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.
In the Insert/Update Price Exchange panel, you can 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.
To add or update a dirty market price:
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
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:
|
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. |
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