Prices, Price Sources and Market Value treatment
- Martin Pickrodt (Unlicensed)
Market Data
Our philosophy is to use the last available price on or before the date being valued.
In most cases we use pricing data as provided by Bloomberg or FactSet.
We take a single snapshot every business day at around 5.30am Singapore time (just after the last US exchanges closes).
We have different levels of price sources:
1) Manual Prices
The user has declared a price for a security. This is commonly used for private assets, like Real Estate or the Wine collection, but can be applied to anything.
Manual Prices are only visible to that particular user and not viewable / useable for anyone else.
2) Custodian Prices
These are the prices from the Bank Statements.
We are generally storing all Prices that are contained in the statement. This allows us to match the market value of securities exactly with the statements.
Sometimes FX rates are not properly provided by the statement or rounded, so there may be FX translation discrepancies.
For electronic datafeed that come in on a daily basis, we will be able to fully match the Bank Statement with Canopy at all times.
Custodian Prices are only used for accounts from this exact custodian. The price for a fund which was provided by Bank A will not be used for a client that is holding this same fund with Bank B.
3) Bloomberg / FactSet prices
These are the public prices which we are receiving from external Market Data vendors. Anything listed or publicly disclosed is included here.
All users have access to this price category.
The order in which prices are used
First, we take the latest available price for the relevant date.
If there is only one of the three price sources that has a price on this date then we will use that price source.
If there is no price available on this date, we will check the previous day until we find a price.
This is relevant for many Hedge Funds which only have prices on a monthly basis.
Second, if there are prices from multiple sources on the same day, we will use them in the order of 1 Manual - 2 Custodian - 3 Public.
A price defined by the client will be most relevant, after that the custodian price and only if both of these are not available will we use the public price.
Market Value Treatment
In general, unless otherwise selected, we value all positions on the trade date.
A security purchase that was traded on Monday and settles on Wednesday will show the securities as of Monday.
Some pages, like Portfolio->Holdings have a toggle to switch between Trade Date and Settlement Date snapshots.
Fixed Income securities
In our valuations we will base the market value of bonds on the dirty price. That means, any valuation includes the accrued interest.
Loans and Deposits
These are considered non-markt-to-market instruments. This means, they will not be valued anything other than at face value.
The price of these items is always treated as '1'.
Note! In this context "Loans" refers to lending that a user does for financing purposes from the bank. It does not refer to Corporate loans or interpersonal loans. These can be set up as a security, in which case they will be included in the asset overview and will also carry a market price.