How does FRBNY calculate prices?
The implicit price for non-ABS debt securities can be calculated by dividing the Fair (Market) Value in Currency of Denomination (schedule 2, line 16a) by the Face Value in Currency of Denomination (schedule 2, line 19). If non-ABS debt data have implicit prices that differ greatly from 1 and the price difference cannot be explained by usual factors (e.g., distressed securities, convertible securities, zero-coupon securities) then there may be a problem in the reported data values. The implicit price for ABS can be calculated by dividing the Fair (Market) Value in Currency of Denomination (schedule 2, line 16a) by the Remaining Principal Outstanding in Currency of Denomination (schedule 2, line 23). If ABS debt data have implicit prices that differ greatly from 1 and the price difference cannot be explained by usual factors (e.g., distressed securities, convertible securities, zero-coupon securities.) then there may be a problem in the reported data values. The implicit price for equit
