Average Noon Rate Agreement

Foreign Exchange Rate Average Noon Rate Agreement (ANR) is an agreement to buy or sell USD dollars on a future value date at a rate equal to the average rate for a specified period and adjusted by forward points agreed at the inception.

The actual pricing (Mark-to-Market) is done at the inventory level and is in the base currency, which is usually USD. Currently, this product can only be used by Indirect Currencies, and is normally used in CADUSD only. Therefore, this report examines indirect quote only.

We examine the pricing and delta calculation with 5 test cases (for each of these test cases, ANR decomposition into 2 NRCs are also tested). The valuation date (called Spot Date in Atlas) is August 31, 2004. Actual/365 for Day Count Base, Daily Averaging frequency, and N=1,000,000 USD is used in all test cases.

It is possible that matured ANR could be in the system (not paid out to clients) and, thus, daily Mark-to-Market and Delta calculations are also done on those matured ANRs. For a matured ANR, the pricing in equations (1), (4) and (5) are modified as the following.

• zenodo ANR pdf
• zenodo ANR
• zenodo EEF pdf
• zenodo EEF
• zenodo NRC pdf
• zenodo NRC