Eagle's Accounting solution requires prices for interest rate swaps and credit default swaps to be supplied as "clean" unit prices. That is, without payable or receivable accrued interest. If accrued interest is included in the price, the interest is double counted in the daily valuation. If a broker or vendor supplies an all inclusive market value (dirty), the accrued interest must be backed out and divided by the notional amount to calculate a "clean" price.
...
You can use Reference Data Center's Add/Edit Price Exchange panel (or Issue Viewer's Insert/Update Price Exchange panel
...
) to add the dirty market value for an interest rate swap and credit default swap. After adding the dirty market value, you can run a global process to calculate the clean unit price.
| Highlight |
|---|
WRITERS NOTE: is this Reference Desk Create New/Edit Price Exchanges panel now? |
Add and Update Dirty Market Prices
To
...
- In Accounting Center, in the left navigation pane, click Setup> Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool. - In the left navigation, double click Price Exchange and Insert/Update Price Exchange.
You see the Insert/Update Price Exchange panel. - Complete the options on the Insert/Update Price Exchange panel.
- Click Submit.
You are ready to run the global Calculate Clean Unit Price process.
Insert/Update Price Exchange Panel Options
| Panel | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| ||||||||||
|
The following are the options in the Insert/Update Price Exchange panel.
...
Option
...
Tag
...
Description
...
Source and Security Information
...
Source Name
...
1102
...
Specifies the source of the price/market value.
...
Source Comments
...
5669
...
Provides source comments.
...
Asset ID Type
...
1432
...
Specifies the primary asset identifier for the security, such as CUSIP, ISIN, and SEDOL.
...
Xreference ID
...
14
...
Specifies the security identifier of the security.
...
Issue Name
...
961
...
Specifies the name of the security.
...
Primary Exchange
...
17
...
Specifies the primary exchange on which the asset trades.
...
Price Details
...
Price Date
...
1109
...
Specifies the effective date of the transaction.
...
Original Price
...
893
...
Specifies the original price.
...
Price Type Code
...
1843
...
Specifies the price type. Options include:
- Clean Market Value
- Close
- Dirty Market Value
...
Units
...
40
...
Displays the notional value of the contract. This value must match the notional value used for accounting.
...
Other Information
...
Price Level
...
12007
...
Specifies the FAS157 price level.
Calculate Clean Unit Prices
...
calculate the clean unit price:
In Accounting Center, in the left navigation pane, click Processing
...
and Exceptions > Global Processes > Clean Unit Price > Calculate Clean Unit Price.
You see the Calculate Clean Unit Price panel.Complete the options on the Calculate Clean Unit Price panel.
Click Submit.
The system removes the accrued period-to-date interest from the dirty market value to calculate the clean unit price.
Calculate Clean Unit Price Panel Options
The following are the options in the Calculate Clean Unit Price panel. Note options may vary according to your selections.
Option | Tag | Description |
|---|---|---|
Calculate Clean Unit Price | ||
Source Name | 1102 | Specifies the source of the price/market value. |
Select Query Option | 2283 | Indicates whether you want to trigger the calculation for one security or all securities. Options include:
|
Reprice Flag | 1844 | Determines whether to update an existing price. Options include:
|
Pricing Center Flag | 1257 | Determines whether to update the PRICE EXCHANGE table in the Pricing Center. Options include:
|
Effective Date | 35 | Displays the effective of the price/market value for the security. |
Partition | 95 | Specifies the entity partition code. It appears when you select One Security or All Securities in the Select Query Option field. |