Appendix O

Foreign Exchange (F/X) Trading

Notes:

  • The forex Symbol <55> is defined in "EBS" (Electronic Banking System) format: "CCY1/CCY2".
    • Rates are expressed as "currency1 in currency2" (or "currency2 per currency1") and are calculated as CCY2 divided by CCY1 (NOT CCY1 divided by CCY2)
  • (e.g. "GBP/USD" represents a rate expressed as USD per GBP, "USD/JPY" represents a rate expressed as JPY per USD, etc.).
    • CCY1 and CCY2 are ISO currency codes
  • OrderQty <38> represents the amount expressed in units of currency specified by the Currency <15> field. Note OrderQty <38> must be capable of representing large values with at least 2 decimal places.
  • The value of the Currency field represents the denomination of the quantity field(s).
  • The Rate (specified as a "Price" field) represents CCY2 divided by CCY1 (NOT CCY1 divided by CCY2)
  • The "unknown quantity" can be calculated using the following rules:
    • If Currency field value = CCY1 then as: (OrderQty * Rate)
    • If Currency field value = CCY2 then as: (OrderQty / Rate)

 

Verbal representation Side OrderQty Currency Symbol
(CCY1/CCY2)
Rate Rate "Style" "Resulting" Quantity

Sell 1,000,000 USD for JPY

Sell

1,000,000

USD

USD/JPY

105.92

Normal

105,920,000

JPY/USD

0.009441088

Inverted

Sell 50,000,000 JPY for USD

Sell

50,000,000

JPY

USD/JPY

105.92

Normal

472,054.38

JPY/USD

0.009441088

Inverted

Buy 50,000,000 JPY for USD

Buy

50,000,000

JPY

USD/JPY

105.92

Normal

472,054.38

JPY/USD

0.009441088

Inverted

Buy 1,000,000 USD for JPY

Buy

1,000,000

USD

USD/JPY

105.92

Normal

105,920,000

JPY/USD

0.009441088

Inverted

Sell 1,000,000 USD for CAD

Sell

1,000,000

USD

USD/CAD

1.437

Normal

1,437,000.00

CAD/USD

0.695894224

Inverted

Sell 50,000,000 CAD for USD

Sell

50,000,000

CAD

USD/CAD

1.437

Normal

34,794,711.20

CAD/USD

0.695894224

Inverted

Buy 50,000,000 CAD for USD

Buy

50,000,000

CAD

USD/CAD

1.437

Normal

34,794,711.20

CAD/USD

0.695894224

Inverted

Buy 1,000,000 USD for CAD

Buy

1,000,000

USD

USD/CAD

1.437

Normal

1,437,000.00

CAD/USD

0.695894224

Inverted

Sell 1,000,000 USD for GBP

Sell

1,000,000

USD

GBP/USD

1.6368

Normal

610,948.19

USD/GBP

0.610948192

Inverted

Sell 50,000,000 GBP for USD

Sell

50,000,000

GBP

GBP/USD

1.6368

Normal

81,840,000.00

USD/GBP

0.610948192

Inverted

Buy 50,000,000 GBP for USD

Buy

50,000,000

GBP

GBP/USD

1.6368

Normal

81,840,000.00

USD/GBP

0.610948192

Inverted

Buy 1,000,000 USD for GBP

Buy

1,000,000

USD

GBP/USD

1.6368

Normal

610,948.19

USD/GBP

0.610948192

Inverted

Sell 1,000,000 USD for EUR

Sell

1,000,000

USD

EUR/USD

1.001

Normal

999,001.00

USD/EUR

0.999000999

Inverted

Sell 50,000,000 EUR for USD

Sell

50,000,000

EUR

EUR/USD

1.001

Normal

50,050,000.00

USD/EUR

0.999000999

Inverted

Buy 50,000,000 EUR for USD

Buy

50,000,000

EUR

EUR/USD

1.001

Normal

50,050,000.00

USD/EUR

0.999000999

Inverted

Buy 1,000,000 USD for EUR

Buy

1,000,000

USD

EUR/USD

1.001

Normal

999,001.00

USD/EUR

0.999000999

Inverted

Sell 1,000,000 EUR for GBP

Sell

1,000,000

EUR

EUR/GBP

.6111

Normal

611,100.00

GBP/EUR

1.636393389

Inverted

Sell 50,000,000 GBP for EUR

Sell

50,000,000

GBP

EUR/GBP

.6111

Normal

81,819,669.45

GBP/EUR

1.636393389

Inverted

Buy 50,000,000 GBP for EUR

Buy

50,000,000

GBP

EUR/GBP

.6111

Normal

81,819,669.45

GBP/EUR

1.636393389

Inverted

Buy 1,000,000 EUR for GBP

Buy

1,000,000

EUR

EUR/GBP

.6111

Normal

611,100.00

GBP/EUR

1.636393389

Inverted

Sell 1,000,000 EUR for CHF

Sell

1,000,000

EUR

EUR/CHF

1.6125

Normal

1,612,500.00

CHF/EUR

0.620155039

Inverted

Sell 50,000,000 CHF for EUR

Sell

50,000,000

CHF

EUR/CHF

1.6125

Normal

31,007,751.94

CHF/EUR

0.620155039

Inverted

Buy 50,000,000 CHF for EUR

Buy

50,000,000

CHF

EUR/CHF

1.6125

Normal

31,007,751.94

CHF/EUR

0.620155039

Inverted

Buy 1,000,000 EUR for CHF

Buy

1,000,000

EUR

EUR/CHF

1.6125

Normal

1,612,500.00

CHF/EUR

0.620155039

Inverted

 

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