Position Components
The values of a position are split into position components. We distinguish between original
and derived position components
. Derived position components are based on original position components and are in some cases determined by adding or subtracting original position components.
Each position is assigned to a position management procedure, and each of these procedures has a position management category. The position management category determines the original and derived components that a position has.
Since positions in different product categories have different valuation requirements, different position management categories have been defined with various procedures for key date valuations. The system uses the following eight position management categories:
Securities/Loans/Money Market Transactions/Listed Options, Normal Style (Without Index-Linked Bonds)
Index-Linked Bonds
OTC Derivatives (Profit-Related Postings)
(used for OTC options, interest rate swaps, FRAs, and caps/floors)Listed Options (Future Style) and Futures
Foreign Exchange Transactions
Forwards/Repos
OTC Derivatives (Transfer Posting to Underlying)
Securities/Loans with Installment Repayment (Without Index-Linked Bonds)
The following list contains the position components for the different position management categories:
1. Securities/Loans/Money Market Transactions/Listed Options, Normal Style (Without Index-Linked Bonds)
Original components:
Units/Nominal
(0001
)Purchase Value
(1001
)Security Valuation
(1002
)Foreign Currency Valuation
(1003
)Capitalized Costs
(1004
)Valuation of Capitalized Costs, Security
(1005
)Valuation of Capitalized Costs, Foreign Currency
(1006
)FX Valuation of Amortized Acquisition Value
(1011
)Amortization
(1007
) [when differentiating between issue/negotiation spread: amortization with issue spread]Amortization Negotiation Spread
(1019
)Premium/Discount (
1008
) [Cleared Premium/Discount Deferral/Tax Compensation
]Impairment
(1201
)FX Impairment
(1202
)Deferral Item, Purchase Value
(1010
) [not included in the book value; when differentiating between issue/negotiation spread: negotiation spread to be amortized]Accrued Interest
(1018
) [netting; not included in the book value]Consolidated Security Gains
(1021
) (from intragroup transactions)Consolidated Security Losses
(1022
) (from intragroup transactions)Consolidated FX Gains
(1023
) (from intragroup transactions)Consolidated FX Losses
(1024
) (from intragroup transactions)Fair Value Adjustment Gains
(1025
)Fair Value Adjustment Losses
(1026
)Original Fair Value Adjustment
(1027
)If, in the definition of the security valuation procedure and/or the foreign exchange valuation procedure, the
Do Not Realize Gains/Losses
setting was made, the following components are used:Security Valuation, Not Affecting P/L
(1013
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Foreign Currency Valuation, Not Affecting P/L
(1014
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Costs: Security Valuation, Not Affecting P/L
(1016
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Costs: Foreign Currency Valuation, Not Affecting P/L
(1017
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]
For Internal Calculation: Hedge Amortization
(1029
)This position component is required for a one-time increase of the acquisition value in the context of a designation of a hedging relationship (HM-FAM). This is because, in this case, the actual amortized acquisition value of the securities position is not the basis for the amortization; instead, the market value of the securities position at the time of the designation is used as the basis. Consequently, the system creates a flow for the difference between the current amortized acquisition value and the market value at the time of the designation and updates it to this component. The component then flows into the position component
Amortized Acquisition Value
(9004
).For Internal Calculation: To Be Classified
(1300
)Hedge Adjustment
(1301
)Effective
(1302
)Ineffective
(1303
)CFH, NIH: Effective, Dormant
(1304
)CFH, NIH: Ineffective, Dormant
(1305
)Capitalization Reserve France
(1099
)
Derived components:
Acquisition Value
(9003
) =Purchase Value
(1001
) +Capitalized Costs
(1004
)Amortized Acquisition Value
(9004
) =Acquisition Value
(9003
) +Amortization
(1007
) +Amortization Negotiation Spread
(1019
) [1019
depending on amortization procedure] +Impairment
(1201
) +FX Impairment
(1202
) +For Internal Calculation: Hedge Amortization
(1029
)Book Value
(9001
) =Amortized Acquisition Value
(9004
) +Cleared Premium/Discount Deferral/Tax Compensation
(1008
) [1008
depending on position management procedure] + valuations (1002
+1003
+1005
+1006
+1011
) +Hedge Adjustment
(1301
)Book Value Without Capitalized Costs
(9002
) =Book Value
(9001
) -Capitalized Costs
(1004
) - cost valuations (1005
+1006
)
2. Index-Linked Bonds
Original components:
Units/Nominal
(0001
)Purchase Value
(1001
)Security Valuation
(1002
)Foreign Currency Valuation
(1003
)Capitalized Costs
(1004
)Valuation of Capitalized Costs, Security
(1005
)Valuation of Capitalized Costs, Foreign Currency
(1006
)Index Valuation
(1009
)FX Valuation of Amortized Acquisition Value
(1011
)Amortization
(1007
) [when differentiating between issue/negotiation spread: amortization with issue spread]Amortization Negotiation Spread
(1019
)Premium/Discount (
1008
) [Cleared Premium/Discount Deferral/Tax Compensation
]Impairment
(1201
)FX Impairment
(1202
)Deferral Item, Purchase Value
(1010
) [not included in the book value; when differentiating between issue/negotiation spread: negotiation spread to be amortized]Accrued Interest
(1018
) [netting; not included in the book value]Consolidated Security Gains
(1021
) (from intragroup transactions)Consolidated Security Losses
(1022
) (from intragroup transactions)Consolidated FX Gains
(1023
) (from intragroup transactions)Consolidated FX Losses
(1024
) (from intragroup transactions)If, in the definition of the security valuation procedure and/or the foreign exchange valuation procedure, the
Do Not Realize Gains/Losses
setting was made, then the following components are used:Security Valuation, Not Affecting P/L
(1013
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Foreign Currency Valuation, Not Affecting P/L
(1014
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Index Valuation, Not Affecting P/L
(1015
) [not included in the book value]Costs: Security Valuation, Not Affecting P/L
(1016
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Costs: Foreign Currency Valuation, Not Affecting P/L
(1017
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]
For Internal Calculations: Hedge Amortization
(1029
)Needed for a one-time increase of the acquisition value in the context of a designation of a hedging relationship (HM-FAM), since in this case the actual amortized acquisition value of the securities position is not the basis for the amortization; instead the market value of the securities position at the time of the designation is used as the basis. Therefore, the system creates a flow for the difference between the current amortized acquisition value and the market value at the time of the designation and updates it to this component. The component then flows into the position component
Amortized Acquisition Value
(9004
).For Internal Calculation: To Be Classified
(1300
)Hedge Adjustment
(1301
)Effective
(1302
)Ineffective
(1303
)CFH, NIH: Effective, Dormant
(1304
)CFH, NIH: Ineffective, Dormant
(1305
)Capitalization Reserve France
(1099
)
8. Securities/Loans/Money Market with Installment Repayment (Without Index-Linked Bonds)
Original components:
Units /Nominal
(0001
)Purchase Value
(1001
)Security Valuation
(1002
)Foreign Currency Valuation
(1003
)Capitalized Costs
(1004
)Valuation of Capitalized Costs, Security
(1005
)Valuation of Capitalized Costs, Foreign Currency
(1006
)FX Valuation of Amortized Acquisition Value
(1011
)Amortization
(1007
) [when differentiating between issue/negotiation spread: amortization with issue spread]Amortization Negotiation Spread
(1019
)Premium/Discount (
1008
) [Cleared Premium/Discount Deferral/Tax Compensation
]Deferral Item, Purchase Value
(1010
) [not included in the book value; when differentiating between issue/negotiation spread: negotiation spread to be amortized]Impairment
(1201
)FX Impairment
(1202
)Accrued Interest
(1018
) [netting; not included in the book value]Repayment
(1020
)Consolidated Security Gains
(1021
) (from intragroup transactions)Consolidated Security Losses
(1022
) (from intragroup transactions)Consolidated FX Gains
(1023
) (from intragroup transactions)Consolidated FX Losses
(1024
) (from intragroup transactions)Fair Value Adjustment Gains
(1025
)Fair Value Adjustment Losses
(1026
)Original Fair Value Adjustment
(1027
)Interest Income
(1028
)If, in the definition of the security valuation procedure and/or the foreign exchange valuation procedure, the
Do Not Realize Gains/Losses
setting was made, the following components are used:Security Valuation, Not Affecting P/L
(1013
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Foreign Currency Valuation, Not Affecting P/L
(1014
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Costs: Security Valuation, Not Affecting P/L
(1016
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]Costs: Foreign Currency Valuation, Not Affecting P/L
(1017
) [not included in the book value; for transfers (valuation class transfer, securities account transfer)]
For Internal Calculation: To Be Classified
(1300
)Hedge Adjustment
(1301
)Effective
(1302
)Ineffective
(1303
)CFH, NIH: Effective, Dormant
(1304
)CFH, NIH: Ineffective, Dormant
(1305
)
Derived components:
Acquisition Value
(9003
) =Purchase Value
(1001
) +Capitalized Costs
(1004
) [acquisition value withoutRepayment
component (1020
); otherwise, the acquisition value may be negative if the total repayments exceed the purchase value (+ costs)]Amortized Acquisition Value
(9004
) =Acquisition Value
(9003
) +Amortization
(1007
) +Amortization Negotiation Spread
(1019
) [1019
depending on amortization procedure] +Impairment
(1201
) +FX Impairment
(1202
) +Repayment
(1020
)Book Value
(9001
) =Amortized Acquisition Value
(9004
) +Cleared Premium/Discount Deferral/Tax Compensation
(1008
) [1008
depending on position management procedure] + valuations (1002
+1003
+1005
+1006
+1011
) ) +Hedge Adjustment
(1301
)Book Value Without Capitalized Costs
(9002
) =Book Value
(9001
) -Capitalized Costs
(1004
) - cost valuations (1005
+1006
)
4. Listed Options (Future Style) and Futures
Original components:
Units/Nominal
(0001
)Purchase Value
(1001
)Security Valuation
(1002
) [not used]Foreign Currency Valuation
(1003
) [not used]Capitalized Costs
(1004
)Variation Margin
(1012
) [not included in the book value]For Internal Calculation: To Be Classified
(1300
)Hedge Adjustment
(1301
)Effective
(1302
)Ineffective
(1303
)CFH, NIH: Effective, Dormant
(1304
)CFH, NIH: Ineffective, Dormant
(1305
)
Derived components:
Acquisition Value
(9003
) =Purchase Value
(1001
) +Capitalized Costs
(1004
)Book Value
(9001
) =Acquisition Value
(9003
) + valuations (1002
+1003
) +Hedge Adjustment
(1301
)Book Value Without Capitalized Costs
(9002
) =Book Value
(9001
) -Capitalized Costs
(1004
)
5. Foreign Exchange Transactions
Original components:
Units/Nominal
(0001
)Security Valuation
(1002
)Security Valuation, Not Affecting P/L
(1013
)Spot Valuation in Purchase Currency
(1105
) [only in valuation currency]Spot Valuation in Sale Currency
(1106
) [only in valuation currency]Margin/Swap Accrual/Deferral
(1107
) [only in valuation currency]Swap Valuation
(1108
) [only in valuation currency]For Internal Calculation: To Be Classified
(1300
)Hedge Adjustment
(1301
)Effective
(1302
)Ineffective
(1303
)CFH, NIH: Effective, Dormant
(1304
)CFH, NIH: Ineffective, Dormant
(1305
)
Derived components:
Book Value
(9001
) [only in valuation currency] =Purchase Value
(1001
) + valuations (1002
+1013
+1105
+1106
+1108
) +Margin/Swap Accrual/Deferral
(1107
) +Hedge Adjustment
(1301
)Book Value Without Capitalized Costs
(9002
) =Security Valuation, Not Affecting P/L
(1013
)
6. Forwards/Repos
Original components:
Units/Nominal
(0001
)Purchase Value
(1001
)Security Valuation
(1002
)Foreign Currency Valuation
(1003
)Margin/Swap Accrual/Deferral
(1107
) [distribution of the difference between the forward price and the spot price over the term]For Internal Calculation: To Be Classified
(1300
)Hedge Adjustment
(1301
)Effective
(1302
)Ineffective
(1303
)CFH, NIH: Effective, Dormant
(1304
)CFH, NIH: Ineffective, Dormant
(1305
)
Derived components:
Book Value
(9001
) = valuations (1002
+1003
) +Margin/Swap Accrual/Deferral
(1107
) +Hedge Adjustment
(1301
)Book Value
(9001
) =Purchase Value
(1001
)Book Value Without Capitalized Costs
(9002
) =Purchase Value
(1001
)Acquisition Value
(9003
) =Purchase Value
(1001
)Amortized Acquisition Value
(9004
) =Purchase Value
(1001
)
3. OTC Derivatives (Profit-Related Postings) for OTC Options, Interest Rate Swaps, FRAs, and Caps/Floors, and 7. OTC Derivatives (Transfer Posting to Underlying)
Original components:
Units/Nominal
(0001
)Purchase Value
(1001
)Security Valuation
(1002
)Foreign Currency Valuation
(1003
)Variation Margin
(1012
)Security Valuation, Not Affecting P/L
(1013
)Foreign Currency Valuation, Not Affecting P/L
(1014
)For Internal Calculation: To Be Classified
(1300
)Hedge Adjustment
(1301
)Effective
(1302
)Ineffective
(1303
)CFH, NIH: Effective, Dormant
(1304
)CFH, NIH: Ineffective, Dormant
(1305
)
Derived components:
Acquisition Value
(9003
) =Purchase Value
(1001
)Book Value
(9001
) =Purchase Value
(1001
) + valuations (1002
+1003
) +Hedge Adjustment
(1301
)Book Value
(9001
) =Variation Margin
(1012
)Book Value Without Capitalized Costs
(9002
) =9001
Book Value Without Capitalized Costs
(9002
) =Variation Margin
(1012
)