Hi,
We are strugling to incorporate all product types into a single counterparty limit in the Credit Risk Analyzer of SAP TRM. With regards to counterparty risk, SAP distinguishes both credit and settlement risk. When setting up limit types, you can only assign one of these risk categories to a determination procedure, which is assigned to your limit type.
FX spot transactions have only settlement risk and are therefore not incorporated in the limit types that are linked to credit risk. The majority of the transactions involve credit risk. Is there a way to incorporate FX spot transactions as well in a single counterparty limit for all product types?
Thank you for your help.
Regards,
Tim