Calculation Error in Securities Valuation

[Former Member]

Hi EXPERTS, Im having the following issue: When trying to valuate (TPM1) a local variable rate bond Im getting the full present value of the bond in the valuation. For example the book value is 3000 and the actual price is 100.5 so the result Im ACTUALLY getting is 3150 and what Im looking to get is the difference of the book value to actual price that is 150.

I have the following configuration:

1. Position management procedure = (1000) SE/Loan: Mark-to-Market (P/L) / Amortization (SAC Net)

2. Position Management Cat: Sec./Loans/M.Mkt/List.Opts.Norm.Style.(w/o index link bonds)

3. Transf Cat: Only Post to Used Componentes

4. Step 1: Type of Step: 4 - Security Valuation

5. Procedure: 1000 Mark to Market (P+L)

6. In 1000 Mark to Market (P+L) the configuration is as follows:

     1. Rate/Price Type: 01 (Spot)

     2. NPV Type: 001 (Continuos Valuation)

     3. NPV Category: Dirty

     4. Price Rate Type: M

     5. Write Up Rule: Write Up to Market Value/Present Value

     6. Write Down: Write Down to Market Value/Present Value

     7. All the other boxes unchecked

7. In Key Date Valuation>Assign Update Types for Valuation> 1000

     1. Sec. Valuation: Security Write Up: V200; Security Write Down V201. Reset VR200, VR201

ANY HELP WOULD BE GREATLY APPRECIATED

best regards

Santiago

[former_member198450 · Accepted solution]

Hi Santiago,

Please change the setting rule for Write-Up and down rule : Write up to purchase value

Write-Up down:  Write down to purchase value.

Regards,

Jain

[former_member198450]

HI,

Is this issue resolved?

Regards,

Jain

[Former Member]

Hi Jain, yes it was. Thanks. I have another one with FX Rate....

[former_member198450]

Hi,

Please post the issue in different thread, Will try to look into same.

Regards,

Jain