As per D365 F & O help guide there is a setup for VAT exchange rates in the system.
Enable the calculation of VAT exchange rates by turning on theBank exchange rateparameter, and by defining sales tax receivable and sales tax payable exchange rate types, atGeneral ledger>Ledger setup>General ledger parameters.
Please let me know where is the same setup in the system.
This VAT calculation that's available for the Czech Republic, Hungary, and Poland country only. Do you have legal entity country one of them?
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