This page displays ultimate underlyings of the cash contract class, indexes categorized as "Foreign Exchange Index" and any linked ETFs (each underlying is mapped to an FX contract). Presented positions are grouped by the primary Forex underlying contract.
Note: Note: All FX underlyings (EUR/USD, EUR/JPY etc) are decompressed into one or two primary FX contracts with the reference currency as denominator, for example CHF/GBP is decompressed to (CHF/USD) / (GBP/USD), if the reference currency is USD. The primary FX contract prices are assumed to move in tandem, either with the same percentage or in the same direction but with different volatilities. All of the subportfolio ultimate underlying moves are composed from these primary FX moves.
Real FX positions are not supported in the Risk Navigator, but the cash balance of a currency is translated into a Forex position. The denominator of the forex contract is the current portfolio reference currency. E.g a cash balance of 1120.23 EUR is translated into 1120.23 EUR/USD forex position assuming USD is the portfolio reference currency.
The following portfolio reports are available for forex products: