Unrealised Report

The unrealised report brings the current valuation of all your open foreign exchange (FX) agreements as of the report date. .

To accurately generate this report, ensure you have:

• The fixing rates for the report date for those currency pairs involved in your FX agreements, and if needed, the deal nominal currency vs. the entity base currency.
• The forward points for those currency pairs on the report date, if you wish to conduct a full valuation of your currency agreements.

Columns explained

Nominal amount in currency:

This is the nominal amount of the transaction.

Nominal amount in cross currency:

This is the cross amount of the transaction calculated from the nominal amount and the forward rate.

Accrued interest in cross currency:

If there are points in the fx agreement, it means that your agreement is not done in SPOT (T +2 or sometimes +1) and you will have an unrealised result also from the interest rate difference between the two currencies of the transactions. This is the accrued interest rate amount from effective date to report date.

Accrued interest in base currency:

This is "Accrued interest in cross currency" value converted to the entity base currency with the report date fixing rate.

Rate difference in cross currency:

To calculate the rate difference, you need the forward points of that currency pair. Then, you will have the market expectation of the interest rate difference at the maturity date of the agreement. The report interpolates this from the forward rate curve if you have those points in the system. This is the rate difference in the agreement cross currency.

Rate difference in base currency:

This is the "Rate difference in cross currency" value converted to entity base currency with the report date fixing rate.

Spot rate difference in cross currency:

This is the difference between the spot rate of the transaction and the report day fixing rate in the cross currency of the transaction.

Spot rate difference in base currency:

This is the "Spot rate difference in cross currency" value converted to entity base currency with the  report date fixing rate.

Total valuation in cross currency:

This is "Accrued interest in cross currency" + "Rate difference in cross currency" + "Spot rate difference in cross currency" in the agreement cross currency.

Total valuation in base currency:

This is the "Total valuation in cross currency" value converted to entity base currency with the report date fixing rate.