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Although Cleared Swaps are not currently supported with this functionality in core, it is possible to enable them locally. Cross currency scenarios (where a security's local currency and settlement currency are both different than the fund's currency) and Cleared Swaps must have Settlement Currency (63) on the security master file (SMF) set to the currency in which variation margin will settle. This is not required in other situationsfor futures and options, where Settlement Currency can be set equal to Asset Currency (85) on the SMF and then overridden at the trade level.
Add Broker Currency
Specifies currency for conversion of VM. For example: if all VM for clearing broker BNYM is moved in USD, enter USD as the Broker Currency.
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- Entity ID (1163) & Name (1164): same as above
- Clearing Broker (1236) & Code (1237): same as above
- Entry Type (1882): same as above
- From Currency (363): local currency of a Future or Option contract to be converted using these rates
- To Currency (313): currency for VM settlement
- This should match Asset Currency entered above
- Effective Date (1109)
- Spot Rate (96): FX rate specified by clearing broker
Book Trades
- Settlement Currency (63): must be set to currency for VM settlement
Processing
Once a Broker Currency has been defined and Broker Rates have been loaded, they will be picked up automatically by the VM approval process. The calculations in local and base currencies are unchanged. VM is converted to the settlement currency using Broker Rates from the relevant dates, if available. If none are available, the most recent rates from the entity's FX Source are used.
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