Money market accrual book
- Money market accrual book
The (forward) mismatch position is the net cumulative cash flow, i.e. difference between amounts outstanding placed and taken per currency resulting from outstanding contracts measured per time bracket.
The line 'Today' stands for the liquidity of this book. This line includes current, saving, nostro and margin accounts (used as funding). This amount is rectified for the difference between assets and liabilities as result of settled forex contracts.
Capital, Reserves and P&L is separately reported on the line 'Capital'. Their maturity is infinite in the future, but the line is not reported as last time-bracket, otherwise the limits on the cumulative column should be amended.
The line 'Call' stands for the difference between call taken and placed. A limit is printed for these accounts. See also
Forex book,
Money market trading book,
Position, position administration tables,
Standard position codes,
Combined position code,
Risk management,
Foreign exchange risk,
Forex,
Open currency position,
Mismatch,
Interest risk,
Liquidity risk, forward revaluation, interest revaluation, break even and
Nostro projection.
International financial encyclopaedia .
2014.
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