Interest Rate Adjustment - how to change interest fixing date

[Former Member]

Hi,

I have this activity that for every interest rate resetting, I will encode the new interest rate in TI10.

For swap transaction, the resetting I have is 01/14/2011 when it was originally contracted. However, given the governmentu2019s new thrusts on tourism, holidays were changed/moved in order to have long weekend. So the bank decided that the new interest rate resetting will be on 01/18/2011. Take note that there are already previous adjustments made in the past. When I reset the interest rate, I created a new interest rate, and I used the date 1/18/2011 in the actual fixing date. However, the accrual in SAP still uses the 1/14/2011 and not the 1/18/2011. So how do we solve this?

Thanks.

[lorenz_sperl]

Hi,

copying the interest-rate adjustment condition (normally 1210) with start-date of the change in the fixing-date/calendar should help. Before all subsequent fixings have to be reversed.

Best regards,

Lorenz

[Former Member]

Hi Lorenz,

Thanks for your reply. How do I copy the interest-rate adjustment condition? Do you mean I will create a new condition type same as 1210? Create new OTC interest rate instrument? Currently my transaction type is already assigned to condition type 1210.

Thanks so much in advance.

Regards,

Marie

[lorenz_sperl]

Hi Marie,

you have more than 1 possibilities, depending on your requirements:

1) Changes result in a new calendar (only for the Interest Rate Adjustment)

copy the Interest Rate Adjustment condition, go into the existing deal,

- click the button "Conditions" (below the menue; 3rd button from left)

- you get the overview of conditions

- double-click into condition 1210

- click the button "Copy condition" (below the menue, 1st button from left - or hit F5)

- input the new Effective from date

- adjust the calender accordingly

2) Changes result in a new calender for both Interest Rate Adjustment and Interest-flows

- analogue 1), but copy condition 1200

Best regards,

Lorenz

[Former Member]

Hi Lorenz,

Thanks for your reply. I copied the condition and created the new one however it seems that it still reads the old condition as the acrual starts on the same date which is 01/14/2011. How do i make it to start accruing on 01/18/2011? I have 3 months frequency defined on my condition 1200.

Thanks so much in advance for your input.

Regards,

Marie

[lorenz_sperl]

Hi Marie,

have you applied the following settings in the condition-details:

- update-rule: "adjusted"

- days +/-: 0

- end of interest period: depending on your swap-agreement

- due date: analogue end of interest period

Best regards,

Lorenz

[Former Member]

Hi Lorenz,

Yes I did that. But when I create the Interest Settlement in TI10, the date on the start of the term is still the same. Does that matter? However when I check on the incoming flows, the calculation base changed to 01/18/2011. Does this make any sense?

Thanks so much.

Regards,

Marie

[lorenz_sperl]

Hi Marie,

...we're getting closer to the solution

If your current (due to a codition-copy) interest-period starts at 18th of Jan, and all the interest conditions have update-rule "adjusted", the fixing-date for the current period is Jan 18 -2 days => Jan 14 (if Jan 17 is no bank-holiday), right?

The fixing-date always follows the start-date of the interest-period...

So, in your case, the current interest-period starts at Jan 18 (using the fixed interest-rate of Jan 14).

You can check the calculation-basis in the cashflow-tab of the deal (layout: calculation view).

Hope, this helps!

Best regards,

Lorenz

[Former Member]

Hi Lorenz,

Sorry I know my reply is so long overdue. I just want to ask why is that when I perform accrual/deferral TBB4, the calculation date from did not change to 01/18/2011?

Thank you so much in advance for your reply!

Regards,

Marie

[lorenz_sperl]

Hi Marie,

...when you have a look into the condition-details of condition 1200: has the field "Eff. from" the desired date?

Have you tried to change field "Rule" to "Adjusted" (as mentioned earlier)?

Because, only when using "Adjusted" - Start date (of the current period) is based on (shifted) period end of previous period...

By the way, as of EhP3? Accruals/Deferrals are to be performed via TPM44 (no mor TBB4).

Regards,

Lorenz

[Former Member]

HI Lorenz,

Yes I used the adjusted rule and it now reflects the correct calculation date on the accrual/deferral which starts at Jan 18 already. The system I'm working on is still on 4.6C so they are using TBB4.

I have another question though: Since the change I made, I now have a separate calculation for the period 01/14/2011 to 01/17/2011. But this should not be the case because it was already paid on January 17,2011 so there should be no more accrual on that period. Just to give the background again, the original accrual period ends at January 14, but due to some holidays the due date was moved and the due was paid on January 17 so the new interest calcuation should start on Jan 18.

So now that the start of calculation starts on January 18, but has another separate calculation for period 01/14/2011 to 01/17/2011. Can this also be adjusted so that the calculation period really ends at January 17?

Thanks you.

Regards,

Marie

[lorenz_sperl]

Hi Marie,

...I suppose, the prior Interest-Condition is "responsible" for the creation of this 2nd Interest-flow. If the 1st Interest-Condition is using "adjusted", too - it (normally...) should work fine.

Prerequisites: Interest-Period End: Next working day; Due-Date: Next working day; Days +/-: 1-

Regards,

Lorenz