Base Currency Definitions - FpML基础货币的定义,协议
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.. .. FpML Reporting Currency Definitions This document defines a set of terms to describe the different types of currencies in which a trade’s values can be reported.
• There is some background on the term “Base Currency”. • There is a set of proposed definitions of terms to describe different types of reporting currencies.
Background - Base Currency Definitions [The following definitions are from Wikipedia, at this URL: http://en.wikipedia.org/wiki/Base_currency] In foreign exchange markets, the base currency is the first currency in a currency pair. The second currency is named the quote currency (counter currency, terms currency). Exchange rates are quoted in per unit of the base currency. Note that FX market convention is the reverse of mathematical convention.
Currently the euro has first precedence for base currency; as a result, all currency pairs involving it should have the euro as the first currency. For example, between the US dollar and the euro the exchange rate will be identified as EUR/USD; the number is the amount of US dollars that can be traded for one euro.
The currency hierarchy for the majors is as follows: • Euro • Pound sterling • Australian dollar • New Zealand Dollar • United States dollar • Canadian Dollar • Swiss franc • Japanese Yen
Other currencies (the minors) are generally quoted against one of the major currencies and their cross rates between each other are less well defined.
"Base currency" in foreign exchange can also mean the accounting currency or domestic currency. For example, a British bank may have a "base currency" (accounting currency) of GBP, because all profits and losses are converted to GBP. For example, if a EUR/USD position is closed out with a profit in USD by a British bank, then the "rate-to-base" will be expressed as a GBP/USD rate. Because of the ambiguous meaning of "base currency", many market .. .. participants use the expressions "currency 1" and "currency 2", where one unit of CCY1 equals a variable number of units of CCY2.
Proposed Definitions Base Organization This is the organization from whose perspective the report data fields are reported. For example, the NPV would be reported from the point of view of the base organization (positive amounts are payable to that organization, negative amounts are owed by that organization.)
Cross Currency Trade A trade involving 2 currencies, one exchanged for the other. This includes cross-currency swaps, FX spots, FX forwards, and FX swaps.
Quanto Trade A trade in which the settlement is a different currency than the currency of the underlying asset. For example, an IR swap on USD Libor that settles in GBP, or a total return swap based on an EUR stock that settles in USD.
Trade Base Currency This is the currency in which the trade is denominated.
• In a single currency trade such as a single currency interest rate swap or a credit default swap, it will be the currency of the notional and of settlement. • In a cross currency trade, it will be the base currency of the FX rate (the first currency in the currency pair as conventionally quoted). • In a trade in a non-deliverable currency, it will be the currency of delivery/settlement. • In a quanto trade, it will be the currency of delivery/settlement.
Trade Quote Currency This is the currency in which the trade is quoted.
• In a single currency trade such as a single currency interest rate swap or a credit default swap, it will be the currency of the notional and of settlement. (same as Trade Base Currency). • In a cross currency trade, it will be the quote currency of the FX rate (the second currency in the currency pair as conventionally quoted). • In a trade in a non-deliverable currency, it will be the currency of the underlying asset. • In a quanto trade, it will be the currency of the underlying asset. .. .. Trade Settlement Currency This is the currency that that the Base Organization is receiving in settlements involving the trade.
• In a single currency trade such as a single currency interest rate swap or a credit default swap, it will be the currency of the notional and of settlement. (same as Trade Base Currency). • In a cross currency trade, it will be the currency that the base organization receives. • In a trade in a non-deliverable currency, it will be the settlement currency (the deliverable currency). • In a quanto trade, it will be the settlement currency.
