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IDCFM_USTB_VSETY - Define Settlement Types for TBA

IDCFM_USTB_VSETY - Define Settlement Types for TBA

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In this Customizing activity, you define settlement types for To Be Announced (TBA) transactions and assign them to the standard settlement indicators. The system uses the settlement types for the delivery of the TBA forward transactions. You can also specify which product types are relevant to the settlement types.

On the Settlement Indicatorscreen, make settings as follows:

  • In the Settlement Typefield, specify an ID for the TBA-specific settlement type
  • In the Descriptionfield, enter the name of the settlement type
  • You can specify the time period in which the TBA-specific settlement type is valid by entering the minimum and maximum validity periods

When you deliver the TBA transaction to which a mortgage-backed security (MBS) underlying is assigned in Edit Financial Transaction(FTR_EDIT), the system compares the validity period you entered in this activity with the one you entered in the TBA transaction (Structuretab page, Termgroup box). If the validity period you entered here is not included or only partly included in the period specified in the Start Termand End Term dates, the system sends you a message. You can choose the message type that you want the system to send you in the Message Type field in this activity.

On the Product Typescreen, you can assign the settlement type you specified on the Settlement Indicatorscreen to product types that belong to product category 740. When you execute the settlement of a TBA transaction, you can choose only those settlement types in the Settlementfield in the Exercise group box that you assigned to the product type of the transaction.

You assign the standard settlement indicators to the TBA-specific settlement types as follows:

Settlement Type Description Settlement Indicator
001 TBA for Delivery Physical Exercise
002 Long Settling TBA Physical Exercise
003 TBA Forward Cash Settlement
004 Not Yet Specified Not Yet Specified






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