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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.

WRITERS NOTE: is this Reference Desk Create New/Edit Price Exchanges panel now?

Add and Update Dirty Market Prices

To add or update a dirty market price:

  1. In Accounting Center, in the left navigation pane, click Setup> Securities > Manage Securities > Issue Viewer.
    You see the Issue Viewer tool.
  2. In the left navigation, double click Price Exchange and Insert/Update Price Exchange.
    You see the Insert/Update Price Exchange panel.
  3. Complete the options on the Insert/Update Price Exchange panel.
  4. Click Submit.
    You are ready to run the global Calculate Clean Unit Price process.

Insert/Update Price Exchange Panel Options

Content on this page:

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

To calculate the clean unit price:

  1. In Accounting Center, in the left navigation pane, click Processing & Exceptions > Global Processes > Clean Unit Price > Calculate Clean Unit Price.
    You see the Calculate Clean Unit Price panel.
  2. Complete the options on the Calculate Clean Unit Price panel. 
  3. 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:

  • One Security
  • All Securities


Reprice Flag

1844

Determines whether to update an existing price. Options include:

  • Yes. Update the existing clean price for the selected source. Choose this option if you are loading an updated price/market value to the PRICE EXCHANGE table. The clean unit price will need to be recalculated.
  • No. Do not update the existing clean price for the selected source. Choose this option when initially calculating a price for the effective date.


Pricing Center Flag

1257

Determines whether to update the PRICE EXCHANGE table in the Pricing Center. Options include:

  • Yes. Insert/update the clean unit price in both the PRICE EXCHANGE table used by the Pricing Center and the PRICE table.
  • No. Default. Insert/update the clean price in the PRICE table only.


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.

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