Market valuation Foreign Exchange

Created by Erik Åkerlund, Modified on Wed, 7 Feb at 3:35 PM by Yvonne Eliasson

Bought USD (base amount positive) with additional Fwd points (positive) a loss has been made and the accrued interest should be negative.	Köpt USD (base amount) med påslag så har du gjort förlust och accrued interest ska vara minus
Sold USD (base amount is negative) with additional Fwd points (positive) a gain has been made and the accrued interest should be positive.	Sålt USD (Base amount) med påslag har man gjort en vinst accrued interest ska vara positiv
Bought USD (base amount positive) with deducted Fwd points (negative) a gain has been made and the accrued interest should be positive.	Köpt USD (base amount) med avdrag så har du gjort vinst och accrued interest ska vara positiv
Sold USD (base amount is negative) with deducted Fwd points (negative) a loss has been made and the accrued interest should be negative.	Sålt USD (Base amount) med avdrag har man gjort en förlust accrued interest ska vara negative

Accrued interest unrealized FX

Shows the accrued value of the FX fwd points spread over the time until balance date.

Unrealized Interest Gain / Loss

FX swap points from FX rate table - swappoints in deal - accrued interest * base amount. The unrealised interest gain loss is always presented in Price currency.

In accounting mid rates are used.

If you market value a FX deal (bought USD and Sold SEK) the market valuation will show you what the price would be if you closed the deal and Sold USD you would get the lowest rate from BID side.

Sell USD (base amount negative) the FX rate at period end will be from ASK side.
Buy USD (base amount positive) The FX rate at period end will be from BID side.
Loan from Ask side
Deposits from Bid side

FX Gain Loss

Long term loan

FX gain/loss – Unrealised and Realised – Allocated / not allocated

The following example describes how FX gain/loss is calculated depending on Measuring period and the use of the Allocation (“Periodisering”) alternative.

The principles regarding application of the measuring period and the use of Allocation described below apply also to calculation of accrued interest and Interest rate gain/loss in various parts of the system. “Allocation” in TS means that a profit loss item is calculated strictly within the measuring period.

FX spot at period end

Typ of deal	Matured	Not matured (maturity date på affär > efter balance end date)
Loan	Mid rates	Ask (period end)
Deposit	Mid rates	Bid (Period end)
FX buy	Mid rates	Bid (period end)
FX Sell	Mid rates	Ask (Period end)

Note! If the deal is matured but no FX rate has been set in accounting view the report till estimate an FX fwd rate from the FX rate from Measuring period start.

Net present value

The total market valuation is quoted in price currency and discounted to the price currency’s interest rate

Consolidated

The price currency amount is consolidate to the accounting currency to FX rate at period end