Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-TM (Application Component) Transaction Manager⤷
FTR_GENERAL (Package) CFM TM: Application Basis / Global Objects
Basic Data
| Data Element | TPM_EFF_INTEREST_SAC |
| Short Description | Treatment of Effect. Interest Rate for Amort. Acc. to SAC |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | TPM_EFF_INTEREST_SAC | |
| Data Type | NUMC | Character string with only digits |
| Length | 1 | |
| Decimal Places | 0 | |
| Output Length | 1 | |
| 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 | Treat.EIR |
| Medium | 20 | Treatmt Eff.Int. SAC |
| Long | 40 | Treatment Effect.Int.Rate for SAC Amort. |
| Heading | 20 | Treatmt Eff.Int. SAC |
Documentation
Definition
This field controls how the effective interest rate is calculated to determine the amortized acquisition value. The basis for calculating the effective interest rate is a cash flow in which the amortized acquisition value of the last amortization (or the time of the last position change if no amortization has taken place; such as purchase) forms the start value. The future cash flow is formed on the basis of this from the conditions and/or redemption schedules.
Use
- Immediate adjustment of effective interest rate (standard)
- With this setting, the effective interest rate is determined on the basis of the cash flow valid at the time of the amortization (this means on the basis of the conditions valid at the time of the amortization). To determine the new amortized acquisition value, this cash flow is then discounted with the effective interest rate determined at the time of the amortization. This procedure is valid for all securities products with the end of term.
- Deferred adjustment of effective interest rate
- This setting is only permitted for positions of the product category 042 "Securities with Installment Repayment" which have assigned a position management procedure with position management category "Securities/Loans with Installment Repayment (Without Index-Linked Bonds)".
- This means that during an amortization to calculate the effective interest rate and determine the amortized acquisition value, the cash flow is used that was calculated on the basis of the redemption schedule valid at the time of the last amortization (or at the time of the last position change if no amortization has taken place). Note that a history of changes to interest rate conditions is not kept and, therefore, the current interest rate conditions are always used to calculate the cash flow.
- Constant effective interest rate
- This setting is only permitted for positions of the product category 042 "Securities with Installment Repayment" which have assigned a position management procedure with position management category "Securities/Loans with Installment Repayment (Without Index-Linked Bonds)".
- The effective interest rate is determined as in the procedure "deferred adjustment of effective interest rate" from the cash flow valid at the time of the last amortization (or at the time of the last position change if no amortization has taken place). Therefore, the cash flow valid at the time of the current amortization is discounted at this time. The cash flow valid at the time of the last amortization is also discounted at this time. If the redemption schedule has changed between the two amortization times, there is a difference between the amortized acquisition value determined on the basis of the cash flow value valid at the last amortization time and the amortized acquisition value determined on the basis of the cash flow value valid at the current amortization. A separate profit-related flow is written about this difference, which increases or decreases the amortized acquisition value and thus balances the effective interest change caused by the redemption schedule change. Also note that a history of changes to interest rate conditions is not kept and, therefore, the current interest rate conditions are always used to calculate the cash flow.
Dependencies
Example
Cash flow A valid as of 01.01.x1:
01.01.x1 Purchase UNI 100 nominal at 80%
01.01.x2 Repayment UNI 50 at 100%
01.01.x3 Repayment UNI 50 at 100%
This results in an effective interest rate of 16.26% (rounded)
Cash flow B valid as of 01.01.x1:
01.01.x1 Purchase UNI 100 nominal at 80%
01.01.x2 Repayment UNI 70 at 100%
01.01.x3 Repayment UNI 30 at 100%
This results in an effective interest rate of 19.01% (rounded)
Calculation of Amortization on Key Date 01.07.x1
Method 1: Immediate adjustment of effective interest rate (standard)
Cash flow B is valid on amortization key date.07.x1, this means that the effective interest rate is calculated using this cash flow (19.01%). Therefore, the cash flow is discounted on the amortization key date:
70 * (1+ 0.1901)^-0.5 + 30 * (1+0.1901)^-1.5 = UNI 87.27
The new amortized acquisition value is UNI 87.27. UNI 7.27 is written up.
Method 2: Deferred adjustment of effective interest rate
The effective interest rate is calculated using the cash flow valid at the time of the last amortization. Since in this example no amortization has taken place, the cash flow from the time of the last position change is relevant, therefore for purchase on 01.01.x1. This cash flow is discounted at the amortization key date (01.07.x1) with the effective interest resulting from this (16.26%):
50 * (1+ 0.1626)^-0.5 + 50 * (1+0.1626)^-1.5 = UNI 86.26
The new amortized acquisition value is UNI 86.26. UNI 6.26 is written up.
Method 3: Constant effective interest rate
The effective interest rate is calculated according to the method "deferred adjustment of effective interest rate" using the cash flow valid at the time of the last amortization (16.26%) The cash flow valid at the time of the last amortization and the cash flow valid at the current amortization time is discounted with this effective interest rate:
Discount cash flow A:
50 * (1+ 0.1626)^-0.5 + 50 * (1+0.1626)^-1.5 = UNI 86.26
Discount cash flow B:
70 * (1+ 0.1626)^-0.5 + 30 * (1+0.1626)^-1.5 = UNI 88.85
A separate flow is generated for the difference, which represents the amortization gain due to the cash flow change since the last amortization. Thus the amortized acquisition value is:
Purchase value UNI 80
+ Amortization UNI 6.26
+ Amortization profit UNI 2.59
--------------------------------------------------------------
= amort. acquisition value UNI 88.85
===================================
During the next amortization, the effective interest rate is calculated using the cash flow:
01.07.x1 Amort. acquisition value UNI 88.85
01.01.x2 Repayment UNI 70 at 100%
01.01.x3 Repayment UNI 30 at 100%
This results in an effective interest rate of 16.26%, this means the effective interest rate remains constant despite the cash flow change.
History
| Last changed by/on | SAP | 20041209 |
| SAP Release Created in | 600 |
