Saving OTC NPVs 

Use

You can use this function to save present values for money market, forex and derivative transactions in the OTC NPV table.

When you run a key date valuation in the money market and forex areas of Treasury Management, you can also select derivatives transactions (at present, only options are supported) and specify an NPV type. The NPV type allows you to access the NPVs stored in Market Risk Management.

These NPVs are used when you write up/write down or create provisions for the premiums that have been capitalized (long positions) or entered on the liabilities side (short positions) according to the defined valuation rules. When you run a new valuation, the system resets the valuation flows for a previous key date valuation run.

Prerequisites

In Customizing for Market Risk Management, you must have defined a price/NPV type for OTC transactions (Rate and Price Tables ® Define Price/NPV Type for OTC Transactions).

If you want to calculate NPVs with different evaluation types, we recommend that you define different price/NPV types.

Procedure

  1. Choose Accounting ® Treasury ® Market Risk ® Tools ® Storage ® OTC NPVs.

    2. The RiskM: Store from mark-to-market evaluation finance transactions selection screen appears (report program RFTVBW50).

  2. Select the financial transactions.
  3. In the data group Program control, choose the evaluation per date, the display currency, and the evaluation type.
  4. In the data group output control, you can specify a variant, an NPV type, and whether a Test run should be carried out.
  5. Choose Execute.

Result

The system calculates the OTC net present values and saves them to the OTC NPV table.