Fund Data Converter
Open the converter
OFPH000275 – Holding Market Exposure in Holding Currency
The market exposure amount of the position, different from market value for derivatives, in OFPH000400 Holding Currency.
This field used for FX exposures, equity exposures, credit and interest rates; using the following rules: *exposure on derivatives are deriving from equivalent exposure on simple underlying instruments without considering type of risk to be evaluated *both Put and CDS should have negative exposures and positive quantities or nominal amounts for long positions, with positive exposure for short positions *residual maturity should be handled by information system that will do SCR calculations and produce QRTs * exposure on cash or equivalent should be equal to the valuation ( exposure for interest rate risks should be obtained by multiplying the amount by the modified duration (field 90) and for credit risk by credit sensitivity (field 91) * exposure for options or convertible bond instruments should be used by multiplying the exposure by the delta for the relevant risk category.
// The correspondent field introduced by FinDatEx with their Solvency II Tripartite Template (TPT) is: TPT: 27_Market_exposure_amount_in_quotation_currency_(A).//
| Property | Value |
|---|---|
| OF-ID | OFPH000275 |
| Name | Holding Market Exposure in Holding Currency |
| Area | Portfolio holdings |
| Level | Holding |
| Format | Decimal number |
| Tags | Portfolio Holdings |
| Introduced in | openfunds 1.29 |
| FinDatEx TPT field | 27_Market_exposure_amount_in_quotation_currency_ |
Values
Decimal figure.
FundsXML 4 mapping
The holding value becomes TPT field 27 and is written like a TPT position: Fund/…/Portfolio/Positions/Position and AssetMasterData/Asset (see the TPT field pages).
The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.
← OFPH000270 · All openfunds fields · OFPH000280 →