Defining Currencies and Currency Pairs

Displays the currency code when you select it from the Ccy list. The currency code will identify the currency throughout the system.

You can click ... to add or remove currencies from the Ccy list.

Enter the standard ISO abbreviation for the currency (International Organization for Standardization).

Used in Swift messages in the environment property USE_CCY_ISO_CODE is set to true (payment messages and MT940/MT950 messages).

Select the country of the currency.

This information is used to calculate country risk, as well as positions and limits by country.

Enter the number of business days between the trade date and settlement (or start) date.

Click ... to select holiday calendars that apply to this currency for calculating business days.

Select the rounding convention: NEAREST, UP, or DOWN.

Rounding conventions are described under Help > Rounding Methods.

Enter the number of decimals used to display amounts according to the rounding convention.

Enter the default number of decimals used to display rates expressed in this currency.

However, if you set Rate Decimals to -1 here, the Rate Decimals specified in User Defaults will be used instead. See Configuration > User Access Control > User Defaults (menu action refdata.UserDefaultsWindow).

Select the default daycount convention for financial instruments expressed in this currency.

Select the default reference index for financial instruments expressed in this currency (for example, Swap USD will be derived by default with LIBOR).

Select the default tenor for the default reference index.

Click ... to select groups of currencies to which this currency belongs, such as CLS, EMU or ILLIQUID.

The groups of currencies are user-defined. You can click Add to add currency groups to the currencyGroup domain.

Currency groups are used by the CheckSTPCurrency workflow rule.

Select the timezone for the currency.

Applies to repo trading only.

Enter a nominal amount that will trigger a warning when entering a repo trade.

Enter an external reference code for the currency as applicable.

This is for information purposes only.

Enter the settlement cutoff time for evaluating today FX Spot trades. A trade entered after this time requires that you enter a mandatory comment in order to save the trade.

Select the timezone that corresponds to the cutoff time from the adjacent field.

The keyword AfterSettlementCutoffTime attaches to the trade.

This field is used to determine the first available trade date for a currency and currency pair in eDealing.

The first available date for a currency is:

• Current business date (uses holidays defined in Currency Defaults), if the current time is not greater than the cutoff time
• Business day following the current date/time (uses holidays defined in Currency Defaults), if the current time is greater than the cutoff time

The first available date for a currency pair is the greater of the first available date of each currency in the currency pair. If this date falls on a holiday for any of the two currencies, then the next business day at the currency pair level is chosen.

Select the timezone that corresponds to the cutoff time in the adjacent field.

Check the Precious Metal box to indicate that the currency is a precious metal, XAU gold for example.

You can also define the locations where the precious metal trades, as the spot price differs between locations. Set the base location by selecting a user defined location from the drop-down menu. This will be the default location in the trade entry window.

Click Locations to add location names.

Enter the location name in the text field, click >> to add it to the list, and click Save.

Select the base location from the drop-down menu.

When you save the currency, the system creates Loco-Spread quotes in the quote set.

The system creates both allocated and unallocated quotes for the locations. However, the base location does not have an unallocated quote, as the spread is zero.

When you use the FX Spot, FX Forward, or FX Swap trade windows to capture precious metal trades, you can set the location details in the Location panel.

Select the location from the drop-down menu. The application automatically uses the unallocated spread from the quote set. Select Allocated to use the allocated spread.

Check the Non Deliverable box to specify that the currency is a non-deliverable currency in FX trading.

Then you will be able to save a trade with that currency as an FX NDF trade.

 Ⓘ   [NOTE: The Non Deliverable setting in User Defaults takes precedence over the comparable setting in Currency Defaults]

Enter any description or comment if desired.

A description of the physical form.

The factor required to convert one unit of this form to troy ounces.

The unit of the form.

The secondary currency is the currency selected from the Ccy list on the left. Select the primary currency.

For the EUR/USD currency pair, 1 EUR = x USD. Therefore in the quote set, you will enter a quotation for the product FX [EUR/USD]. If you enter 2, it would mean: 1 EUR = 2 USD.

You can define two currency pairs CCY1/CCY2 and CCY2/CCY1 but there is a single FX Position, combining the trades in both currency pairs. Check Pair Pos Ref only for the currency pair used to represent the FX Position.

 Ⓘ   [NOTE: The FX Volatility Surface uses the pair position reference. For example, if USD/JPY is the pair position reference, the surface is always saved as USD/JPY. It saves a surface set up as JPY/USD as USD/JPY]

At the user level, you can set the opposite currency pair as the position reference currency pair. Set the PosRefCurPairs user attribute in the User Defaults.

Example:

The Pos Ccy Pair attribute can be added on a trade report style that displays the currency pair as per the Pair Pos Ref attribute. This attribute is directly linked to the Currency Pair trade attribute. The implementation is as follows: 

This number allows you to specify how you would like the FX rate for the currency pair to be displayed.

For example, for the currency pair JPYCHF the FX Rate in the Deal Station would be displayed as 0.0110; if you set a Display Factor to 100, the FX rate would be displayed as 1.11, which is 0.0110 * 100.

The Display Factor is used for the specified currency-pair when displaying the FX market rate, trade/dealt rate and holding cost.

Format of forward points (difference between Spot FX Rate and Forward FX Rate) displayed in FX Forward and FX Swap trade windows.

If point factor = 10000, and you enter 25 forward points, then the actual difference between Spot FX Rate and Forward FX Rate is 0.0025.

Round the forward points to this number of decimal places.

If you enter 10.12345 for the points, and the Point Rounding is 1, then the point value displayed should be 10.1.

Used for FX Rate Display purposes only. Mainly used to display Cross Rate calculated by triangulate method.

See Setting Up Cross Currency Pairs for details.

You can set the big figure for each currency pair. Enter which figure after the decimal point is the big figure. The next two figures display as the significant figures in the quotes window. Following are examples.

Maximum number of days allowed between the trade date and the settlement date of FX trades to determine spot FX trades. The max spot date is calculated at currency pair level.

Example: If Max Spot Days = 5, the user can enter a spot FX trade for any trade with "settlement date = trade date" up to "settlement date = trade date + 5 days".

 Ⓘ   [NOTE: It is not currently possible to add forward points to product type FX]

Check if you want to take into account holiday calendars in addition to the holiday calendars of each currency, or clear otherwise.

You can select holiday calendars in addition to the holiday calendars of each currency.

Enter the date from which the secondary currency belongs to a Currency family. Applies to the EURO zone.

Enter the date from which the secondary currency will no longer belong to a Currency Family.

You can select a currency family to which the secondary currency belongs to during the "Active From" and "Active To" date range.

When a currency family is selected, if the settlement date of a trade falls between the "Active From" and "Active To" date range, the trade cashflows are converted to the currency family.

You can enter a fixed conversion rate using the fields Fixed and Fixed Rate. The market's FX rate is used otherwise.

Not used.

Only applies if a currency family is selected.

Check to define a fixed rate, or clear otherwise.

Only applies if a currency family is selected.

Enter a fixed FX rate if Fixed is checked.

Used in FX and FX Options.

Primary or Secondary. Default is Secondary.

Indicates which currency of the two should be considered as riskier by the system.

The Risky Ccy should be set based on the following order:

Set the default display currency for Delta and Gamma measures in the risk reports and Pricing Sheet: primary or secondary currency. The default value is the secondary currency.

The Delta Display Ccy should be primary currency if Pair Pos Ref is true; otherwise it should be secondary currency.

Set the default display currency for NPV and Vega measures in the risk reports and Pricing Sheet: primary or secondary currency. The default value is the secondary currency.

The PL Display Ccy should generally be the secondary currency, unless the secondary currency is non-deliverable, in which case it should be the primary currency. If both currencies are non-deliverable, it should be the secondary currency.