Example of hedge accounting for interest rate risk

Hello
Can anyoe give an example of hedge accounting for interest rate risk with values using a variable interest rate bond and a interest rate swap where a prospective and retrospective effectiveness test would be positive?
Thanks,
Arjan

not precisely - the respective flow is still in status 'S' @ TPM13, so in this sense it looks consistent. what is though strange that if you look into the tab 'Cash flow' in the Posting view, you can see a status 'Interest rate not adjusted for flow', though there is interest adjustment executed as per the screenshot attached.
/Renatas

Similar Messages

Accrual for Interest rate SWAP

i want to know how acrual for Interest rate SWAP works from account assignment point of view
i would really apprecaite if any1 can give me information or docuents for setting interest rate swap accrul

Hi,
In the case of interest rate swap, we have to post the accrual/deferral in TBB4. Here from account assignment point of view, we have to assign the condition type to the product type and the transaction type. For this condition type we have to assign the flow types.
As far as the account assignment goes, just like normal accrual, we have to post Cr Interest payable account and Cr Interest paid account. In the case of int rate swap, unlike currency swap, only the interest amounts would be posted and the nominal amount will not be posted to FI.
If you have further doubts please ask me.
Regards
Ravi

Error in posting contract for interest rate futures with product type 70B

Hi All,
I am getting the below error while creating contract(FTR_CREATE) for interest rate futures with product type 70B.
Processing leads to inconsistent positions for 11.02.2014 CoCd:LT01 ValArea:001 ValCls:0001 IDNo:IRF021 Fut.Act:CITI001
Message no. TPM_TRL063
Diagnosis
An error exists in the derived flows. Further processing would lead to inconsistent positions for 11.02.2014 .
CoCd:LT01 ValArea:001 ValCls:0001 IDNo:IRF021 Fut.Act:CITI001
System Response
Processing was terminated.
Kindly Suggest.
Regards,
Anish

Thank u for ur response.Now it is solved when OB40 and OBCN maintained.Here I am facing a new problem.pl. provide the solution.we configured twoseperate pricing procedures for our product and scrap material.We have configured same condition types for VAT(ie.condition type:ZVAT) and CST(cond type:ZCST), in both pricing procedures. Now We want to maintain seperate condition types for VAT and CST for pricing procedure for Product material and Scrap material. I have created two new condition types for scrap sales ZSCT- cst for scrap and ZSVT-vat for scrap by copying the same from existing conditions ZCST & ZVAT, and the same is included in the scrap pricing procedure. And also maintained OB40,OBCN,OVK1,OVK3,OVK4, FTXP,FV11 and VK11.
now I am facing the following problems.
1. while creating the Material master & customer master, in tax category sub screen all conditions i.e. conditions defined for product material( ZCST,ZVAT) and defined for scrap material (ZSCT, ZSVT) displaying and these are compulsory fields.
2. While creating the sale order for scrap material, system is considering the TAX classes from ZVAT/ ZCST (defined for product material) and taking the condition value from the condition type ZSVT/ ZSCT with the TAX class values of ZVAT/ZCST.
Now I would like to know is there any procedure to assign the Material type and Customer group to Tax category.
Thanks & Regards
sam

Deposit at notice- Accounting for Interest upon return of the deposit

Hi
The company has given Deposit at notice 52A 100 and after 6 months it got it back. How the system will calculate the interest and accounted for in the TM system.
Again refering the above, I have given the Deposit at notice 52A of 1million which is still outstanding as on 09/30/2009. I am running the accrual report using tcode TBB4. I dont see any accrual posting being generated for this transaction. I dont think this is normal. Is there any configuration which needs to be done for this?
Also what is the business process for bonus shares in TM.
Any inputs?
Regards
Sivakumar Gopalakrishnan
Edited by: Sivakumar Gopalakrishnan on Aug 20, 2009 2:08 PM

Hi,
I havent worked in deposits at notice. But as far as my understanding goes, The number of half years you have mentioned in your transaction type is the period upto which only cash flows will be generated automatically. if you have interest flow in seen in your cash flow then you can generate accrual.
For that go to your interest flow type and check the Rel for acc/def check box. Then under TM -- general settings -- accounting -- accrual/deferral -- money market
Here for your flow type, define the accrual procedure and define the accrual flow types and the correspoding reset flow types.
Bonus shares are accounted as corporate actions.
Regards,
Ravi

Automatic posting accounts for exchange rate difference.

Guys,
My clients wants to write a check in GBP pound sterling, and for that I set up house bank for GBP and did all the other configuration steps in FBZP.We successfully printed out the check thru F110.Now when we try to mark the check as "encashed" thru FCHR,The log says 1 check selected and marked as encashed but no posting docunments get generated as system shows an errored out session,I looked into SM35,the job log says" exchange rate difference accounts are incomplete for acount 161511 currency GBP".System takes me to OB09 which is account determination for Ol Exch.rate differences.Should I update a/c 161511 here? Please note account 161511 is not a foreign currrency account.Its main cash bank account(US$ account) which I set up in House bank FI12.So in OB09 I dont see that account 161511.Wht should I do ?System also takes me to OBA1-maintain FI configuration Automatic posting. DO I need to do something in here too ? Please advice.Thanks
Regards
Iqtidar

In OBA1 > Exchange Rate Dif.: Open Items/GL Acct
Check the example below.
Chart of Accounts     xxxx
G/L Account          < GBP A/C from which you are paying >
Ex Rate Realized
Loss                 P&L - Ex Loss Realized A/c < 830301>
Gain                  P&L - Ex Gain A/c Realized <720201>
Valuation
Val.loss 1          P&L - Ex Loss Unrealized A/c < 830302>
Val.gain 1           P&L - Ex Gain A/c Unrealized <720202>
Bal.sheet adj.1     For. Currecy Reserve < 520501>
Translation (similar to valuation)
Loss                 830302
Bal.sheet adj.loss   520501
Gain                 720202
Bal.sheet adj.gain   520501
Is this what you were after? The logic behind different GL postings should be able to explained by a person with an accounting background. Do let me know if you have any specific questions.
Nadini

Automatic posting accounts for exchange rate difference- OB09

Hi Nadini,
I did the assignment of accounts in OB09 as per yur example and I was able to post the document. But I see in realised FX losses systems didnt' put any FX difference amount but just carried out with zero balance.Is that a matter of concern or its normal.
1 50 161500 Main Account           3,996.00- GBP
2 40 161511 Dallas Check Acct    3,996.00 GBP
3 40 650040 Realised FX Losses 0.00        GBP 2100 5110000
4 50 700020 Realised FX Gains    0.00        GBP 2100 5110000
2100,5110000 are profit center and cost cneter assigned with these accounts.Could you please let me know why system didn't put any foreign exchange difference in accounts( Realised FX losses and Gains).Thanks
Regards
Iqtidar

Hi Iqtidar
There will be no FX Gain or Loss in GBP as this is the currency of the bank a/c. Fx Gain/Loss will be in USD. Hance if you go to a display document screen (FB03) for this partciular document and click on "Display currency" in order to view company code (local currency) you should be able to view the Fx Gain/Loss.
Rgds
Nadini

Reference Interest rate

Hi Friends,
1. When I change a reference interest rate using OT25, it creates a transport request. Is there a way to just update the reference interest rates like we do any master data? I mean users should be able to update this without creating a transport.
2. Secondly if there is no change in the Reference rate, we have to still enter the old rate with a new date, otherwise TJ05 gives an error messge saying there is no rate for that date. For example, I have a reference rate which changes daily. So in the conidition type for 'Interest rate adjustment', I have set it up tochange 'daily'. But actually the rate may not change for 3/4 days. In such case, I want TJ05 to pick the last available interest rate. How do I do this?
I appreciate your help.
Kalyan.

Hi
To my knowledge it will create the Transport Number.
I am not aware without transport numbers.
Regards
Odaiah Pelley

Automatic Interest Rate Fixing - TJ05

Hi,
I have table T056P populated with a rate and an 'effective-from date' for a reference interest rate. Therefore, when I run TJ05 to fix the reference interest rates, it is not taking the 'effective-from date' into consideration. It will only do the fixing if a rate exists for the exact date.
e.g.
T056P is popualated with the following:
Reference: 1DUKBAS
Effective-from date: 01.07.2009
Rate: 0.5
If I run TJ05 for a deal which needs a interest fixing on the 02.07.2009 - it gives the error: "02.07.2009 1DUKBAS: No interest rate exists (TRIA014)."
I thought it would fix with the rate from the 01.07.2009 as this rate is 'effective from' the 01.07.2009 - but it is not.
Any ideas would be much appreciated.
Regards,
P

Hi,
Take the case of OTC derivatives. You fix your reference interest rate based on your interest frequency. In the case of swap, suppose your interest frequency is 3 months then you generally go for Libor 3m though it is not a necessity. You can go for Libor 1m and have interest frequency as 3 months, but in practise, we go for the reference rate based on the interest frequency.
And based on the frequency, we go for fixing and adjusting the interest rate. If it is 3 months, then we go for interest rate adjustment every 3 months. Then we fix the rate for the reference interest rate on that date (the calender rule applies here) and go for automatic interest rate adjustment. It will adjust all the transactions having this reference interest rate and due on that day.
Another way is to go for manual interest rate adjustment, if you want to fix only for a single transaction. Then you specify the interest rate which is specific for that transaction alone.
Regards,
Ravi

No Variable Interest Rate ot in new product copied from 55A

Hello
I have created new product typep by copying the product type 55A. While all the config seems to be coeect and the product type is also posting all the entries correctly, the product type does not show the variable interest rate option in the drop down when creating the in TM_51.
The condition type for interest is a copy of 1200 condition type so should not be a problem.
Please advise how to resolve this.
Best Compliments
S
Edited by: sapcounts on Dec 19, 2011 1:00 PM
I was missing condition type 1120

Hi ,
In addition to the condition type 1200 (Nominal interest ) it is necesary to copy the condition type 1210 for interest rate adjustment , then it will display the interst rate adjustment in the structure tab of the Interest rate instrument .

Average interest rate yield curve for bank overdraft account

Is it possible to:
u2022     Define a yield curve for (monthly) average interest rate based on an reference interest rate that is entered daily.
u2022     in a function module read the value for this average interest rate that is in table JBD11
u2022     in the interest indicator customizing transaction OBAA assign the above function module
u2022     In the bank GL account assign the above interest indicator

Hi,
Interesting derivation though I haven't worked on this directly, technically this should work. But just a quick question, if you want the monthly average rate of the reference rate values entered for 30 days, you mean to say it is an average of all the values for the month? If that is the case, you need not define the yield curve at all.
You can estimate the par rate for a future date or a future period and find the discount factor for those days which can be used to determine the net present values of a future flow using the yield curve as the base.
But for your case, if it is just the average,   pick the reference interest rate values and find the average in your function module itself. I dont see a need to use the yield curve.
Regards,
Ravi

Bapi for Create Interest Rate Instrument Trans. TM_51

Hi guys,
I need to make a copy of an interest rate instrument, so far i can obtain the information with the bapis FTR_IRATE_DB_SELECT and BAPI_FTR_IRATE_GETDETAIL. Bu t i haven't found any bapi that can create a new interest rate instrument with all the information that already exist in the original (only a few field are going to be changed).
The only bapi that i found already is BAPI_FTR_IRATE_CREATE, but it doesn't contain the all the structures needed like the conditions detail (interest, final repayment and conditions) for example.
Maybe this could be resolved with a batch input...
Any suggestion?.
Regards,
Eric

Hi guys,
someday's ago i resolved the problem but I forgot to close this post. The solution to the problem was resolved with the following bapis:
BAPI_FTR_IRATE_CREATE
BAPI_FTR_CONDITION_GETLIST
BAPI_FTR_CONDITION_CREATE
BAPI_FTR_ADDFLOW_GETLIST
BAPI_FTR_ADDFLOW_CREATE
BAPI_FTR_PAYDET_GETLIST
BAPI_FTR_PAYDET_CREATE
Regards,
Eric

How to Change Interest Rates for a loan with different disbursement?

Hi,
My user has a loan with Commitment capital of 35,000SGD with 1.3% interest Rate
On his first disbursement he allocation only 25,000 since interest rate is at Loan contract level 1.3% interest rate is use as well.
On his 2nd disbursement (for the remaining 10,000) he want to change interest rate from 1.3% to 1.5% which is not feasible, I think.
My advise:
1. Create a new contract with a capital amount of 10,000 and interest rate of 1.5%.
2. Reverse the disbursement for the original contract in order to change its commitment capital amount from 35,000 to 25,000 only.
The problem:
Upon reversal of the disbursement we got an error - "Account determination for paid disbursement not possible cotract 100701".
Can anybody know what should be the correct way to adjust the interest rate?
Or how can we get rid the error message to continue my proposal?
Thanks a lot.

Hi,
I assume you are using TCode - FNM3 for reversing the paid disbursement. Please check the Account Determination for Reversal posting keys/account symbols in SPROLoans MgtAcct Determination.
Regards
Prasad AV

Relation Between Interest and Risk Categories for Customers

Hi
Can somebody tell me if there is a relationship between interest rates and risk categories. We have not implemented neither treasury nor Hedging.
Would like to link the interest as per the risk categories. As the risk changes, interest should also vary.
Can this be achieved
Prasad

Hi Prasad,
It is all AR functionality: Dunning/Interest Calculation/Credit Management/Risk Categories; I think it is doable to adjust interest on late payments based on customer risk category; but I doubt you will get detailed answer on this forum. FICO forum may be better.
Manish

BAPI for Create Interest Rate Instrument: BAPI_FTR_IRATE_CREATE

Hi guys,
I have problem about Create Interest Rate Instrument.
First I created program bdc and recording Tcode: TM_51 and I found problem that I can't record tab memo.Because real world meno can dynamic by Tcode: TBCN
I change method for Create Interest Rate Instrument by bapi:BAPI_FTR_IRATE_CREATE and this method user 2 structure :
BAPI_FTR_CREATE_IRATE and BAPI_FTR_CREATE
I can't found structure for fill memo description.
How can I create Interest Rate Instrument with memo?
Best regards

Hi Chutima,
I'm facing a similar problem, how did you resolved it?.
Regards,
Eric

Monthly TPM1 without reset for FX forward in Hedge Accounting

Hi,
I would like a clarification on the "standard" way of resetting the valuated position of an FX forward (using Hedge Accounting position management procedure) when using TPM1 and the "mid-year valuation without reset" option.
When executing TPM1, the typical postings for an FX forward consist in:
- debiting or crediting the G/L balance sheet account representing the FX deals position
- against the OCI interim account
- then to further classify the OCI interim account to OCI and P&L
When reaching the deal maturity, balances exist consequently on following accounts:
- B/S account for FX deals position
- OCI (unrealized)
- unrealized P&L
When posting TBB1, a new B/S acount (FX flows reconciliation) is debited and credited with the incoming and outgoing flows of the FX.
When posting TPM18 subsequently, following postings are done:
--> REVERSAL OF UNREALIZED:
- OCI (unrealized) is reversed (in custo, the position management procedure mentions that 'With Reset' of classification flows must be used when realizing the deal)
- P&L (unrealized) is reversed
--> POSTING OF REALIZED
- The FX reconciliation account (the one posted with TBB1) is posted with the realized gain or loss
- against the OCI interim account
- the the OCI interim is further classified to OCI and realized P&L
At the end of the HR, the OCI (realized) is reclassified to realized P&L if needed (THM10).
As you understand, the B/S account representing the FX deals position that was initially posted with TPM1has never been reversed while the deal has been realized and the position should be closed. In fact that's the only account that remains open (has a balance) at the end. Why is it so? How is it supposed to be offset when using the 'no reset' procedure of TPM1.
In table TRLV_TRANS_POS for the deal, I see that everything has status posted except 2 records: flow types OTC001 and OTC002. These remain in status scheduled. Is the issue related to that?
By the way, we investigate the 'no reset' procedure because the 'with reset' option prevents TPM18 from working afterwards. I saw an OSS note for this but it is huge and we would like to avoid implementing it.
Thanks for advices.
Regards,
Christophe.

Hi Christophe,
I left the thread open for some possible hints from others, but I believe your question was answered by Rudolf through the SAP Support message. Here his summary again:
the valuation togehther with classification works in two possible ways:
1. valuation without reset + reset of the unrealized OCI and P/L
at the maturity of the deal the valuation is reset with the derived business transaction. the derived business transactions can distinguish between asset and liability accounts. It has to be setup in the position management procedure. The classification reset the unrealized OCI an P/L and posts new relalized classification.
2. valuation with reset + reset of the unrealized OCI and P/L
in this case every valaution is reset (usually on the next date) and the corresponding classification is reset as well. At the maturity no reset of the valuation is necessary and same is valid for unrealized OCI + P/L.
We do not support scenario where valuation with reset is used but the corresponding classfication is not reset together with the valuation.
BR, Tomislav

Example of hedge accounting for interest rate risk

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