Debt Independently Evaluated Price

From Open Risk Manual

Definition

Debt Independently Evaluated Price. "Evaluated Price" is the price you get from the vendors.


Issues and Challenges

This may not always be the same. Mostly in the US, now also moving into Europe and Asia. See e.g. MiFID. Vendor gives you Spread and Price: Early Price (right at the close of the market) plus a Final Price an hour or so later. Matrix pricing: pure calculation. throws the spread in and calculates the price, rather than surveying the market. Based on some formula, not on research of traders. notes from SMER 18 Nov Pricing Recipe - the prices that are input to that derived price. Notes from SMER 25 Nov If the instrument has not been trading, then there would normally need to be prices for valuing these, so you would go to an independent provider. You would also identify who you sourced it from. You would not put your own numbers in as this would not be impartial. Also since only the very liquid securities are those that trade, a lot of bonds in a Pf are not regularly traded and so there is not a market price, so you use a yield curve and interpolate on this to come up with an estimate of fair value. This also involves modeling what you anticipate the Cr spreads on those bonds would be.

Disclaimer

This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.

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