Split Valuations of Spots and Swaps 

Use

You usually use Realtime Datafeed for valuation in the forex area. This provides the valuation rates you require. You can carry out the valuation run for transactions that can be flexibly selected. You calculate realized gains and losses according to the principle of single valuation of transactions.

To determine gains and losses you can choose between two procedures: You can either take the difference between the forward rate upon contract conclusion and the rate posted on the value date to arrive at the valuation rate. Alternatively, by making the relevant settings, you can generate split spot and swap valuations (see points 4 and 5 for foreign currency rate determination in the section on Valuation) from the amounts that result from splitting the spot or swap points.

This allows you to first calculate the gains or losses on the basis of the difference between the spot rate on the day the transaction is concluded and the spot rate on the key date of the valuation. From the part of the swap that has been accrued/deferred, the system generates swap revenues/expenses up to the key date. The system also performs a valuation of the remaining items and generates unrealized gains and losses for the accrued/deferred part of the swap from the key date until the end of term.

Foreign currency valuations for currency swaps are carried out on the basis of the single transactions generated. In the case of forward exchange transactions, you can also perform a split valuation according to spot and swap transactions provided that you have made the required settings.