Position Mangement Procedure--4001--FX 60A

Dear All,
I am trying to understand how the system is valuing the positions for a Fx Foreard Transactions.The Position Management Procedure is 4001.Step 1:Rate valuation 1000.Step2:Type 7-Swap Accrual Step 3:Type 8:Swap Valuation.
Can body Explain me the values for Swap Accrual and Swap Valuation.And the concept behind these two valuations.
The scenario and the Log from valuation run for 31.03.2010 is given below:
Scenario:Bye 1000 USD
         Sell 420000 INR 
Spot rate of transaction:39.00/Forward Rate:42.00 2--swap 1:Liquidity
Log for valuation run on 31.03.2010
Rate Valuation:
New bk value excl. costs in valn crcy    2,000.000
Write-up/down relat. to PC in VC         2,000.000
Spot Rate PC/VC in Market                 41.00000
Spot rt sales/valn crcy mkt               1.00000
Total Swap from Trans. in Foll. Curr.    3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency                        USD
Sale Currency                            INR
Leading Crcy in Purch./Sale Pair         USD
Foll. Crcy Purchase/Sale Crcy Pair       INR
Open Date                                11.02.2010
Close Date                               11.04.2010
Units                                    1.000000
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency     1,000.00
Sale Amount in Sale Currency             42,000.000
Amount in VC from Forward Rates          42,000.000
Swap Accrual:
New bk value excl. costs in valn crcy    444.444-
Old bk value excl. of costs in valn crcy 2,000.000
Margin/swap accrual in valuation crcy    2,444.444-
Total Swap from Trans. in Foll. Curr.    3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency                        USD
Sale Currency                            INR
Leading Crcy in Purch./Sale Pair         USD
Foll. Crcy Purchase/Sale Crcy Pair       INR
Open Date                                11.02.2010
Close Date                               11.04.2010
Units                                    1.000000
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency     1,000.00
Sale Amount in Sale Currency             42,000.000
Amount in VC from Forward Rates          42,000.000
Swap Valuation:
New bk value excl. costs in valn crcy    50.000
Old bk value excl. of costs in valn crcy 444.444-
Write-up/down swap valn in valn crcy     494.444
Swap Rate Purc/Sale Cur                  1.05000
Market Swap in Following Curr            1,050.000
Market Swap Price in Valuation Currency  1,050.000-
Total Swap from Trans. in Foll. Curr.    3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency                        USD
Sale Currency                            INR
Leading Crcy in Purch./Sale Pair         USD
Foll. Crcy Purchase/Sale Crcy Pair       INR
Open Date                                11.02.2010
Close Date                               11.04.2010
Units                                    1.000000
Margin/Swap Acc./Def. to Date in VC      2,444.444-
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency     1,000.00
Sale Amount in Sale Currency             42,000.000
Amount in VC from Forward Rates          42,000.000
SWAP Rate for USD to INR for rate M:
30 days 3.5
60 days 4.0
90 days 4.5
Exchange rate 31.03.2010---41.00
Thankng in advance.
Regards
Raju

Hi,
Swap Accrual will divide the swap amount (forward points amount) over the period of the FX forward transaction.
Swap Valuation posts the difference between "market swap" and "book swap" as gain/loss. Market swap is determined by multiplying the foreign currency amount to swap rate at key date (till value date) and then converted using spot rate at key date. Book swap is current book swap amount (i.e. original swap amount-swap accrual- swap valuation).
Manish

Similar Messages

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    Dear All,
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    Log from valuation run for 31.03.2010 is given below:
    Scenario:Bye 1000 USd
             Sell 420000 INR 
    Spot rate of transaction:39.00/Forward Rate:42.00
    New bk value excl. costs in valn crcy    2,000.000
    Write-up/down relat. to PC in VC         2,000.000
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    Sale Currency                            INR
    Leading Crcy in Purch./Sale Pair         USD
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    Open Date                                11.02.2010
    Close Date                               11.04.2010
    Units                                    1.000000
    Amount in Pur. Crcy Based on Spot Prices 1,000.00
    Amount in Sale Crcy Based on Spot Prices 39,000.000
    Amount in Val. Crcy Based on Spot Prices 39,000.000
    Purchase Amount in Purchase Currency     1,000.00
    Sale Amount in Sale Currency             42,000.000
    Amount in VC from Forward Rates          42,000.000
    Swap Accrual:
    New bk value excl. costs in valn crcy    444.444-
    Old bk value excl. of costs in valn crcy 2,000.000
    Margin/swap accrual in valuation crcy    2,444.444-
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    Total Margin/Swap from Transaction in VC 3,000.000-
    Purchase Currency                        USD
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    Leading Crcy in Purch./Sale Pair         USD
    Foll. Crcy Purchase/Sale Crcy Pair       INR
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    Close Date                               11.04.2010
    Units                                    1.000000
    Margin/Swap Acc./Def. to Date in VC      2,444.444-
    Amount in Pur. Crcy Based on Spot Prices 1,000.00
    Amount in Sale Crcy Based on Spot Prices 39,000.000
    Amount in Val. Crcy Based on Spot Prices 39,000.000
    Purchase Amount in Purchase Currency     1,000.00
    Sale Amount in Sale Currency             42,000.000
    Amount in VC from Forward Rates          42,000.000
    SWAP Rate for USD to INR for rate M:
    30 days 3.5
    60 days 4.0
    90 days 4.5
    Exchange rate 31.03.2010---41.00
    Regards
    Raju

    Dear All,
    Please help.
    Regards
    Raju

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  • FX Spot Valuation

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  • PMP 4000 calcualtes Spot/Spot and SWAP/SWAP Difference while

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    Edited by: Ravishankar Ramamurthy on Aug 3, 2009 10:09 AM

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