Rules and parameters in the "Price valuation (OTC)" area

Rule 1

Equity/FX options

Rule 2

CDS

Rule 3

Interest rate swap

Rule 4

Bond option

Rule 5

CDS option

Rule 6

FX forwards

Rule 7

Bonds

Rule 8

Mortgage bonds

Rule 9

Rev. convertible bonds

Rule 10

Promissory note loans

First price check

[Parameter currently not editable]

Show flag (FP) in report if instruments are valuated for the first time.

Negative price check

[Parameter currently not editable]

Show flag (NP) in report where a negative valuation price was selected.

Zero price check

[Parameter currently not editable]

Show flag (ZP) in report where a zero price was selected for valuation.

Check: Tolerance level

Enable this setting if you want to check the tolerance levels and then enter the maximum permissible percentage tolerance values to reference and previous day's rates for the respective rule.

For the different security types and rules, the following default settings are pre-set, which you can overwrite as an administrator:

• Equity/FX options 45%

• CDS 40%

• Interest rate swap 40%

• Bond option 60%

• CDS option 60%

• FX forward 17%

• Bonds 8%

• Mortgage bonds 9%

• Rev. convertible bonds 13%

• Promissory note loans 5%

The maximum possible input value here is 999%.

Reference Price Spread in %

[Parameter editable]

Enable this setting, if you like to define the permitted price deviation from the provided reference price.