For some total return swaps (TRS), such as long-date contracts, there may be a need to apply a discount factor to the valuation derived purely from the underlying. In these cases, price conversion functionality is available to convert a dirty discounted market value (URGL) to a unit price as required by Eagle Accounting.
The functionality is available in the Add Issue Price Conversion, Edit Issue Price Conversion, and Add/Edit Price Exchange Conversion screens. There is logic in these screens to take the dirty discounted URGL, find the entity that holds the TRS, back out the accrued interest, convert to a unit price, and add back the unit cost. The components used to calculate the price are stored in the PRICE or PRICE_EXCHANGE table for audit purposes (excluding Open Unit Price, Return Leg Shares, and Accrued PTD Local). The other components can be pulled from the tables referenced below.
Field | Tag | Value | Column Name |
|---|---|---|---|
Price Type Code | 1843 | Set to | PRICE_TYPE_CODE |
Pricing Entity ID | 7107 | If a value is not provided, it will be looked up automatically. If the TRS SMF is held across multiple funds, you must include the Entity ID that corresponds with the dirty discounted URGL being provided to ensure the correct price is calculated. | ENTITY_ID |
Open Unit Price | 160 | Looked up automatically. | LOT_LEVEL_POSITION.OPEN_MKT_PRICE TRADE.PRICE |
Return Leg Shares | 7685 | Looked up automatically. | POSITION_DETAIL.PAR_OR_SHARES TRADE.PAR_OR_SHARES |
Accrued PTD Local | 465 | Looked up automatically. | POSITION_DETAIL.INTEREST_EARNED LOT_LEVEL_POSITION.INTEREST_EARNED |
Original Price | 893 | Enter the unitized discounted URGL. | ORIGINAL_PRICE |
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