Background documentationHA Rule 400: Valuation Unit

 

The HA rule 400: Valuation Unit is used in the following hedging scenarios:

  • 510 UoV: Forward Exchange Transactions as Hedging Instruments

  • 520 UoV: Swaps as Hedging Instruments

  • 521 UoV: Futures as Hedging Instruments

  • 522 UoV: Forward Securities Transactions as Hedging Instruments

  • 523 UoV: Forward Transactions as Hedging Instruments

  • 530 UoV: Forward Exchange Transactions Hedged with Forward Exchange Transactions

  • 531 UoV: Swaps Hedged with Swaps

  • 532 UoV: Bonds Hedged with Security Transactions

Features

Valuation Before the Start of a Hedging Relationship

The positions combined in a valuation unit can be valuated independently of each other. Write-ups and write-downs in the security are written to the position component 1002 (= Security Valuation). The update type is determined on the basis of the settings made in the Customizing activity "Assign Update Types for Valuation".

Valuation at the Start of the Hedging Relationship (Designation)

During a designation, transfer postings are made from the free-standing subpositions to the hedged subpositions to be hedged. In the case of a valuation rule "Valuation Unit", no implied valuations of the free-standing positions are made prior to these transfer postings.

Valuations During the Hedging Relationship

With valuations, it is ensured that all position that are combined in a valuation unit are valuated together. It is not possible to valuate a single hedged item or a single hedging instrument. For the valuation of the hedged item, the market values of the hedging instruments are added to the market value of the hedged item. In this way, a write-up/write-down is performed on this total amount. All hedging instruments are valuated at the market value of zero. A detailed log for the valuation log shows how the market value of the hedged item is determined. Write-ups and write-downs in the security are written to the position component 1002 (= Security Valuation). The update type is determined on the basis of the settings made in the Customizing activity "Assign Update Types for Valuation".

Valuation at the End of the Hedging Relationship

During a dedesignation, transfer postings are made from the hedged subpositions or to the subpositions to be hedged to the free-standing subpositions. In the case of a valuation rule "Valuation Unit", no implied valuations of the free-standing positions are made prior to these transfer postings.