SAP ABAP Data Element SREVAC (Position mgmt acc.to amortized cost)
Hierarchy
☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ FIN-FSCM-TRM (Application Component) Treasury and Risk Management
     ⤷ FTVV (Package) TR - Objects from FVV in both Loans/Securities areas
Basic Data
Data Element SREVAC
Short Description Position mgmt acc.to amortized cost  
Data Type
Category of Dictionary Type D   Domain
Type of Object Referenced     No Information
Domain / Name of Reference Type SREVAC    
Data Type CHAR   Character String 
Length 2    
Decimal Places 0    
Output Length 2    
Value Table      
Further Characteristics
Search Help: Name    
Search Help: Parameters    
Parameter ID   
Default Component name    
Change document    
No Input History    
Basic direction is set to LTR    
No BIDI Filtering    
Field Label
  Length  Field Label  
Short 10 PosM.AC 
Medium 15 PosMgmtAC 
Long 20 Pos.Mgmt AC 
Heading 10 PosM.AC 
Supplementary Documentation - SREVAC 0000

Use

Using this field, you fix whether the positions of interest-bearing securities will be valued according to the linear amortized cost method or the scientific amortized cost method for the valuation class.

Procedure

The following entry options are available:

  • Space

Positions are valued according to the security prices and exchange rates as at the key date.

  • 01 Valuation according to linear amortized cost (LAC)

Affects the key date valuation.

The system uses the current NPV calculated according to LAC for the valuation rather than the current market value on the key date. The LAC calculation is based on a linear annual amortization rate, and the key date value is calculated assuming a repayment rate of 100%.

Formula:

NewBookPrice = OldBookPrice + (100 - OldBookPrice) / (Rem.term + 1)

where: Rem.term = The period between the key date of the valuation and the final maturity date in years (rounded to the nearest year).

Note: If the OldBookPrice is over 100%, the system checks if a termination date exists. If such a date exists, it is selected as the final maturity date.

  • 02 Valuation according to scientific amortized cost (SAC)

Note: The SAC method cannot be used across all securities accounts.

This indicator affects position management for interest-bearing securities. It influences the functions for period-end closing and accrual/deferral.

Period-end closing according to scientific amortized cost (SAC)

If you use the SAC method for period-end closing, the system recalculates and posts the records for price gains/losses for the individual sales.

For each sale, the position is first valued according to SAC and written according to the interest capitalization flows. The records for price gains/losses are then recalculated.

The basis for the calculation is the capitalization rate which results from the new NPV calculated for the term according to SAC.

The NPV is calculated by discounting the cash flow with an internal interest rate.

The internal interest rate is calculated according to AIBD using a Newton iteration and is based on the cash flow of the securities account position. The system reads the interest calculation method from the class data.

Accrual/deferral according to scientific amortized cost

If you have set this indicator, you need to perform accruals and deferrals via the 'Accrual/deferral -> Amortized cost' function.
In this case, the system calculates the NPV of the securities account position as at the key date. If the acquisition or book value is below par, the system creates an interest capitalization record, which results in a write-up to the calculated NPV. If the acquisition or book value is above par, there is a corresponding write-down.

  • 03 Valuation according to scientific amortized cost (SAC)

Affects the key date valuation.

The system uses the current NPV calculated according to SAC for the valuation rather than the current market value on the key date.
History
Last changed by/on SAP  20011120 
SAP Release Created in