Imported from previous forum
Hi All,
Sorry for the newbie question, but where does one specific NY or Tokyo Cutoff in specifying an FX Forward?
Thanks!
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!
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!
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!
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!
[ original email was from Jay Hurley - Jay.Hurley@morganstanley.com ]
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!
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!
[ original email was from Jay Hurley - Jay.Hurley@morganstanley.com ]
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!
Hi Jay, thanks for the clarification. I should have been asking about FX options. And thanks Jim for staying with this topic over the weekend.
So the current state of the world is there is no way to trade FX options via FIX without a user-defined cutoff field, is that correct?
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!
Robert,
This is correct. We have a gap analysis being prepared now within the GFXC that includes CutoffZone and CutoffTime. The proposal includes FIX Protocol maintaining the external code list of CutoffZones for the industry and working for an ISO standard through our participation in the X.9 X9D US standards organization.
Hi Jay, thanks for the clarification. I should have been asking about FX
options. And thanks Jim for staying with this topic over the weekend.So the current state of the world is there is no way to trade FX options
via FIX without a user-defined cutoff field, is that correct?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!
Hi Guys,
Long time no speak, just checking if there is a continuing discussion about cutoff times of if we should still use MaturityDate + MaturityTime for FX Options ?
Thanks for any update.
Franck