One-Step Valuation

Use

The one-step valuation procedure uses the total amount in local currency as the basis for determining write-ups and write-downs, creating and reversing provisions, and disclosing unrealized gains/losses in a single step.

See also:

Two-Step Valuation

Integration

One-step valuation is supported for the following product categories:

Loans:

  • 300 Mortgage

  • 310 Borrower’s note loan

  • 320 Policy loan

  • 330 General loan

Securities:

  • 010 Stock

  • 020 Investment certificate

  • 030 Subscription right

  • 040 Bond

  • 041 Bond with redemption schedule

  • 060 Warrant bond

  • 070 Convertible bond

  • 111 Index warrant

  • 112 Equity warrant

  • 113 Currency warrant

  • 114 Bond warrant

  • 160 Shareholding

Money market transactions:

  • 510 Fixed-term deposit

  • 520 Deposit at notice

  • 530 Commercial paper

  • 540 Cash flow transactions

  • 550 Interest rate instrument

Foreign Exchange:

  • 600 Foreign exchange

Derivatives:

  • 610 Cap/Floor

  • 620 Swap

  • 630 FRA

  • 760 OTC options

  • 700 Futures

Features

  • The procedure for determining write-ups/write-downs is as follows:

    1. The system compares the book value of the position in valuation currency with the book value or NPV and then calculates the new book value according to the rules defined for the position management procedure.

    2. The book value in position currency is determined at the same time.

    3. The gain or loss for the paper is determined by first calculating the write-up or write-down amount in position currency and then translating it into the valuation currency using the book exchange rate. The write-up or write-down amount for the foreign exchange component is the difference between this value and the new book value in valuation currency.

    4. Flows are generated for the write-up or write-down amounts:

      • One flow for security gains/losses

      • One flow for foreign exchange gains/losses

        The update type depends on the +/- sign of the individual amounts and on the +/- sign of the sum of both write-up or write-down amounts in valuation currency.

  • This valuation step can generate reset flows.

See also: