Calculate Clean Unit Prices

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.

To 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

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.