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The table below demonstrates a cross-currency example for a Future, where the security's local currency (GBP) and the Broker Currency (CAD) are both different than the fund's base currency (USD). This scenario is only supported for Futures and Options. For a Cleared Swap, VM must settle in the base currency of the fund holding it (Broker Currency matches fund's base currency).
Day 1 | Day 2 | Day 3 | Notes | |
|---|---|---|---|---|
Income - Unaffected by Broker Rates | ||||
Urgl Sec Delta L (4363) | 30,000 | -20,000 | 70,000 | = daily VM |
Var Margin Ltd Local (5020) | 30,000 | 10,000 | 80,000 | = accumulated VM |
Local to Base FX Rate | 0.95 | 0.94 | 0.96 | GBP to USD using FX Source |
Var Margin Ltd Base (5021) | 31,578.95 | 10,638.30 | 83,333.33 | = Var Margin Ltd Local / Local to Base FX Rate |
Urgl Sec Delta B (4364) | 31,578.95 | -20,940.65 | 72,695.03 | = day-over-day change in Var Margin Ltd Base |
Cash - Uses Broker Rates | ||||
Broker FX Rate | 0.59 | 0.60 | 0.58 | GBP to CAD |
Net Amount Local (50) | 50,847.46 | -33,333.33 | 120,689.66 | = Urgl Sec Delta L / Broker FX Rate |
Broker Currency to Base FX Rate | 1.35 | 1.30 | 1.25 | CAD to USD using FX Source |
Net Amount Base (478) | 37,664.79 | 25,641.02 | 96,551.73 | = Net Amount Local / Broker Currency to Base FX Rate |
Configuration
The relevant currency must be defined and rates must be entered prior to processing VM. The screens can be located by searching for Broker Currency and Broker Rates.
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Specifies currency for conversion of VM. For exampleExample: if all VM for a given clearing broker BNYM is moved in USD, enter USD as the Broker Currency.
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