Why trading portfolios need IPV? We have explained earlier that the all positions in Trading books uses market data to generate generate NPV (value) and Risks of derivatives and cash products. FO or Middle office team (or both) determine the source and update daily at the end of the day. The Valuation Control Group(VCG) whose …
Fair Value Adjustment(FVA)- Bid Offer Reserve Bid offer reserve is the exit cost of the portfolio. It is the cost in terms of bid offer spread to be paid when we want to close the positions. The banks value the trades at mid price [(bid +offer)/2]. But when the desk has to close the long(buy) …
https://www.b3.com.br/en_us/products-and-services/trading/interest-rates/one-day-interbank-deposit-futures.htm
FX NDF(Non-Deliverable Forward) Definition: There are usually FX forward but one is deliverable currency and another is non-deliverable. The non-deliverable currency can not be transferred or settled in USA. Description: FX NDF = FX Forward + FX Spot (in the end of the maturity). There is a fixing , means the final FX rate is …
FX Forward: Definition: The transaction is buying or selling of foreign currency notional in future date. Description: The notional is exchanged between two counterparties in difference currency at pre-determined rate in the future which can be any tenor 1W to 10Y or beyond. Example: MXN vs USD- Buying USD and selling MXN currencies on 1Year …
