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FpML-RPTWG RE: Non-deliverable FX Forward example
Chris -
I thought that NDF's needed an explicit settlement currency which could be different from either currency in the pair. Is this the purpose of the MTM currency? Should we have a separate field specifying settlement currency? Thanks
Matt
-----Original Message-----
From: owner-rptwg@xxxxxxxx [mailto:owner-rptwg@xxxxxxxx] On Behalf Of Chris Funck
Sent: Monday, September 21, 2009 8:45 PM
To: rptwg@xxxxxxxx
Subject: FpML-RPTWG Non-deliverable FX Forward example
Non-deliverable, FX Forward example:
* End User Pays: BRL 2,260,000.00
* Dealer Bank Pays: USD 1,140,239.25
* Strike: 1.9645
* Trade Date: 01-Jul-2009
* Value Date: 28-Sep-2009
* MTM Value as of 9/1/2009: USD -28,071.02
Let me know if you need any additional details.
______________________________________________
Chris Funck
Chatham Financial - Kennett Square
235 Whitehorse Lane
Kennett Square, PA 19348
T: 484.731.0408
F: 610.925.3125
www.ChathamFinancial.com
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