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New screens were introduced to perform the calculations for both direct price entry (Add Issue Price Conversion and Edit Issue Price Conversion) and Pricing Center workflows (Add/Edit Price Exchange Conversion). The calculations are invoked by setting Price Type Code (1843) = CCS Leg MV to Contract Price (4) or CCS Leg Price to Contract Price (5). When one of these values is selected, the screen:
Looks for an open position in the security and retrieves Pay Leg Notional (7683) and Receive Leg Notional (7684)
Retrieves the entity’s Valuation FX Source (11652) to populate FX Rate Source for CCS Legs to Contract (7108)
Infers which leg’s currency does not match the contract
Looks up the prevailing FX Rate for CCS Legs to Contract (7682) from the leg currency to the contract currency
Converts the leg’s provided MV or price to the contract currency
Weights the leg’s MV or price based on the ratio of notional between the legs
Nets both leg's MVs or prices
Calculates unit price based on notional and Price Multiplier (18)
For the full process to be successful, an open position in the Currency Swap must exist on or before the pricing date. Most of the required information is looked up automatically. The only required fields that must be provided are:
Price Type Code (1843) =
CCS Leg MV to Contract Price(4) orCCS Leg Price to Contract Price(5)Pay Leg Price or MV (7680)
When using prices, the pay leg price can be entered as either positive or negative (both produce the same results)
When using market values, the pay leg market value must be entered as negative
Receive Leg Price or MV (7681)
You can also provide the critical calculation elements directly instead of having them looked up:
Pricing Entity ID (7107, V17 R2.38)
FX Rate for CCS Legs to Contract (7682)
Pay Leg Notional (7683)
Receive Leg Notional (7684)
All six seven fields listed above, plus Pricing Entity ID (7107), are above are stored on the pricing record for audit purposes.