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Accrued Interest

hein_nagel
Participant
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Hi

I am trying to accrue interest on Repos (73A), I am executing transaction TBB4 for accrued interest and i get error " No permissible calculation period indicated in the flow Message no. T2102" it seems its pulling flow types 1001 and 1002 instead of 1011 and 2011 On spro TM-ACCOUNTING-ACCRUAL/DEFERRAL-OTC DERIVATIVES system does not not allow me to delete or create new flow types for accruals, MM and Securities its working fine. Any ideas ????

Victor

Accepted Solutions (1)

Accepted Solutions (1)

Former Member
0 Kudos

Hi Victor,

Firstly, For Repo Interest Accrual using tbb4/ TPM44 (new releases), you are expecting accrual of income/expenditure on the repo transaction?

If so, the assignment in mentioned SPRO is incorrect becase flow type 1011 & 2011 is a position related accured interest flow type and not revenue based. You can use TBB4 only for accruing a revenure flow type (For eg SAM5000 in case of securities, MM1200+ for Money Market)

As per my understanding for repo TBB4 should accrue the Gain/Loss derived on a repo deal which actually a revenue flow. please confirm your thought on this.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prasad

I agree those flows are positions flows, coz i currently it picks up 1001 and 1002 which are valso position flows, since the repos have bonds as the underlying, i would imagine the accrued interest will be based on sam 5000, my problem is that when i go to spro- TM-ACCOUNTING-ACCRUAL/DEFERRALOTC DERIVATIVE, i cannot add another flow type 5000 or delete the position flow types there, currently i am trying to add product category 730 for repos under securitiesAssign Update Types for Accrual/Deferral (Securities), wonder whether it will work.

Victor

Former Member
0 Kudos

Hi,

Can you specify which repo category you are using. With collateral or Without Collateral transfer?

You may get the accrued interest for SAM5000 directly from original position itself if you are using Category - Repo without Collateral Transfer as the position is not getting physically transferred with this method.

Not to set any accrual settings for Repo items if above function is in line with your reqmt.

IF you are using category - WIth Collateral, the position will be added to Security ID which you can see in TPM43, and accordingly TPM44 will calculate accured interest on the total position (Actual Positon + Repo Position). Therefore not to maintain any settings with Product Category - 730. It will be available alongwith Product Category - 040 itself.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prasad

We are using 73A WITH COLLATERAL, does that mean we need to use TPM44 as opposed to TBB4.

Victor

Former Member
0 Kudos

Hi,

Exactly, TBB4 calculates accrual for MM/OTC Derivatives whereas the position of a repo lending falls under securities position with repo category - WIth Collateral Transfer, therefore you need to run tpm44 with the selection of ID number and Securities Acct. This is similar to the normal security interest accrual.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prasad

Thank you for your response when i execute tpm44 i get an error No account assignment reference was found

Message no. TPM_TRAC1122

Diagnosis

The action you executed generates or changes flows that are assigned to a position without an account assignment reference. This refers to the position defined by the following criteria.

AC=1000;CC=1000;PT=04X;SA=F-STIV;SE=HWAY20-TEST;VA

Because the Repo is done on Sec ID HWAY20-TEST which is a 04X, It seems it treats HWAY20-TEST AND Sec Account F-STIV as a separate position, yet the main position is 73A booked on Sec account F-STIV and for this main position it pulls correct AAR and get posted. do i need to define another AAR for position 04X / HWAY20-TEST sec account F-STIV.

2.My second challenge is that for this position Sec ID HWAY20-TEST is an issued bond and when booked on 73A Transaction type 100, its like we are buying our own bond and it seats as an in our books and this makes NPVs on 04X positive yet NPVs on issued bonds should be negative, this is because 04X (SEC ID HWAY20 TEST) is a liability but sec account F-STIV (used on the Repo) is any AKT for assets, the repo transaction is actually an asset, but underlying bond is a liability, i assume this creates problems on risk management, any thoughts on this.

Regards

Victor

Former Member
0 Kudos

Hi,

New AAR derivation is reqd if the existing keys are different from key fields used for Repo Position.

Secondly, when you deal a repo - purchase against a issued bonds (04X), 2 position will be available with same ID, Actual position in negative & repo position in positive. When you run NPVs, you can get net of both positive & negative positions which will be correct according to your expectation.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prasad

This means that when i create a repo transaction 73A, TT 100 ID HYWAY20 (04X) and Sec account F-STIV which is a AKT (ASSET SEC ACCOUNT), My first position will be a repo transaction which obviously an asset in my books (POSITIVE NPV's) and second position it will be purchase of HWAY20 bond which is 04X (note that i have issued this bond in the market so buying my own bond doesn't create problems, as this second position is based on an asset sec account but we using for 04x bond. In terms of my AAR, my derivation is based on product type and sec account, am i correct to say i need AAR derived by in this case 04X and sec account F-STIV , will this work as 04X is a liability and in this case F-STIV is for an asset.

Victor

Former Member
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Hi,

Since the AAR is based on Security Account, assign AAR for the new Security Account as well so that it can post the accural while executing TPM44 with new Security Account.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prased

I have created the AAR, and accrued interest is working fine, i had the other question though,

My first position will be a repo transaction which obviously an asset in my books (POSITIVE NPV's) and second position it will be purchase of HWAY20 bond which is 04X (note that i have issued this bond in the market so buying my own bond-is this normal practice having repo on own issued bonds., to me it ends up creating a positive NPV for issued bonds yet these should always have negative NPV's because now i have my own bond as an asset, and its 04X which is meant to be passive but on a repo its based on a AKT SEC ACCOUNT,any ideas this is correct,

Victor

Former Member
0 Kudos

Hi,

For better clarify & understanding let me put your problem with an example:

1. Your issued position with 04X, with Liability Position in TPM12 = -1,00,000.00, for this you are getting a negative NPV..

2. Position with Repo Purchase with 73A with Asset Position in TPM12 = 10,000.00 for this while running NPV you may get an positive NPV.

3. You have a purchase of Issued bonds - 04X with Asset Position in TPM12 = 10,000.00 for this NPV will be positive again.

From above scienario, your net liability position in TPM12 is -80,000.00 (Sum of all 3 positions) with minimum 2 security account (1 for asset and another for liability position as system demands).

While running JBRX, you will get 2 NPVs, namely one for Liability Posiiton and another for Asset position, if you take the net of both the NPV shall match with the net Position you have against -80,000.00.

Hope this clarification clears your problem.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prasad

Thank you so much, great clarification, in terms of transaction 3 which is as a result of the repos transaction, from your experience with other clients is it normal practice to repo an 04X bond, (own bond), this means if there is a coupon falling on the time we are holding the bond you basically pay yourself a coupon, is sap designed for this.

Victor

Edited by: Hein Nagel on May 24, 2010 10:36 AM

Former Member
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Hi,

In that scienario, again you have to look into the net effect of Nominal Interest flows for Issued position & asset position. Ultimately, the impact of Interest flows will balance the positions. Means system will generate 1 flows for Issue:Nominal Interest which is a payable against the total liability holding, another Nominal Interest flow receivable against the asset holding position (cumilative if single security account is maintained for both repo & purchase).

You can make a net payment of both debit & credit interest flows posted to Issuer (Customer) account while making payment if managed through subledger payment else, will get posted directly to Bank GL.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prasad

My question is that is it a normal good practice to do repos on your own bonds (04X), are other clients doing it as well. thanks

Victor

Former Member
0 Kudos

Hi,

Its upto your customer's profile, if your customer falls in the category where these kind of tradings are permitted by central bank, definitely it is possible.

Regards

Prasad AV

hein_nagel
Participant
0 Kudos

Hi Prasad

SAPs answer goes back to the same question regarding market making SANRAL bonds. SANRAL bonds are issued and redeemed in regular 04X trades; which will always be against a security account which is a PAS (liability). The problem comes down to when SANRAL bonds are repoed into a security account which is of type AKT (asset), e.g.: F-STIV.

SAP allows this transaction to be created but on the financial object side when NPVu2019ing the cashflows it asks the question whether this security account is u2018activeu2019 or u2018passiveu2019. SAP picks up the u2018activeu2019 record (created from the repo trade), and therefore does not multiply cash flows by -1. So it does not net the way you clarified on the example, is there a config to correct this or any ideas.

Victor

Edited by: Hein Nagel on May 25, 2010 12:36 PM

Former Member
0 Kudos

Hi,

You may have to consider applying an exit logic for converting NPV for PAS positions with negative sign. A modification in BADi JBA_SFGDT may solve your problem. This BADi can convert the sign of an NPV by applying the conditions as per your reqmt.

Please try out.

Regards

Prasad AV

Answers (0)