Interest Rate Adjustment Data (SAP Library)

Interest Rate Adjustment Data

Use

There is an additional tab page for the swaps, caps and floors product types, namely Interest rate adjustments.

This contains all the data relevant for interest rate adjustments, which is used to fill the cash flow. The data is grouped according to due date, adjustment date, reference interest rate, interest rate and the date of the rate fixing.

Features

You can enter interest rate adjustments manually or have it done automatically. For more information on this, see Interest Rate Adjustments.

For information on how to carry out an interest rate adjustment, see Condition Details: Interest Rate Adjustment.

For swaps with variable interest calculation, interest rate adjustments are carried out periodically throughout the term. This tab page shows you the current values.

If a cap is in-the-money, this amount is displayed here as a single amount or together with the previous payment flows. If you have opted for automatic interest rate adjustment, this procedure is repeated for each interest rate adjustment until the transaction expires. If a cap is out-of-the money, no payments are made on either side.

Activities

The tab page contains the Interest Rate Adjustments: Overview list, which is divided according to the interest fixing date, weekday, reference interest rate, status, interest rate and the effective from date.

This graphic is explained in the accompanying text - "Fixed" status

This graphic is explained in the accompanying text - "Not fixed" status

This graphic is explained in the accompanying text - "In process" status

By double-clicking the This graphic is explained in the accompanying text

symbol on the line you require, you can edit the corresponding Interest rate adjustment: Detail view in the lower area of the screen.

You can display, change and reverse the interest rate adjustments that have been entered.

Change = change the interest rate
Display
Reverse = reset the "fixed" status. The reversal takes place chronologically in reverse order (step by step).