[This message was posted by Jay Hurley of Morgan Stanley <[email protected]> to the "Foreign Exchange" discussion forum at http://fixprotocol.org/discuss/1. You can reply to it on-line at http://fixprotocol.org/discuss/read/4f40dcda - PLEASE DO NOT REPLY BY MAIL.]
FX forwards do not need a cutoff to establish the settlement price so we will not be implementing this, however, I suspect that this topic will come up for options in the not too distant future. > I am not sure where this leaves us. Do FX Forwards require > identification of the cutoff to establish the settlement price? > > If so, do we need to use the planned Cutoff fields for FX Forwards? > > > > For ON trades there are cut off times for payments being made - these > > are currency specific e.g. AUD is much earlier than CAD. The FX FIX > > spec does not delve into the depths of cash payments. This is a > > different concept from TK/NY cuts which are options expiry times. > > > > Regards, Jay > > > > > Thank you, Jim. I appreciate it. > > > > > > > Robert - I will look into this a little bit. Hopefully someone > > > > else from the GFXC Tech Subcommittee can provide a comment. > > > > > > > > > I am by no means expert, but for an ON TN or SN trade isn't it > > > > > important to identify the cutoff time? From vol. 7 they seem to > > > > > just assume NY cutoff. > > > > > > > > > > > > > > > > Is cutoff required for FX Forwards? You can check volume 7 of > > > > > > the latest FIX specification for usage for FX Forwards. > > > > > > > > > > > > We are proposing some enhancements to address cutoff for OTC > > > > > > FX options > > > > > > - the initial proposal was presented to the GFXC Tech > > > > > > subcommittee a couple of weeks ago. We are proposing a > > > > > > CutoffZone (with code list to be maintained by FPL) and a > > > > > > Cutoff Time (HH:MM:SS). > > > > > > > > > > > > > Hi All, > > > > > > > > > > > > > > Sorry for the newbie question, but where does one specific > > > > > > > NY or Tokyo Cutoff in specifying an FX Forward? > > > > > > > > > > > > > > Thanks! [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
