I do have a netting structure consisting of four companies (A,B,C,D) and a netting center. The center also takes place in the netting process.

The netting center uses the EUR as currency. Company A uses the EUR as currency, while Company B uses CHF as currency. Company C uses USD as currency, while Company D uses CAD as currency.

In case the same currency is used, no rate have to be considered.

For example I have to send 1000 USD from company C (considered all amounts are the amounts which will be sent to or will be received from the netting center) via the netting center to company D. Therefore company D will receive the amount in CAD. From my point of view the netting center should "buy" the 1000 USD from company C using the bid rate. Then the netting center has this amount in EUR. The amount must be transfered into CAD by using the ask rate to transfer it to company D.

Company C 1000 USD --> bid rate --> 1100EUR Netting Center Netting Center 1100 EUR --> ask rate --> 900 CAD Company D.

Is the usage of the rates correct? In case the usage of the rates is not correct which rate has to be used and why?


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