Calculating Currency Exposure 

  1. Choose Financial accounting ® Treasury ® Market risk ® Information system ® Exposure ® Currency exposure.

    2. The selection screen for report RFTVEX00 appears.

  2. Select the financial transactions and underlying transactions to be analyzed. You can select any level down to single transactions.
  3. In selecting financial transactions, you can additionally select the marker Discount financial transactions in the data group Cash Management.

    4. By doing this, the NPVs of the financial transactions will be calculated to the horizon (instead of their balances merely being displayed).

  4. Choose a Horizon and the date for Valuation from.
  1. To stop posted transactions from being selected, mark the indicator Don’t include posted trans.
  2. Choose an Evaluation type.
  3. If need be, define a scenario.
  4. Set the increment for the output of the amount columns.

    5. The future value of the financial transactions is divided up into sub-periods according to the increment you set. The prorated future value is assigned to the subperiod from which the payments have come.

  5. Choose execute.

Result

Underlying and hedging transaction exposures are calculated. As a balance, total exposure is displayed to you as an open position in the planned currency.

Choose Forex exposure ® Term view to display the results in shorter time intervals.

Choose Goto ® Calculation basis to list the market or scenario data used in the valuation.