BaseCurrencyDefinitions-FpML基础货币的定义，协议.doc

FpML RPT WGReporting Currency Definitions August 21, 2009FpML Reporting Currency DefinitionsThis document defines a set of terms to describe the different types of currencies in which a trades 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 DefinitionsThe following definitions are from Wikipedia, at this URL: /wiki/Base_currencyIn 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 DefinitionsBase OrganizationThis 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 TradeA trade involving 2 currencies, one exchanged for the other. This includes cross-currency swaps, FX spots, FX forwards, and FX swaps.Quanto TradeA 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 CurrencyThis 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 CurrencyThis 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 CurrencyThis 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.Trade Receive CurrencyThis is the currency whose increase in value will result in an increase in value to the Base Organization. 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. (same as Trade Settlement Currency) In a trade in a non-deliverable currency, it will be currency of the underlying asset if the Base Organization receives based on that asset, and the settlement currency if the Base Organization pays based on that asset. In a quanto trade, it will be currency of the underlying asset if the Base Organization receives based on that asset, and the settlement currency if the Base Organization pays based on that asset.Trade Pay CurrencyThis is the currency whose increase in value will result in a DECREASE in value to the Base Organization. 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 pays. In a trade in a non-deliverable currency, it will be currency of the underlying asset if the Base Organization pays based on that asset, and the settlement currency if the Base Organization receives based on that asset. In a quanto trade, it will be currency of the underlying asset if the Base Organization pays based on that asset, and the settlement currency if the Base Organization receives based on that asset.Trade Primary Risk CurrencyThis is the currency that represents the primary risk as seen from the perspective of the Base Organization. For an asset hedge, this will be the Trade Receive Currency For a liability hedge, this will be the Trade Pay CurrencyUnit CurrencyThis is a standardized currency for reporting values within a single unit, such as a legal entity, fund, account, branch, business unit, etc., irrespective of the currency of the trades within the report. Values for all trades within that unit will use the same unit currency, and if necessary will be converted to that currency using prevailing FX rates. This is sometimes called the “Accounting Currency”, or “Base Currenc