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Foreign Exchange
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Re: Customer margins
Rob McConnell / Eurobase
21 Jul 2008 7:33AM ET > > > > > Does anyone know the correct way to express customer margins in
> > > > > a TradeCaptureReport. By customer margin I mean the points added
> > > > > to a market rate that the customer has accepted.
> > > > >
> > > > > Thanks in advance
> > > > >
> > > > > Rob
> > > >
> > > > 828, 829 and 423?
> > >
> > > Really I was after including the margins along with a regular trade.
> > > So if the customer submits a spot deal, I want a spot trade report
> > > with the customer margins somewhere within
> >
> > We use UDFs 5088/5089 Bid/AskDelta and 5188/5189
> > Bid/AskForwardPointsDelta. I don't believe there are any standard
> > fields that fit well (at least not in 4.x).
>
> You could consider using Spread and NetMoney in the exec report to carry
> margin/points and all in rate (including margin/points) respectively?
>
> Otherwise it would seem UDF's are the remaining option in 4.x
>
> rgds Aaron
Thanks for these replies. We are using FIXML 5.0. A new requirement developed that requires margins per side rate components, so the solution must be iterative. In theory a forward/forward swap cross can have 9 side rates and therefore potentially 9 margins. We have currently plumped for using <UndInstrmtGrp>. We use 311 to indicate the currency pair, 1045 for the rate and 810 for the margin. We use 307 to provide some context (Spot, leg1 etc).
Regards
Rob
Re: Customer margins
Rob McConnell / Eurobase 21 Jul 2008 7:33AM ET
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