5.7 FX Limits

This topic describes the FX Limits defined for FX contracts.

The various Limits defined for FX contracts will be processed as follows:

• The risk tracking for the contract will be done only when the risk tracking options are checked at the contract level.
• During FX contract initiation, the system will create new utilization for weighted risk credit line with the Weighted risk amount of contract online.
• During FX contract amendment, if credit lines are changed then the system will nullify the utilization of old credit lines and reinstate the same on new credit line.
• During FX contract amendment, if limits tracking required option is disabled then utilization of the credit lines will be nullified.
• During FX liquidation the system will decrease the utilization of weighted risk credit line with the liquidated weighted risk amount of the contract online. The weighted risk amount during liquidation event will be calculated on liquidated bought amount using risk percent of contract online.
• During FX cancellation the system will decrease the utilization of weighted risk credit line with the canceled weighted risk amount of the contract online. The weighted risk amount during cancellation event will be calculated on canceled bought amount using risk percent of contract online.
• During Rollover event, the system will decrease the utilization of weighted risk credit line with the liquidated weighted risk amount for the old version. At the same time the system will increase the utilization of settlement credit line with the rollover bought amount. The system will recalculate the risk percent based on rollover bought value date and rollover bought amount. The system will recalculate the risk weighted amount based new risk percent.
• During revaluation event, the system will increase the utilization of pre-settlement credit line with revaluation gain. When loss is encountered, the utilization will be reduced to zero. The utilization of the credit line for the revaluation gain will be passed in LCY.
• During reversal of revaluation event, system will force decrease the utilization of pre-settlement credit line with revaluation gain.
• During contract deletion, the system will delete the utilizations of the credit line for the FX contract reference number. The utilization of the settlement risk credit line, pre-settlement risk credit line and weighted risk credit will be deleted.
• During contract reversal, the system will delete the utilizations of the credit line for the FX contract reference number. The utilization of the settlement risk credit line, pre-settlement risk credit line and weighted risk credit will be deleted.
• The available amount of non revolving lines will not be modified in case the utilization needs to be decreased during Liquidation/Cancellation events.