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TPM1 "NBV eC VC" in Swap/margin accrual

Dec 15, 2016 at 01:56 PM

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Former Member

Could you help understand how NBV eC VC calculates in TPM1 for an FX forward transaction?

Note, in the calculation one box is Security valuation, and this has values from TPM60.

The second box is Swap/margin accrual. And this is where NBV eC VC is in question.

Thanks

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2 Answers

Grigoriy Babitskiy Dec 16, 2016 at 12:02 PM
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Hello, Konstantine.

Can you post a screenshot of your TPM1 transaction with results.

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Former Member

Number in question highlighted. Thanks!!

tpm1.jpg (77.4 kB)
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Former Member

I figured this! It's just the valuation + accrued monthly forward points.

Not sure how it makes sense to put these together, but whatever.

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Grigoriy Babitskiy Dec 16, 2016 at 01:00 PM
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Hi Grigoriy

I have the same issue. Read the description, but unclear what date is used for "Date last valuation" if it is the first time it is run?

Thanks.

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