Calculating Interest Rate Exposure 

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

    2. The selection screen for report RFTVZX00 appears.

  2. Select the financial transactions to be analyzed. You can select any level down to single transactions.
  3. Choose a Horizon and the date for Valuation from.
  1. Choose an Evaluation type.
  2. Choose the number of basis points by which the yield curve should be shifted.
  3. In the field Shift linear/Effective at horizon, choose when the yield curve shift should take effect.

    4. This data is relevant if the dates entered for Evaluation per and Horizon are not identical.

  4. Choose the Display type of the interest exposure. You can choose among the following possibilities:
  1. Choose a currency.
  2. Choose the Date from and the Date upto.
  3. Set the increment for the output of the amount columns.

    4. 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.

  4. If need be, define a scenario.
  5. Choose execute.

Result

Interest exposure is calculated and displayed according to chosen display type.

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.