Reply To: Call-Notice / Nostro Accounts to capture (Cash)Realised PnL from Matured Trades

Tom Graham

I did something similar at a client using simple cash transactions instead of Call Notice.
They mature trades periodically: Every time this happens – we calculate the maturing value by –
(Including previously booked ‘rollover’ cash trades)
And book a dummy cash trade for the same amount settling on the current date.
This retains the realised value of matured deals at required level of granularity.

Download PDF version

This field is for validation purposes and should be left unchanged.