Negative Sleeve Level Cash

Negative Sleeve Level Cash

Accounts that have negative cash balance in a UMA sleeve may have exaggerated performance returns due to a leveraged cash position. They may also be over-invested in securities in the given sleeve. This results in other sleeves having less cash for investing, causing a ripple effect throughout UMA accounts.

This enhancement adds the following features to address this issue:

• A new Sleeve-Level Cash report that highlights negative sleeve level cash, inclusive of sold accruals
• A new “WHO” function to easily select accounts that have at least one sleeve with negative cash, inclusive of sold accruals

Sleeve-Level Cash Report

A new public report called WINDΔBALANCEBYSLEEVE has been added to generate sleeve level cash, sold interest by sleeve and the sum of these two statistics. The report is accessed from the MSP Master Manager Reports menu.

The report can also be run from within a control job for nightly auditing purposes.

Note: This is a “Windows-only” report, i.e., only current sleeve level cash, impacted by committed trades, will be available. The BALANCEBYSLEEVE report should be used if an as-of Expert report that displays sleeve level cash is required.

The report will prompt for the following data elements:

• Account selection, using the standard APL account selection utility (FEND). If no accounts are selected the report will exit without generating any files
  If only non-UMA accounts are entered – in the event that this function is called from outside of a UMA universe – the next two prompts will still appear
• The type of report to create. Options are:
  • REPORT
  • FILE
  • BOTH”
    
• The accounts/sleeves to display. Options are:
  • PROBLEMS
  • ALL
    

If you select both options then only problem accounts/sleeves will be displayed. A problem account/sleeve combination is one that has a negative value when current sleeve level cash and sleeve level sold interest are added together.

The report pulls all current sleeve-level trading cash values for the selected accounts. If you chose to display only problem account/sleeve combinations, then the list will be reduced to those combinations that have negative sleeve level cash.

A sleeve-level sold accrual value will then be calculated for any account/sleeve combination that has not been excluded either because the account was not in the input select or the account/sleeve combination has positive cash. Sold accrual will be based on the CUREXDATE since sleeve level cash is based on the current trading date.

The report uses the thirty days of sold tax lots that are built into Windows to calculate sold accruals. Therefore, any sold accrual based on a lot sold more than thirty days ago will be ignored.

Sleeve-level cash and accruals will be added together for a total sleeve level cash value. If you chose to display only problem account/sleeve combinations then any combination that has a total sleeve level cash value greater than or equal to $0 will be eliminated.

The report is called NEGSLVCASH.LRP, and the CSV file is called NEGSLVCASH.CSV. The output contains five columns:

1. Account. The account displayed will be based on the value of the TRDACD variable, as defined in EDSETUP
2. Sleeve
3. Cash Value. This is the current sleeve level trading cash value
4. Sold Accrual. This is the calculated sold accrual value
5. Cash Plus Sold Accrual. This is the sum of columns 3 and 4

If no account/sleeve combinations meet the criteria for this report then the output report will display “No Accounts to Display”.

A report sample is shown below.

Utility to Find Accounts With Negative Sleeve-Level Cash

Once problem accounts are found, users will need to run reports and/or trade the accounts. This enhancement provides an easy way to select problem accounts across the APL trading platform using a new “WHO” utility called WHONEGSLVCASH. The utility is used to select accounts with negative sleeve level cash. It can be called from any account selection prompt in a Windows environment. It returns accounts where the total sleeve level cash value, as defined in the WINDΔBALANCEBYSLEEVE report, is less than $0. (Total sleeve level cash value is defined as current sleeve level trading cash plus sleeve level accrual).

A sample screen shot showing how WHONEGSLVCASH is used at an account selection prompt is shown below.