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CDS & IRS Market Value to Price Processing Notes

CDS & IRS Market Value to Price Processing Notes

Owned by Jawann Swislow
Last updated: Jan 03, 2025
1 min read

Some swaps are priced using clean or dirty market values, more often the latter. Eagle Accounting has a process to “clean up” these market values and convert them to clean unit prices. Refer to  for detailed formulas.

Note: this process can only be used when each CDS or IRS is only held in a single fund, which is typical for market value-priced swaps.

Market values are entered using Insert/Update Price Exchange.

  • Price Date (1109)

  • Original Price (893): Clean Market Value or Dirty Market Value

  • Price Type Code (1843): select Clean Market Value or Dirty Market Value based on available data

  • Units (40): enter the notional of the CDS or IRS, which must match the notional of the position in Eagle Accounting (the process will error out if there is a mismatch in notional)

Once the market value is entered use Global Process Center > Calculate Clean Unit Price to trigger the calculation. This can be done for a particular swap or all swaps for a specified date, or scheduled as part of the daily workflow. There are two flags that must be set before triggering the process:

  • Reprice Flag (1844): Yes updates the existing clean price for the selected Source, No leaves the existing price in the database

  • Pricing Center Flag (1257): Yes inserts/updates the clean unit price in the price exchange table used by Pricing Center and the price table, No inserts/updates it in the price table only