Reply To: Why is “Impact of Amendment” showing change due to Spot FX?

#6879
Israr
Participant

This is actually confusing. The “Impact of Spot FX” only looks at forward value MtM and not realised ( there is a parameter AB_INCLUDE_PAST_PAYMENTS_IN_IMPACT_OF_SPOT_FX_DETAIL_RESULT but there is some ambiguity on how this works ) – instead what we find is that the change in Realised PnL due to Spot FX comes through in the “Impact of Amendments”.

This is because Impact Of Amendment has two sources :
(1) Amendment MtM Detail
+
(2) Historical Cash Changes

the second part (2) is actually the change in BASE CCY Historical Cash – so any change in Historical Realised PnL due to Spot FX changes also comes through on here.

To confuse matters further – only the CASH Side Realised comes through on Impact of Amendment . The PHY Side Realised change doesn’t.

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