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Price Formats for Securities Valuations
(CR-507, item 9)
Change Review Group
Frankfurt am Main, 28th April 2015
Description of the issue
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CR-507 originally documented a format alignment (of the U2A channel to
A2A channel) for the Price field of the Securities Valuation static data
object.
The required format, for both channel, is as follows:
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Price (as amount): max 15 digits including decimal point (thereof max 5 decimal places)
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Price (as percentage): max 15 digits including decimal point (thereof max 14 decimal places)
The discussion in the CRG allowed spotting a further misalignment between
the A2A/U2A channels and the flat file channel (used by default by the CBs
and Payment Banks for loading prices on a daily basis).
In fact, the flat file format envisages max 31 digits (without any specific
restriction for decimal places) for the Price fields.
This misalignment may create issues for the Auto-collateralisation process,
which is designed to handle decimals according to the above mentioned
format restrictions.
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Possible solutions
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Four possible solutions can be implemented on the flat file channel, in order
to address the issue.
To introduce flat file format checks:
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Option A.1: to reduce the Price fields from 31 digits to 15 digits and to introduce two new
checks ensuring that Prices (amounts) with more than 5 decimals and Prices (coefficients)
with more than 14 decimals are rejected.
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Option A.2: to leave the Price fields as they are (31 digits) and to introduce two new checks
ensuring that Prices (amounts) with more than 5 decimals and Prices (coefficients) with more
than 14 decimals are rejected.
To ensure stored prices comply with format restrictions:
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Option B.1: to leave the Price fields as they are (31 digits) and to introduce a new business
logic that truncates Prices (amounts) with more than 5 decimals and Prices (coefficients)
with more than 14 decimals so that they comply with the format restrictions already defined
for the A2A/U2A channels.
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Option B.1: to leave the Price fields as they are (31 digits) and to introduce a new business
logic that rounds Prices (amounts) with more than 5 decimals and Prices (coefficients) with
more than 14 decimals so that they comply with the format restrictions already defined for the
A2A/U2A channels.
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Way forward
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The CRG is invited to discuss the four presented options and to give
guidance (i) as to the option to be implemented on the flat file channel and
(ii) as to the preferred timing for deploying this change in the production
environment.
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