Bond - valuation

[Former Member]

Hi experts,

I'm faced with the following situation: we want to change our valuation rule for bonds. In future the valuation should be always done with the value of redemption (= bond price 100), but only up to purchase value as a maximum.

For example:

Buy 105, current price 98 -> valuation should be with 100

Buy 95, current price 101 -> valuation should be done with 95

At the moment our position management procedure includes

Write-up rule: write up to purchase value

Write-Down Rule: write down to market value/present value

Do you have anny suggestion how to setup such a cap for the valuation?

Thanks in advance!

Inno.

[lorenz_sperl]

Hi,

you have execute a Valuation Class Transfer (...with the Target VC linked to a PMP having a Security Valuation step with an according setting for write-up limited to purchase-value).

Regards

Lorenz