Position Components for Adjustments with Position Outflows

Calculation of realized gains and losses for non-monetary positions

With a sale (position outflow), the value adjustment must be adjusted in proportion (as with all other position components).

The following applies:

The clearing of VAD gains adjusts the realized gains
The clearing of VAD losses adjusts the realized losses.

Caution
A clearing of VAD gains and VAD losses can be both positive and negative.

End of the caution.

Rules for calculating the components

Clearing VAD = clearing VAD gains + clearing VAD losses
Realized gains and losses (P-GAAP) = realized gains and losses (H-GAAP) – clearing VAD

The splitting of the clearing VAD in clearing VAD gains and clearing VAD losses follows the following algorithm:

Rules

	Case 1	Case 2	Case 3	Case 4	Case 5	Case 6
	Realized profit and loss statement (H-GAAP) ≥ 0			Realized profit and loss statement (H-GAAP) < 0
	Clearing VAD > 0		Clearing VAD ≤ 0	Clearing VAD < 0		Clearing VAD ≥ 0
	Clearing VAD ≤ realized profit and loss statement (H-GAAP)	Clearing VAD > realized profit and loss statement (H-GAAP)		Realized profit and loss statement (H-GAAP) ≤ clearing VAD	Realized profit and loss statement (H-GAAP) > clearing VAD
Clearing of position components
VAD Gains	- Clearing VAD	Realized profit and loss statement (H-GAAP)	- Clearing VAD	0	- [clearing VAD – realized profit and loss statement (H-GAAP)]	0
VAD losses	0	- [clearing VAD – realized profit and loss statement (H-GAAP)]	0	- Clearing VAD	- realized profit and loss statement (H-GAAP)	- Clearing VAD
Calculation of Delta VADS (Flows)
VAD Gains	+ VAD losses (old) * R	+ realized P&L statement (H-GAAP) – VAD gains (old) * R	+ VAD losses (old) * R	- VAD gains (old) * R	+ VAD losses (old) * R – realized P&L statement (H-GAAP)	- VAD gains (old) * R
VAD losses	- VAD losses (old) * R	+ VAD gains (old) * R – realized P&L statement (H-GAAP)	- VAD losses (old) * R	+ VAD gains (old) * R	+ realized P&L statement (H-GAAP) – VAD losses (old) * R	+ VAD gains (old) * R
	Example	Example	Example	Example	Example	Example

Used abbreviation:

R = ratio = outgoing part of position / total position before sale

Calculation of realized gains and losses for monetary positions

If you have define the indicator Amortized Value Adjustment for a position management procedure, the system executes the amortization in the following cases:

When valuating the position
With position inflows and outflows
For all other business transactions that change the amortized acquisition value (purchase value + capitalized costs + amortizations).

There is a one to one link between the amortization procedure (SAC/LAC) and the amortization (LAC) of the value adjustment. Without the amortization procedure, no clearing of the value adjustment takes place.