|
Foreign Exchange
< Previous Next >
Re: Expressing forward points in an allocation
Jay Hurley / Morgan Stanley
5 Jan 2009 11:56PM ET Greg,
The discussion of allocations in FX is under way. Tonight's call (please contact fpl@fixprotocol.org to get the details) will cover this. Adding LastSpotRate and LastFwdPoints to Allocation Intruction and Allocation Report in the ExecAllocGrp is one option which is better than LastParPx and AvgParPx.
Regards,
Jay
> Hi all,
>
> I'm looking to rationalize our allocations spec across multiple asset
> classes and am having trouble expressing all of the details regarding
> allocating a forward deal in FX using 4.4 and later.
>
> It seems that most FX booking and allocation systems require forward
> points to be entered/confirmed explicitly.
>
> So I'm using tag 155 (SettlCurrFxRate) to express the average all-in
> rate inclusive of commission/markup and forward points, with tag 6
> expressing the average spot rate - but I need to find a tag to express
> the average forward points across the entire allocation and the forward
> points per allocation block (they potentially might be different, you
> never know).
>
> I've seen tag 669 LastParPx and tag 860 AvgParPx used to record forward
> points in allocations, so I'm tempted to follow this approach with
> regards to overloading an existing tag for our 4.4 spec but only if it
> fits in with streetwide convention.
>
> I'd be grateful for any suggestions and/or best practices regarding FX
> allocations for spot and forward deals.
>
> Thanks,
>
> - Greg
Re: Expressing forward points in an allocation
Jay Hurley / Morgan Stanley 5 Jan 2009 11:56PM ET
|
