Forward Currency Contracts. BBH obtains the WM Reuters London Close closing spot rates and the WM Reuters London Close forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate. Swaps and other similar derivative or contractual type instruments are valued at a price provided by a single broker or dealer, typically the counterparty. If no such price is available, the contract is valued at a price at which the counterparty to such contract would repurchase the instrument or terminate the contract.
Appears in 9 contracts
Sources: Authorized Participant Agreement (United States 12 Month Oil Fund, LP), Authorized Participant Agreement (United States Diesel-Heating Oil Fund, LP), Authorized Participant Agreement (United States Gasoline Fund, LP)