed money. In light of this need, analysts increasingly recognize the vulnerability of municipalities to a market freeze-out similar to the ARS collapse, and are trying to incorporate that possibility into their analyses." The piece adds, "Earlier this week, Standard & Poor's issued a request for comment on methodology for quantifying just how likely it is an issuer of Bans will be unable to tap the bond market to pay off the notes." Natalie Cohen, managing director of municipal securities research at Wells Fargo comments, "There's a correlation between better credit and market access." "She also likes to look at the overall debt profile of an issuer, to see whether too much of its debt matures in the short term," says Bond Buyer.
As a reminder, we're making the final preparations for our new educational conference, Crane's Money Fund University, which will be held Jan. 13-14, 2011, at the Westin Jersey City Newport. We hope you will consider sending your new people! Money Fund University will offer attendees an affordable and comprehensive two day, "basic training" course on money market mutual funds. We'll cover the history of money funds, interest rates, Rule 2a-7, ratings, rankings, money market instruments such as commercial paper and repo, and portfolio construction and credit analysis. New portfolio managers, analysts, investors, issuers, service providers, and anyone interested in expanding their knowledge of "cash" investing should benefit from our comprehensive program. Even experienced professionals should enjoy a refresher course and the opportunity to interact with peers in an informal setting. Visit http://www.moneyfunduniversity.com for the latest details or e-mail Pete Crane for a copy of the full brochure. Registration is just $600. We'd like to extend a special thanks to our MFU Sponsors -- BofA Global Capital Management, Fitch Ratings, Wells Fargo Advantage Funds, Citibank Online Investments, Commerzbank, Fidelity Investments, Invesco, G.X. Clarke & Co., Standard & Poor's and Institutional Cash Distributors (ICD) -- and to our speakers for supporting our new program. Finally, mark your calendars for our next Crane's Money Fund Symposium, which will be held June 22-24, 2011, at the Philadelphia Marriott. We've released the preliminary agenda and the conference website in now live at www.moneyfundsymposium.com.
Franklin Templeton Investments posted a piece entitled, "Understanding Interest Rate Fluctuations". The "basic training" article says, "Because interest rate movements can significantly influence fixed income funds, this section is intended to help you understand the basics of how interest rates can affect a fund's share price and total return. What causes interest rates to rise and fall? The Federal Reserve Board (the Fed) controls the Federal funds target rate (Fed funds rate), which in turn influences the market for shorter-term securities. The Fed funds rate is the rate that banks charge other banks for overnight loans. The Fed closely monitors the economy and has the power to raise or lower the Fed funds rate to keep inflation in check or to help stimulate the economy." It also says, "Longer-term interest rates, as represented by yields of the 10- and 30-year Treasury bonds, are market-driven and tend to move in anticipation of changes in the economy and inflation. How do interest rates affect bond prices? Typically, bond prices and interest rates move in opposite directions. This means that when interest rates rise, bond prices tend to fall, and conversely, when interest rates decline, bond prices tend to rise." Franklin explains, "Here's why: Suppose you invest $1,000 in a 10-year U.S. Treasury bond with a 5% yield. That interest rate is fixed, even as prevailing interest rates change with economic conditions, especially the rate of inflation. After five years, you decide to sell the bond, but interest rates have risen and similar new bonds are now paying 6%. Obviously, no one wants to pay $1,000 for a bond yielding 5% when a higher-yielding bond costs the same. So the bond’s value has decreased."
Dreyfus recently posted a (Dec. 22) brief entitled, "Money Market Commentary provided by Senior Portfolio Manager Patricia Larkin". It says, "At the final Federal Reserve Open Market Committee meeting of the year, the Fed reiterated its plan to hold overnight interest rates steady while purchasing $600 billion in longer-term Treasury securities. The Fed is responding to a domestic economy that, while growing, is expanding at a pace which has left unemployment stubbornly high, hovering near 10%. On the positive side, the recently passed tax bill has reduced uncertainty for both consumers and businesses and led most economists to boost their 2011 forecasts with most expecting continued acceleration from the just reported 3rd quarter GDP growth rate of 2.6%.... While U.S. consumers have made good progress in paying down their own debt during the downturn, the same cannot be said at the federal, state or local levels. This same scenario is also seen in other parts of the world as Europe faces a challenge to its traditional levels of social spending as well as the question of whether the Euro can survive under the current format. In this environment, we have continued our long-time focus on investing in large systemically important institutions and programs which we have carefully reviewed. In addition, we maintain high levels of overnight liquidity in our Prime funds. Our weighted average maturity has, for the most part, been shorter than the industry average as we believe funding levels may rise in the New Year as significant amounts of short-term debt need to be refinanced. As we look forward we will continue to closely monitor the institutions and programs in which we invest. We will position the funds taking into account our economic outlook while maintaining appropriate liquidity and our focus on credit quality."
"Tax-Free Fund Complex Continues to Teeter" writes The Bond Buyer. It says, "The tax-free money market fund industry continues to shrink rapidly, squeezing what had been a major source of short-term credit for municipalities and arguably leading to higher borrowing costs for state and local governments.... Investors yanked $92.4 billion from tax-free money market funds in 2009, and an additional $71.8 billion so far in 2010, according to the Investment Company Institute. The tax-free money fund industry, which ended 2008 with $489.3 billion in assets, has shrunk by a third in the past two years, to $325 billion. The impetus behind the exodus of cash is no mystery: returns on the funds are too low for investors. Money market funds behave like cash by investing only in instruments with supreme safety and liquidity. Yields on these instruments tend to shadow short-term low or no-risk interest rates, such as the Federal Reserve's federal funds rate or short-term Treasury bill rates. Thanks to the Fed's commitment to keeping benchmark interest rates near zero, these rates have been pinned to the floor for two years. The Securities and Financial Markets Association swap index measures the average yield on a seven-day tax-exempt variable-rate demand obligation, which is the primary instrument tax-free money market funds buy. That index at its latest reading, on Dec. 15, was 0.3%."
ICI's latest weekly "Money Market Mutual Fund Assets" report shows assets dipping below the $2.8 trillion level. The release says, "Total money market mutual fund assets decreased by $9.28 billion to $2.788 trillion for the week ended Tuesday, December 21, the Investment Company Institute reported today. Taxable government funds decreased by $5.89 billion, taxable non-government funds decreased by $4.13 billion, and tax-exempt funds increased by $740 million." According to Crane Data's calculations based on ICI's weekly numbers, money fund assets have declined by $505 billion, or 15.3% YTD in 2010. This compares to a decline of $537 billion, or 14.0%, in 2009. Money funds assets have dipped just below the $2.8 trillion level on several occassions in the second half of 2010, but they've managed to hold around this level since June of this year.
Bloomberg writes "JPMorgan, Natixis Woo 'Paranoid' Customers With New Money Funds". The article says, "JPMorgan Chase & Co. and a U.S. unit of French bank Natixis SA are offering money-market mutual funds aimed at wooing back customers spooked by the financial crisis into moving their money to federally insured deposits. The new offerings promise to keep the average maturity of their holdings at 10 days or fewer, one-fourth that of competing funds, according to the companies and researcher Crane Data LLC. Shorter maturities allow managers to shift more quickly out of a troubled issuer and into other securities or cash." Bloomberg quotes Peter Crane, president of Crane Data LLC in Westborough, Massachusetts, which tracks the $2.79 trillion industry, "They are aimed squarely at the paranoid cash manager." The piece adds, "The JPMorgan Current Yield Money Market Fund, opened at the beginning of October, will maintain an asset-weighted maturity on holdings of 10 days or fewer under 'normal market conditions,' according to the prospectus.... RNT Natixis Liquid Prime Portfolio, a prime fund run by Reich & Tang Asset Management LLC that opened Nov. 30, will maintain an asset-weighted average maturity of nine days or fewer, said Tom Nelson, head of sales and marketing at the New York-based firm." (See also Crane Data's Oct. 1 News "JPMorgan Rolls Out Ultra-Short Money Mkt Fund, Enhanced Cash Fund" and our Nov 3 News "Reich and Tang Files Ultra-Short MMF, RNT Natixis Liquid Prime Port".)
Moody's put out a release entitled, "Moody's Affirms Bank of Ireland Money Market and Bond Fund Ratings". It says, "Moody's Investors Service has affirmed the Aaa/MR1+ fund ratings of the Bank of Ireland Euro Liquidity Fund, Bank of Ireland Sterling Liquidity Fund, and the Bank of Ireland US Dollar Liquidity Fund. At the same time, Moody's has also affirmed the Aa/MR2 bond fund ratings of the Bank of Ireland Enhanced Cash Euro Fund. The funds are managed by the Bank of Ireland Asset Management. The affirmations of the funds' ratings follow last week's downgrade of Ireland's sovereign debt rating to Baa1 from Aa2, and today's downgrade of the Bank of Ireland's long term senior debt and bank deposits to Baa2 from A1, and its short-term debt rating and bank deposits to Prime-2 from Prime-1. The rating outlook for Ireland and the Bank of Ireland is negative. Until recently, the BOI Money Market Funds had significant exposure to the Bank of Ireland's obligations and other Irish banks, which was at the limit of Moody's tolerance for Aaa-rated money market funds. However, the BOI Money Market Funds have successfully managed down their Irish bank exposures over the last two weeks, and such exposure is today 0% of each fund's total invested assets. All of the BOI Money Market Funds' Irish assets were overnight-maturing securities immediately prior to the downgrade of Ireland's sovereign debt rating, following recent steps taken by BIAM to reduce maturities. These actions improved materially the funds' liquidity position and reduce their sensitivity to market risk. The Enhanced Cash Euro Fund, which is a bond fund, currently has 12.6% exposure to Ireland, with 8.9% of such exposure maturing by January 2011." (Note that Crane Data's Money Fund Intelligence International does not track the Bank of Ireland funds.)
Bloomberg writes "Yields Flatten QE2 Critics With Curve Showing Fed End". The article says, "Government bonds are falling the most in a year as the gap between yields on longer-term Treasuries show that the Federal Reserve's second round of quantitative easing may be its last. The difference between 10- and 30-year yields shrank to 1.05 percentage points, or 105 basis points, on Dec. 15 from a record 1.60 points on Nov. 10, the fastest contraction since the 1980s, according to data compiled by Bloomberg. The shift in the so-called yield curve is taking place as Bank of America Merrill Lynch index data show U.S. bonds due in 10 years or more lost 4.64 percent this month, trimming 2010’s gain to 8.37 percent." The piece adds, "Flattening usually foreshadows the end of Fed interest-rate cuts aimed at stimulating growth. U.S. reports this month showed rising retail sales, higher consumer confidence and a jump in industrial production after the central bank expanded its balance sheet to an unprecedented $2.39 trillion, pumping money into the financial system."
ICI's weekly "Money Market Mutual Fund Assets" says, "Total money market mutual fund assets decreased by $33.23 billion to $2.803 trillion for the week ended Wednesday, December 15, the Investment Company Institute reported today. Taxable government funds decreased by $8.05 billion, taxable non-government funds decreased by $24.08 billion, and tax-exempt funds decreased by $1.09 billion. Assets of retail money market funds increased by $530 million to $939.53 billion. Taxable government money market fund assets in the retail category decreased by $350 million to $166.40 billion, taxable non-government money market fund assets increased by $580 million to $569.79 billion, and tax-exempt fund assets increased by $310 million to $203.34 billion.... Assets of institutional money market funds decreased by $33.76 billion to $1.863 trillion. Among institutional funds, taxable government money market fund assets decreased by $7.70 billion to $663.44 billion, taxable non-government money market fund assets decreased by $24.67 billion to $1.078 trillion, and tax-exempt fund assets decreased by $1.40 billion to $121.72 billion."
Fitch Ratings published, "Fitch Ratings Global Short-Term Rating Transition and Default Study, 1990–2009," which says, "This new study offers insight into the rating migration and default experience of Fitch rated global corporate finance (CF) -- industrial and financial institution -- short-term debt issuers over the past two decades, with a special emphasis on the recent, high stress years of 2008−2009.... Fitch's short-term debt issuer ratings have historically exhibited a high level of stability and low incidence of default. Since 1990, Fitch has recorded 54 corporate short-term defaults with the bulk occurring in the recession years of 2001−2002 and 2008−2009 and few affecting the top rating categories. Despite the severity of the events of the past several years, the global corporate short-term downgrade rate peaked at 13.3% in 2009." It adds, "Confidence in the liquidity- and credit-sensitive short-term debt market crumbled following Lehman's bankruptcy and issuance came to a standstill, necessitating government support of this critical source of financing for companies worldwide. In addition to Lehman Brother's Holdings Corp.'s (Lehman) 'F1+' default (affecting two Lehman entities), Fitch recorded four 'F1' defaults in the maelstrom of 2008: Washington Mutual Inc. (Washington Mutual) and the Icelandic banks -- Glitnir Banki hf, Kaupthing Bank hf, and Landsbanki Islands -- all rated 'F1' one year prior to default. Prior to 2008, the last corporate entity to default within one year of holding an 'F1+' or 'F1' issuer rating from Fitch was Edison International and its subsidiary Southern California Edison in 2001."
Tuesday's FOMC statement says, "Information received since the Federal Open Market Committee met in November confirms that the economic recovery is continuing, though at a rate that has been insufficient to bring down unemployment. Household spending is increasing at a moderate pace, but remains constrained by high unemployment, modest income growth, lower housing wealth, and tight credit.... Employers remain reluctant to add to payrolls. The housing sector continues to be depressed. Longer-term inflation expectations have remained stable, but measures of underlying inflation have continued to trend downward. Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability.... To promote a stronger pace of economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate, the Committee decided today to continue expanding its holdings of securities as announced in November. The Committee will maintain its existing policy of reinvesting principal payments from its securities holdings. In addition, the Committee intends to purchase $600 billion of longer-term Treasury securities by the end of the second quarter of 2011, a pace of about $75 billion per month.... The Committee will maintain the target range for the federal funds rate at 0 to 1/4 percent and continues to anticipate that economic conditions, including low rates of resource utilization, subdued inflation trends, and stable inflation expectations, are likely to warrant exceptionally low levels for the federal funds rate for an extended period."
Bloomberg writes "'Shadow' Lenders' Emergency Fed Loans Benefited Biggest Banks". The article says, "The Federal Reserve gave more support to the world's biggest financial companies, including Barclays Plc, Citigroup Inc. and Royal Bank of Scotland Plc, than the direct loans it disclosed this month in response to congressional mandates. That's because about $140 billion, or 20 percent of the Fed's Commercial Paper Funding Facility, went to affiliates of four firms that provided financing to banks and other companies: Hudson Castle, BSN Holdings, Liberty Hampshire Co. and Northcross, central bank data show. Banks around the world benefited. The affiliates were vehicles known as conduits -- part of what a Fed report in July called the 'shadow banking' system that removed assets from companies' balance sheets and turned toxic debt into top-rated securities."
On Friday, Fitch published a brief piece entitled, "Largest U.S. MMFs Reduced Euro Bank Exposures Prior to Market Volatility". It says, "The largest U.S. money market funds (MMFs) significantly reduced their exposures to European bank securities based in sovereigns that have experienced heightened investor concern, according to a Fitch Ratings study. Fitch analyzed the portfolios of the 10 largest U.S. prime MMFs from the second half of 2006 to the present. The analysis reviewed the funds' exposures to European banks' CDs, commercial paper (CP) and bank-sponsored asset-backed CP (ABCP). The sample represents $740 billion or approximately 45% of the total 1.7 trillion U.S. prime fund universe. Fitch's review also found that MMF exposure to specific names has changed notably over the same period, with the largest 10 bank exposures as of 2H'07 including several institutions that subsequently experienced pronounced stress during the financial crisis." See also, the Wall Street Journal's coverage, "European Bank Debt Still Appeals to Funds". The Journal says, "Credit woes haven't diminished money-market funds' appetite for European bank debt. The largest U.S. prime money-market mutual funds in recent months have boosted their exposure to European bank holdings like certificates of deposit and commercial paper, according to new figures set to be released Friday by Fitch Ratings. Such holdings now account for about 39% of the funds' assets, up from 37.5% in the first half."
A press release from DB Advisors says, "Deutsche Bank's Asset Management business today welcomed a proposal by Henderson Global Investors to merge the L3.3 billion Henderson Liquid Assets Fund (HLAF) into the money market fund range of DB Advisors. DB Advisors is Deutsche Bank's global institutional asset management business. Under the proposal made by Henderson to HLAF shareholders, HLAF will be fully merged with the Deutsche Managed Sterling Fund, part of the Deutsche Global Liquidity Series of money market funds. Both HLAF and the Deutsche Managed Sterling Fund are AAA-rated, GBP-denominated, treasury-style money market funds. The proposal will be voted on by HLAF shareholders in January 2011. If approved, HLAF will be merged into the Deutsche Managed Sterling Fund in February 2011, subject to final regulatory consent. DB Advisors already serves as the investment manager of HLAF. Henderson appointed DB Advisors to manage the fund on a sub-advisory basis on October 12, 2010." Mark Bolton, CEO of DB Advisors UK, says, "We would be delighted to extend our relationship with investors in HLAF and welcome them as direct clients.... They will be joining a platform with deep resources, a robust credit process and a strong commitment to transparency." In other news, see ICI's "Money Market Mutual Fund Assets", which says, "Total money market mutual fund assets increased by $25.27 billion to $2.836 trillion for the week ended Wednesday, December 8, the Investment Company Institute reported today. Taxable government funds increased by $17.18 billion, taxable non-government funds increased by $8.01 billion, and tax-exempt funds increased by $76 million."
The website for Crane's Money Fund Symposium, the largest gathering of money fund and money market professionals, is now live. Money Fund Symposium 2011 will be held June 22-24 at the Philadelphia Marriott Downtown. The preliminary agenda is now posted and registrations are live. (E-mail Pete to request the full brochure.) Founder Peter Crane comments, "Our second annual event in Boston last year attracted over 330 speakers, sponsors, and attendees, and we expect our 3rd annual money fund conference to be even bigger and better. Crane's Money Fund Symposium offers money market portfolio managers, investors, issuers, and service providers a concentrated and affordable educational experience, as well as an excellent and informal networking venue." Registration for Crane's Money Fund Symposium 2011 is $750; exhibit space is $3,000; and sponsorship opportunities are $4.5K, $6K, $7.5K, and $10K. The show's mission is to deliver a better and less expensive conference alternative to money market fund professionals and investors. Also, don't forget that Money Fund University, Crane Data's new "basic training" conference, continues to take registrations (though sponsorships are sold out). MFU will be January 13-14, 2011 at The Westin Jersey City Newport. Note that there is just one more week to take advantage of the discounted hotel rate (ends Dec. 16) for MFU. We hope to see you in Philadelphia or Jersey!
MutualFundWire.com reports that Scout will close its money market mutual funds. The SEC filing says, "Upon the recommendation of Scout Investment Advisors, Inc., the Scout Funds Board of Trustees has adopted a Plan of Liquidation to cease operations of the Scout Money Market Fund – Federal Portfolio, Scout Money Market Fund – Prime Portfolio and Scout Tax-Free Money Market Fund and liquidate the Funds. While the Funds have served for many years as high quality money market fund investment options for clients and customers of the Advisor and UMB Financial Corporation, the Advisor has determined that it is no longer economically viable to continue operating the Funds in view of their size and future prospects for growth. The liquidation is expected to be completed in early 2011. The Advisor is working to provide shareholders who own Fund shares in connection with cash sweep and other special arrangements with opportunities to invest proceeds from their Fund share redemptions in other money fund investments. If you own shares through one of these arrangements, you may be contacted regarding replacement money fund investments." Crane Data's Money Fund Intelligence XLS shows Scout ranked 59th among 79 money fund managers with $817 million in assets.
The Securities & Exchange Commission has begun posting responses on its "President's Working Group Report on Money Market Fund Reform (Request for Comment)" page. While there aren't any real entries yet (two are nonsensical and one merely says a meeting took place), there should be some real entries posted soon. (Crane Data intends to comment next week.) The "Memorandum from the Office of Chairman Schapiro regarding a November 23, 2010, meeting with representatives of Federated Investors" says, "On November 23, Chairman Schapiro, Didem Nisanci, Jennifer McHugh, Ricardo Delfin, John Ramsay, and James Burns met with J. Christopher Donohue and Eugene Maloney of Federated Investors, as well as John Hawke, Martha Cochrane, David Freeman of Arnold & Porter to discuss Federated's concerns relating to the above referenced file number as well as the process by which FSOC may designate certain entities as systemically important." In other news, see Federated's latest "Month in Cash: 'Modest' QE2's impact minimal on cash yields".
Bloomberg features "Fed Created Conflicts in Improvising Financial System Rescue". It says, "The solution [Federated's Debbie] Cunningham helped craft on Sept. 20, 2008, was a bailout for money market funds, which were created as safe investments that could be easily cashed out. The Fed put the facility into effect two days later. At its peak in October 2008, it provided $152 billion to stem a customer run sparked by the Sept. 15 bankruptcy of Lehman Brothers Holdings Inc. This week's disclosures of data from the Fed's rescue efforts during the 2007-2008 financial crisis show how the central bank employed companies to help design or run programs they could use to their benefit.... In compliance with the Dodd-Frank financial overhaul law, the Fed on Dec. 1 identified the institutions that used $3.3 trillion of improvised rescue programs. The 21,000 transactions in 11 initiatives included the money-market plan Cunningham helped devise, known as the AMLF, short for its 10-word formal name, the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility. In its scramble to keep the economy from collapsing, the Fed also created the Commercial Paper Funding Facility, or CPFF, which tried to ensure that banks and industrial companies had the short-term loans they needed to fund everyday operations. General Electric Co., the biggest issuer of commercial paper, met with Treasury and Fed officials in the days before they created the CPFF." Bloomberg quotes our Peter Crane, "The AMLF was the single most successful government intervention during the financial crisis. In a crisis when you have esoteric corners of the market involved, you have no choice but to go to the experts, and the experts will be self-interested players."
Bloomberg writes "Reserve Primary Tops Users of Fed Aid to Money Funds". It says, "Reserve Primary, the money-market mutual fund whose September 2008 collapse helped freeze global credit markets, was the biggest user of a government-backed program that enabled the industry to meet investor withdrawals during the financial crisis. Vanguard Group Inc. and Legg Mason Inc. were the only money-fund providers among the industry's top 10 that didn't utilize the Federal Reserve's Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility, or AMLF, according to data released today by the U.S. central bank. Funds run by JPMorgan Chase & Co. sold $17.7 billion in asset-backed commercial paper to banks under the program, more than any family except Reserve.... The Dodd-Frank financial regulatory overhaul approved by Congress in July required the Fed to release information about its lending programs. The central bank has never before made public specific, transaction-level detail about its lending." See also, WSJ's "Absent Help, More Funds Might Have Broken Buck", which says, "Just one money-market fund blew up during the financial crisis. Without help from the U.S. government, the number might have been much higher, data released by the Federal Reserve show. Nine of the 10 largest money-market fund companies at the time, with two-thirds of all money-market-fund assets under management, turned to a financial first-aid program called the Asset-Backed Commercial Paper Money-Market Mutual Fund Liquidity Facility. The funds, facing an illiquidity squeeze, sold billions of dollars of commercial paper to major banks, which in turn used money borrowed from the Fed to make the purchases."
We learned from Stradley Ronon's Joan Ohlbaum Swirsky that the SEC has revised its "Staff Responses to Questions about Rule 30b1-7 and Form N-MFP to clarify holdings disclosure dates on Form N-MFP and a couple other points. The updated Q&A says, "Q: Rule 30b1-7 requires that the report of portfolio holdings on Form N-MFP be current as of the last business day of the previous month. Some funds have indicated that they compile the portfolio holdings information as of the last calendar day of the month, even if that day is on a Saturday, Sunday or holiday. In these circumstances, may the fund's report of portfolio holdings on Form N-MFP be current as of a calendar day in the month after the last business day of the month? A: Commission staff would not object if a fund reports the portfolio holdings information on Form N-MFP current as of a day in the month on or after the last business day of the month.... Item 36 -- Final legal maturity date. Should the security's final legal maturity date be the same as the date used to calculate the fund's WAL? A: Yes. See also footnote 154 of the Adopting Release."