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Some vendors provide dirty (including interest) prices for Overnight Index Swaps (OISs). However, clean prices are required to use Eagle's accrual functionality to track daily accruals and drop coupons. A Pricing Center process is available to clean the vendor-provided dirty prices for bilateral OIS securities, allowing accruals to be calculated in Accounting. Please note this functionality is not currently available for cleared OISs.
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Identifying OIS Securities
A dedicated table (PRICING_UL_VIEW) exists to help with the creation of field attributes that can be used to target OIS securities specifically. To access the fields in this table, open Inventory of Tables/Fields and navigate to SECURITYDBO.PRICING_UL_VIEW.
If you are unable to see this table, click Get Fields
The fields from the virtual table should be displayed after this step is completed.
Within the PRICING_UL_VIEW table, OIS_FLAG returns any securities that have an underlying relationship with Underlying Type (916) = OIS. This field will be used in the Price Rule to target OIS securities.
A field attribute must be built to target OIS_FLAG field for use in the Price Rule, as shown below.
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Price Rule Configuration
A Price Rule and a Price Validation Rule must be configured to target OIS securities. The Price Rule will create demand for the dirty price and also a clean price. The clean price field can be represented by the same field that other instruments use for their target source price. The recommendation below uses PX Dirty for the dirty price and Price for the clean price. The Price Validation Rule should be configured to validate only the clean price to prevent the dirty price from being pushed to the target source. Screenshots of the two rules are shown below.
Price Rule
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Price Validation Rule
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Processing
The Price Rule should be used to create demand after earnings and STAR to PACE are run for current day. The dirty price can be loaded after creating demand. Once the dirty price has been loaded, the price cleaning process can be triggered for pricing date using Dirty Price Cleanup Via Position Accruals Core. Note: this panel is not available in any of the centers in V17 as of V17 R2.16. It must be accessed via Web Panel Designer in eagle > star > reference > Price Exchange > Dirty Price Cleanup Via Position Accruals.
Vendor Price Source Name (1102): dirty price source
Vendor Price Type (1769): dirty price type as defined in the Price Rule
Position Source Name (4886): position source
Price/Position Effective Date (1109): pricing date
Vendor Source to Commit Calculated Price (10946): clean price source as defined in the Price Rule
Commit Price Type (1843): clean price type as defined in the Price Rule
Processing Switch (1256):
Multi Legged SecuritiesorOIS Securities Only(both will work for IRSs set up as OISs, but the latter can be used to target OIS securities only)
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After the process is triggered, the clean price will populate in the original source in Pricing Center. Validations and pushing to the target source can be performed once the clean price has populated.
Other Notes
Securities must be earned through pricing date prior to triggering the process
STAR to PACE must have been run for pricing date
Total Return Swaps are out of scope for this functionality
The whole process can be scheduled to run automatically