FX SWAP

  • Posts: 1
  • Thank you received: 0

imm created the topic: FX SWAP

Is it possible in FX Swaps to split the interest component from the fair value component?
#22131

Please Log in or Create an account to join the conversation.

  • Posts: 5
  • Thank you received: 0

TemenosLabs replied the topic: FX SWAP

When FX Swaps (i.e. FWD FWD FX Swap deal) are valued with the RB method (rebate) of revaluation, then it is not possible as interest rates are not considered. Any revaluation method other than RB will populate the fields INT.RATE.BUY and INT.RATE.SELL calculated by a pre-defined formula (can be found in FX help text) and you will have visibility on the interest rates (the interest component of the revaluation process) computed. Rates are usually taken from '01' rate key in Periodic Interest table for the respective currency. For IFRS valuation purposes, there is also a possibility to do revaluation at Deal Level and get Net Present Values of the booked profit/loss apart from the above scenario of currency level valuation. For this purpose you need to set IFRS.REVALUE in REVALUATION.PARAMETER to Yes, then revaluation P&L will be booked at deal level, you can define the interest rate key to be used in the field IFRS.DISC.RATE.KEY.

Sponsored by developer.temenos.com BUILD Membership
#22197

Please Log in or Create an account to join the conversation.

Time to create page: 0.144 seconds