Regulatory Reporting requirements Derivatives are governed by the Foreign Exchange Management (Foreign Exchange Derivative Contracts) Regulations, 2000. Derivatives are allowed only under the provisions of these regulations and amendments since, […]
Audit - 20. page
Valuation of foreign exchange forwards and derivative products
Valuation of foreign exchange forwards and derivative products Valuation of derivatives, particularly long-tenor derivative products, many of which could be proprietary products of banks, may be difficult to value, as […]
Guidance for Arriving at Fair / Market Value
Guidance for Arriving at Fair / Market Value As a general rule, for an instrument that is actively traded on a recognized public exchange, the price quoted by the exchange […]
Examples for the Calculation of Market or Fair Values of Derivative Contracts
Examples for the Calculation of Market or Fair Values of Derivative Contracts The following examples indicate how to calculate the market or fair value of various derivative contracts. For a […]
Documentation
Documentation This can range from simple customer mandates through to full legal documentation with both banks and customers. The bank’s legal department is responsible for legal agreements depending on what […]
Rate Reasonability
Rate Reasonability The bank’s risk department will perform the rate reasonability process as per the Price Verification Policy of the bank and for any transaction that falls outside the band […]
Position and P&L Reconciliation
Position and P&L Reconciliation This is one of the most important controls on deals position which is carried out by the bank’s risk department / back office. The trader’s net […]
Accounting for Forex and Derivative Transactions
Accounting for Forex and Derivative Transactions Accounting is generally handled by the back office which acts as an intermediary between the treasury business unit and the finance department to ensure […]
Overnight Net Exchange Position Limit/Factor Sensitivity Limits for Spot FX
Overnight Net Exchange Position Limit/Factor Sensitivity Limits for Spot FX NOOPL may be fixed by the boards of the respective banks and communicated to the Reserve Bank immediately. However, such […]
Management Action Trigger (MAT)
Management Action Trigger (MAT) MAT represents the management’s tolerance for accepting the market risk related losses on a daily and cumulative month-to-date basis especially on the trading portfolio. The P&L […]