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Settlement Risk for Currency Options (New) ( RELNBANKCFM_RA_200_DOVR )

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Short text

Settlement Risk for Currency Options (New)

Use

From SAP R/3 Enterprise Financial Services 2.00 (EA-FINSERV 200), you can calculate the settlement risk for currency options.

To calculate the settlement risk, the system needs the following data:

• Determination procedure

• Default risk rule with settlement risk

• Variable assignment ID set to NPV or nominal amount

For currency options, settlement risks are shown as the same amount as the return payment amount of the underlying. If the variable assignment ID is set to NPV, the settlement risk is delta-weighted.

Effects on Existing Data

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

You define the time period in which settlement risk exists for each currency. You do so in Customizing under SAP Banking → SEM → Risk Analysis → Default Risk and Limit System → Basic Settings → Definitions → Shift Validity Date for Settlement Risk of Currency Options.

Further Information

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