Overview

In some cases there may be a requirement to fair value a TRS or include another form of discounting in the valuation. Beginning in V17 R2.49 you can specify different sources to be used for TRS resets at the entity level. There is no change to the daily valuation process; it continues to use Long Price Source (1282) and Short Price Source (5422) from the entity. The default behavior is that these sources are used for resets too. You can override the default behavior as described in the Implementation section below.

• The prices that will be used for valuations and resets must be loaded to separate sources

  • Example: discounted prices are loaded to SOURCE1 and market prices are loaded to SOURCE2

• Prices can also be applied separately for long and short positions as demonstrated in the table below

There is additional functionality to convert a dirty discounted market value (URGL) to a unit price as required by Eagle Accounting, which can be used alongside the functionality described here. See TRS Price Conversion Processing Notes for details.

Implementation

• The association of an entity to a price source for long and/or short TRS resets is driven by code values

• To change an entity's price source for long TRS resets:

  • Open Codes

  • Locate and open LONG TRS PRICE

  • Add new code value with the following attributes

    • Code Value Short Description = Entity ID of applicable entity

    • Code Value Long Description = price source for long TRS resets (case sensitive)

    • Source = Long Price Source of applicable entity

• To change an entity's price source for short TRS resets:

  • Open Codes

  • Locate and open SHORT TRS PRICE

  • Add new code value with the following attributes

    • Code Value Short Description = Entity ID of applicable entity

    • Code Value Long Description = price source for short TRS resets (case sensitive)

    • Source = Short Price Source of applicable entity

• If an entity is not in the list of code values, the default behavior is applied (entity-level price sources are used for resets)

When using an alternate source for resets, prices are pulled from the PRICE table for the specified source.