Valuation

Use

You use the valuation function to value the positions in the parallel valuation areas for a given key date.

The following products are valued:

  • Securities positions

  • Loan contracts

  • Money market transactions

  • OTC derivatives

  • Forward exchange transactions

  • Forward bonds

  • Futures

Integration

You require the following authorizations to execute this function:

Authorization Object

Activities

T_DEAL_PD (Product/transaction type authorization)

Activity 16 (execute) and 85 (reverse)

T_DEAL_PF (Portfolio authorization)

Activity 16 (execute) and 85 (reverse)

T_DEAL_DP (Securities account authorization)

Activity 16 (execute) and 85 (reverse)

T_DEAL_AG (Authorization group for customer-specific authorization checks)

Activity 16 (execute) and 85 (reverse)

Prerequisites

  • Make your settings in Customizing for valuation.

Before executing a key date valuation, you also need to fulfill other prerequisites, such as updating the required price and NPV tables.

Features

You can perform a valuation at the end of the year or during the course of the year. If you run the valuation during the year, you can opt to have it reset afterwards.

If you perform a valuation and then have it reset, the system automatically resets the postings in the same run as the valuation itself. The key date for the reset postings is one day after the valuation key date.

When it values a position, the system follows the steps defined in the position management procedure for that position.

The following steps are available for the valuation where each step supports a particular selection of product categories. The supported product categories are described in the explanation for the individual steps or in the following list.

Amortization

One-Step Valuation

Two-Step Valuation

Security Valuation

Foreign Currency Valuation

Index Valuation

Rate Valuation for Forward Exchange Transactions (for product category 600, foreign exchange)

Swap/Margin Accrual/Deferral (for product categories 600 (foreign exchange) and 740 (forward bonds))

Swap Valuation (for product category 600, foreign exchange)

Futures Valuation

You define the order in which the steps are processed in the Position Management Procedure . Position management procedures are defined for Position Management Categories . The position management category controls the supported components for the position and delivers a preselection of valuation steps. The following position management categories with their respective preselection of valuation steps are available:

  • OTC derivatives (posting to P&L)

    • 001 One-step price valuation

    • 004 Security valuation

    • 005 Foreign currency valuation

  • OTC derivatives (transfer from underlying)

    • 001 One-step price valuation

    • 004 Security valuation

    • 005 Foreign currency valuation

  • Forward exchange transactions

    • 004 Security valuation

    • 006 Rate valuation - forward exchange transaction

    • 007 Swap/Margin accrual/deferral

    • 008 Swap valuation

  • Index-linked bonds

    • 002 Amortization

    • 003 Index valuation

    • 004 Security valuation

    • 005 Foreign currency valuation

  • Forwards

    • 004 Security valuation

    • 005 Foreign currency valuation

    • 007 Swap/Margin accrual/deferral

  • Securities/loans/money market (without index-linked bonds)

    • 001 One-step price valuation

    • 002 Amortization

    • 004 Security valuation

    • 005 Foreign currency valuation

  • Securities/loans with installment repayment (without index-linked bonds)

    • 001 One-step price valuation

    • 002 Amortization

    • 004 Security valuation

    • 005 Foreign currency valuation

See also:

Executing Key Date Valuation

Reverse Key Date Valuation