Determination of Charges 

Purpose

This process determines value of collateral objects that can be encumbered by collateral agreements to which they are assigned. The results of charges are available only for internal collateral calculations and are not shown on screens. You create charges when you assign collateral objects to collateral agreements. You define these assignments in the Charges tab page of collateral agreements. The system uses charge value when performing collateral calculations for the collateral entities.

 

Charge value is used in the calculation functions for collateral value and assessment value (value when value-type is Percentage of asset value).

Charges can only be created for main collateral objects and not for parts of collateral objects. A securities account is an exception where a charge can be defined on either the whole securities account or on individual positions (by specifying the International Securities Identification Number – ISIN) of securities account.

To create charges on individual positions in securities accounts, you must check the flag CHG Allwd on SAS (charge allowed on sub-assets) in the Customizing for the asset type Securities account. You can make this setting in the Implementation Guide (IMG) by choosing Collateral Management ® Assets ® Define Asset Types.

 

The amount (or percentage) of charge entered by user and the hierarchy values (sequence and ranking order) are the most important parameters for determining charge value. The additional data that you can enter for a charge depends on type of collateral object that is being charged. The following table lists the various possibilities for creating charges:

 

Collateral object category	Collateral object type	Collateral agreement category / type	Specific charge details
All collateral object categories except securities account and guarantees	All collateral object types		Object identification such as claim identification, real estate identification or patent identification
Guarantees			No charges possible or required
Securities account	Securities account	Pledge of securities account (Pledge)	Depository bank, Securities account number, International Securities Identification Number (ISIN)
All object categories	All object types	Pool agreement	No charges are possible. Pool agreements can be used only in relationships.

 

Process Flow

The system calculates charges at runtime along with other collateral calculations. The charges are not stored in the database records. The system performs the following process steps for determining value of a charge:

...

       1.      Considers the following attributes entered in the Charges tab page:

○     Asset part amount or percentage. This is considered as the charge value as specified by user.

○     Object identification of assigned collateral object

○     Ranking order

       2.      Applies the following conditions to logically restrict the amount of charge from exceeding the value possible from collateral objects and the value required by collateral agreements:

○     Charge value = assessment value

If amount of charge on collateral object is greater than the amount required by the collateral agreement.

○     Charge value = asset part amount (entered by the user in the Charges tab page)

If the amount of charge on collateral object is less than the amount required by the collateral agreement.

○     Charge value = lending limit of guarantee

For guarantees

       3.      Calculates the charge value using the following equation:

Calculated value of a charge = minimum of (lending limit) and (collateral agreement value) and (value of a single charge as entered by user)

 

Integration

Collateral Management provides a data extraction framework for extracting and uploading operative data for analysis and reporting in Source Data Layer (SDL) component of SAP Bank Analyzer (BA). In this framework, each charge in Collateral Management is assigned to a position in the SDL. This assignment is made using the Customizing settings defined in the IMG settings for BA. The details of the charges can be used for Basel lI specific analysis and reporting in the SDL.