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Former Member
May 11, 2010 at 09:04 AM

Hedging with FX Range (Optional) Forward Contract w/ Rollover at Spot Rate

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Dear Gurus

Can anyone advise the workaround for the followng scenario ?

(1) FX Range (Optional) Forward Contract

How to handle a FX Range ( Optional ) Forward Contract in SAP TRM ? In standard SAP TRM, it is not possible

to assign multiple derivatives for the same exposure in Hedge Management.

(2) FX Range (Optional) Forward Contract with Rollover at Spot Rate

A continuation of the above scenario. Rollover of the FX Range ( Optional ) Forward Contract is needed,

however, at Spot Rate. Handling of settlement and impact on cashflow forecast is needed, and linkage of

original FX contract and rollovered FX contract so that cummulative swap points can be tracked and

previous contracted rate can be identified.