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Foreign Exchange
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Expressing forward points in an allocation
Greg Wood / Credit Suisse
28 Dec 2008 7:57PM ET 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
Expressing forward points in an allocation
Greg Wood / Credit Suisse 28 Dec 2008 7:57PM ET
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