B
Base currency
The client’s home currency, typically all cashflows will take place in this currency
C
Cashflow
A cashflow takes place at the maturity date of an FX contract. For hedging purposes, this will take place in the base currency only
Conversion Trade
A trade executed to convert one currency to another and taken to delivery, typically settling in two business days' time
Counterparty
The opposite party in a financial transaction
Currency Pair
Denotes which two currencies are being traded. The currency pair convention uses market convention for quoting and is listed as how many units of currency A are required to receive one unit of currency B. This means it’s not always listed as base first.
E
Exchange Rate
The market rate or achieved rate of a transaction which determines how many units of currency A are required to receive one unit of currency B. The currency pair convention uses market convention for quoting and is not always listed as base first.
Execution Venue
Denotes where the trade was executed - i.e. on an e-platform, or via voice
F
Forward Rate
The achieved forward price on a traded contract, composed of the spot rate plus the forward points adjustment to specific maturity date
Forward Trade
An FX Forward is an agreement to exchange a pair of currencies at a set rate on a future date
Foreign Exchange
Foreign Exchange means trading one country’s currency for another country’s currency
G
Gross Counterparty Exposure
Gross counterparty exposure is a direct calculation of all outstanding positions against a single counterparty without taking any offsetting positions to the same maturity date into account
H
Hedge Ratio
A calculation based on the open FX position divided by the hedgeable exposure to obtain a currency protection ratio
Hedge Ratio (Proxy)
A calculation based on the open FX position divided by the hedgeable exposure including any proxy currencies to obtain a currency protection ratio
Hedgeable Exposure
The amount of exposure in a client’s underlying asset portfolio that is eligible for hedging
Hedgeable Weight
The proportion of the hedgeable exposure for each currency as a total of the mandates’ hedgeable exposure
Hedging
A process in which an offsetting position is taken to reduce the associated risk. In currency terms, an asset purchased in a local currency will have an opposing FX contract sold to offset the currency risk
I
ISIN
An ISIN (International Securities Identification Number) uniquely identifies a specific security. For FX trades, security positions are uniquely determined by the currency pair and maturity date
Interest Rate Differential (IRD)
An interest rate differential is the difference between interest rates in two different countries or currencies
L
Local Currency
This is the currency being traded back to the base currency. In hedging terms, this is the currency of the underlying asset
Long Position
The amount of currency purchased in a transaction, or the net amount bought across multiple transactions
M
MiFID
The Markets in Financial Instruments Directive (MiFID) is a set of regulations aimed at improving financial markets transparency
Mandate
A designation to identify a specific program or set of hedges
Mandate Size
The functional size of a mandate after including the underlying assets' portfolio that is eligible for hedging. In practice this is typically the same as the Hedgeable Exposure
Maturity Date
The date an FX contract is due to settle and all currency obligations will be exchanged
Mark-to-Market Exposure
This is the total valuation of the open hedging positions (Unrealised) and the closed hedging positions yet to settle (Realised) against each individual counterparty
Market Convention
The market convention for quoting currency pairs and FX rates is determined by a list of currency rankings recognised across the market to remove ambiguity of how each pair should be quoted and traded. This will not always be consistent with quoting the client’s base currency first
Market Valuation
This is the total valuation of the open hedging positions (Unrealised) and the closed hedging positions yet to settle (Realised) against each individual counterparty
Matured in Period
Reflects any settled hedging cashflows in the period within the Market Valuations report
N
Net Counterparty Exposure
Net Counterparty Exposure is calculated based on all open FX positions against a single counterparty, taking any offsetting positions to the same maturity date into account
Net Position
Represents the total open hedge position to each value date, including any netting of offsetting transactions to the same maturity date
P
Proxy Currency Exposure
Local currency exposure can be set as a proxy, meaning that the exposure is added to a different currency hedge rather than hedged independently. Proxy currencies typically share characteristics or are linked in some way to a hedgeable currency
R
Realised
This is the total valuation of all FX contracts due to settle in the future where all local currency exposure has been closed and only base currency exposure remains
S
Scheme
A designation to identify a specific program or set of hedges
Short Position
The amount of currency sold in a transaction, or the net amount sold across multiple transactions
Spot Rate
The spot rate component of a price is the prevailing market rate if an FX position was traded to the spot date, typically in two business days' time
T
Tenor
The duration of an FX forward position
TradeID
A trade identifier unique to each traded contract
Traded Rate
The achieved forward price on a traded contract, composed of the spot rate plus the forward points adjustment to specific maturity date
U
Unhedgeable Exposure
Exposure that exists within the client’s underlying mandate but that is not included in the hedgeable mandate
Unrealised
This is the total valuation of all FX contracts due to settle in the future where hedging positions have local and base exposures outstanding
V
Valuation Rate Type
Valuation rates can be set to two types.
WM uses the London 4pm Bid/Offer WM rates to provide a valuation estimate including spread costs if positions were to be closed out.
Mid WM uses the London 4pm Mid WM rates to provide a valuation estimate excluding any spread costs of closing positions.
Value Date
The date an FX contract is due to settle and all currency obligations will be exchanged
W
WM Rates
The London 4pm WM/Refinitiv FX Benchmark Rates form the basis of valuation calculations on the platform. These are widely used rates across the market
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