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Creation and Valuation of Eonia Swaps (Enhanced) ( RELNBANKCFM_RA_110_EONIA )

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Creation and Valuation of Eonia Swaps (Enhanced)

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110) in Risk Management you can process compound swaps and eonia swaps, for which the payment of capitalized interest does not occur at the same time as the payment of the nominal amount.

See also Compound Swap and Eonia Swap

Effects on Customizing

To be able to create and value compound swaps and eonia swaps in Risk Management, you have to assign in Customizing the following cash flow indicators to flow types of contract type 6:

• Interest capitalization (sample Customizing 1150) has cash flow indicator 9

• Payment of capitalized interest (sample Customizing 1150) has cash flow indicator 2

To make these settings choose the activity Define Assignment Manually under SAP Banking -> Strategic Enterprise Management (SEM) -> Risk Analysis -> Common Settings for Market risk and ALM -> Valuation -> Cash Flow Indicator and Fictitious Cash Flow Indicator -> Transactions with Flow Types: Assign CF Indicator and Fictitious CF Indicator or Corporate Finance Management -> Market Risk Analyzer-> Assign Cash Flow Indicator to Flow Types.

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This documentation is copyright by SAP AG.

Length: 1917 Date: 20240419 Time: 203933     sap01-206 ( 32 ms )