Use

The swap valuation function considers the difference between the market swap from the valuation key date to the close date and the "book swap." The book swap is the remaining swap after swap accruals and valuations.

The valuation step requires a swap rate from the valuation key date to the close date as market information.

For foreign exchange transactions using the valuation currency, the foreign currency/valuation currency swap rate is determined. This in turn is used to determine the market swap from the valuation key date to the close date in valuation currency.

The leading currency/following currency swap rate (in the currency pair purchase currency, sale currency) is determined for foreign exchange transactions that do not use the local currency. The swap rate determined in this way is used to determine themarket swap from the valuation key date to the close date in following currency and then converted to valuation currency with the foreign exchange spot rate on the valuation key date.

The market swap is compared with the “book swap.”The difference is recorded as gain/loss.

You cannot vary the procedure for this step by applying different rules.

Flows are generated for the write-up or write-down amount. If the +/- sign differs from the earlier flows, the system generates a clearing flow. If the result of the valuation is that the position has to be written down, for example, and write-up flows already exist, the system would generate one flow to clear the write-ups, and one flow for the remaining write-down amount. The same applies if a write-up offsets former write-downs.

The write-up and write-down amounts are only disclosed in valuation currency.

For general information, see the following chapters: Swap and Valuation .